Essays about: "Marjan Stefanovski"

Found 1 essay containing the words Marjan Stefanovski.

  1. 1. Effects of Liquidity on Idiosyncratic Risk

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Marjan Stefanovski; Erik Rasin; [2013]
    Keywords : Amivest; Amihud; Turnover; Liquidity; Idiosyncratic Risk; Fama French Factors; OLS; EGARCH; Business and Economics;

    Abstract : Abstract In this thesis we examine the link between idiosyncratic risk and liquidity on a sample of European equity covering the last 15 years and consisting of monthly retuns on 120 stocks. This thesis builds heavily upon an article by Speigel and Wang (2005), which demonstrates the relationship between risk and various liquidity measures on the US market. READ MORE