Essays about: "Philip Mafi"

Found 1 essay containing the words Philip Mafi.

  1. 1. Liquidity and its effect on asset returns

    University essay from Uppsala universitet/Företagsekonomiska institutionen

    Author : Philip Mafi; Linnéa Wilhelmsson; [2022]
    Keywords : Asset-pricing; illiquidity premium; liquidity factor;

    Abstract : With data covering 20 years, we test three different liquidity measures' explanatory power in explaining asset returns on the Swedish stock market, and if an illiquidity premium exists. After establishing whether an illiquidity premium exists or not, we test whether the asset pricing models CAPM and the Fama-French three-factor model can benefit from including a liquidity factor. READ MORE