Essays about: "Richard Du Rietz"

Found 2 essays containing the words Richard Du Rietz.

1. 1. Anticipated Shocks and their Impact on Expectations: An event study of the impact of TIPS auctions on ZCIIS

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Richard Du Rietz; Alexander Valtchev; [2012]
   Keywords : ZCIIS; Anticipated Shocks; Auction; TIPS; Price Pressure;

   Abstract : This thesis has the purpose to empirically investigate how anticipated shocks that result into recurrent supply shocks are subsumed by change in expectations. More precisely, we study the price impact of Treasury Inflation Protected Securities (TIPS) auctions on the Zero-Coupon Inflation-Indexed Swap (ZCIIS) rates using an event study methodology for each of the 60 auctions of 5-, 10-, 20- and 30-year TIPS during the period 2004-2011. READ MORE

3. 2. Illiquidity pricing and the drivers of market liquidity: Evidence from the Swedish market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Philip Lindqvist; Richard Du Rietz; [2010]
   Keywords : Liquidity; ILLIQ; Liquidity drivers;

   Abstract : This thesis has a twofold stock liquidity related purpose. The study is based on Amihud’s ILLIQ, an illiquidity measured defined as the average ratio of the daily absolute stock excess return to SEK volume. In Part I, we test the proposition that illiquidity is priced in the Swedish stock market. READ MORE