Essays about: "characteristic liquidity"

Showing result 1 - 5 of 7 essays containing the words characteristic liquidity.

  1. 1. Fragile Market: The impact of mutual funds on the corporate bond market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Noah Tvelin; [2023]
    Keywords : Corporate Bonds; Mutual Funds; Fire Sale; Liquidity; Covid-19;

    Abstract : This master's thesis investigates whether mutual funds can induce fire sales on the Swedish corporate bond market between August 2019 and August 2020 to determine whether mutual funds aggravated the COVID-19 crash, and if their solution to temporarily freeze withdrawals were a viable remedy. Moreover, the thesis addresses this question using a panel-data framework that includes mutual fund-specific variables, control variables suggested by previous literature, entity, and time-fixed effects, allowing the thesis to capture divergences between corporate bonds and months. READ MORE

  3. 2. Examining the Existence of the Characteristic Liquidity Premium: A Study of the U.S. Stock Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Joel Ejdesjö; Maxime Karl Marcel Rundström; [2022]
    Keywords : Characteristic liquidity premium; liquidity dimension; low-frequency effective spread; transaction cost mitigation; net returns alpha;

    Abstract : This paper examines the existence of a characteristic liquidity premium among U.S. stock returns between January 1964 and December 2021 after adjusting for transaction costs. Liquidity is estimated using four different measures in order to capture different dimensions of liquidity (price impact, trading cost, trading speed, and trading quantity). READ MORE

  4. 3. Bank capital and liquidity creation. An empirical study of the Scandinavian Banks

    University essay from Göteborgs universitet/Graduate School

    Author : Awais Shah; Said Lahiani; [2018-07-04]
    Keywords : liquidity creation; capital requirements; Basel III regulations; big and small banks; credit intermediation; Scandinavian countries;

    Abstract : Little is known about the impact of capital regulation on the liquidity creation capabilities of Scandinavian banks. This thesis attempts to examine the relationship between bank capital and liquidity creation based on an unbalanced panel data of 28 banks using quarterly data for the period 2009 to 2016. READ MORE

  5. 4. Alterations in the Liquidity Premium as an Effect of Exchange Traded Funds : A Study Performed on Nasdaq Composite between 1997 and 2016

    University essay from Högskolan i Jönköping/IHH, Företagsekonomi

    Author : Axel Andersson; Emanuel Svanberg; [2018]
    Keywords : Liquidity Premium; Characteristic Liquidity; Systematic Liquidity; Indexation; Exchange Traded Funds; Fama-MacBeth Regression;

    Abstract : Investors have historically demanded a return premium for taking on the risk of illiquidity both in terms of characteristic and systematic liquidity risk. Recent research have presented results suggesting that the liquidity premium is diminishing. READ MORE

  6. 5. 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