Essays about: "cross-sectional variation of returns"

Showing result 21 - 22 of 22 essays containing the words cross-sectional variation of returns.

  1. 21. Asset-Specific and Systematic Liquidity on the Swedish Stock Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Tetiana Dzhumurat; Veronika Lunina; [2010]
    Keywords : systematic liquidity; characteristic liquidity; asset pricing; Fama-French model; Business and Economics;

    Abstract : This essay studies the effect of liquidity on stock returns on the Swedish stock market. Liquidity is addressed both as a market risk factor and an asset characteristics. We use the relative bid-ask spread as a proxy for liquidity level. READ MORE

  3. 22. Speculation Spreads in Swedish Tender Offers

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Fredrik Eklund; Marcus Jennekvist; [2009]
    Keywords : Speculation spread; Risk arbitrage; Tender offer; Bid characteristics; Ownership structure;

    Abstract : This thesis examines speculation spreads, risk arbitrage returns, and potential ex ante bid characteristics related to it, after initial acquisition announcements of 178 public offers on the Stockholm Stock Exchange from 1995 to 2008. Following Jindra and Walkling (2004), we define the speculation spread as the percentage difference between the bid price and the market price of the target company one day after the initial offer announcement. READ MORE