Sökning: "illiquidity discount"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden illiquidity discount.

  1. 1. Do you want to swap? A study of the liquidity risk in the SEK interest rate swap market

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Viktor Edberg; Carl Hjelmqvist; [2023-06-29]
    Nyckelord :Bao; Pan; Wang indicator; Determinants; Dimensions of liquidity; Forward Rate Agreement; Fundamental Review of the Trading Book; Generalized least squares; Interest Rate Derivative; Interest Rate Swap; Liquidity horizon; Liquidity risk premium; Market liquidity; SVEN spread; Swap Spread; Swedish Government benchmark bond; Treasury-Eurodollar; Turnover ratio; Turnover-per-day; Volume-adjusted intraday volatility;

    Sammanfattning : Interest rate swaps are one of the world’s most essential interest rate derivatives. It is therefore important to understand the pricing of these agreements, and how the market is functioning. LÄS MER

  3. 2. Comparing the Liquidity-Adjusted Expected Shortfall Models Over High and Low Liquid Stocks Portfolios: Empirical Results on Thailand Stock Market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Watsachol Koosamart; Biyun Meng; [2020]
    Nyckelord :expected shortfall; liquidity adjustment; bid-ask spread; liquidity discount; liquidation time; Business and Economics;

    Sammanfattning : The stylized fact that stock markets are not perfectly liquid propels banks to incorporate liquidity risk in the risk metrics so that market risk can be managed properly. Disregarding liquidity risk can lead to an underestimation of overall risk and substantial losses. LÄS MER

  4. 3. Illikviditetsrabatter- En estimering av illikviditetsrabatter på den svenska aktiemarknaden

    Kandidat-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Emelie Olsson Storckenfeldt; Viktor Gårdemyr; Nicholas Thurow; Jacob Källholm; [2015]
    Nyckelord :illiquidity discount; estimation; Swedish markets; industry; bid ask spread; Business and Economics;

    Sammanfattning : Abstract Title: Illiquidity discounts – An estimation of illiquidity discounts on the Swedish stock market Seminar date: 4-5/6 2015 Course: FEKH89, bachelor thesis in finance, 15 ECTS Authors: Viktor Gårdemyr, Jacob Källholm, Emelie Storckenfeldt och Nicholas Thurow Advisor: Sara Lundqvist Keywords: illiquidity discount, estimation, Swedish markets, industry, bid ask spread Purpose: The purpose of this thesis is to estimate illiquidity discounts through the bid-ask spread on the Swedish stock markets, as well as investigate how the discount varies between industries. Method: The thesis is subdivided in a qualitative part, where we have conducted interviews and researched previous studies and theses to gain knowledge into ways of estimating the illiquidity discount. LÄS MER

  5. 4. Valuation - The issue of illiquidity : A qualitative retake on illiquidity discounts in the context of private company valuation on the Swedish market

    Kandidat-uppsats, Umeå universitet/Företagsekonomi

    Författare :Viktor Fredlund; Andreas Tollerup; [2015]
    Nyckelord :PCD; Private company discount; illiquidity discount; DLOM; valuation; likviditetsrabatt; private company; illiquidity; company valuation; illikviditetsrabatt; företagsvärdering; privat företag; värdering; illikviditet;

    Sammanfattning : A private company lacks a direct observable market value and several situations may require a practitioner to compute the value of a private company. Since most of the valuation methods in use are based on data derived from the public stock markets certain adjustments may be appropriate when valuing a private company. LÄS MER

  7. 5. Likviditetspremiens vara eller icke vara - Om likviditetspremiens existens på Stockholmsbörsen

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Författare :Jens Bergquist; Linus Smedjegården; [2013]
    Nyckelord :liquidity premium; stock turnover rate; Stockholm Stock Exchange; illiquidity discount; GLS-regression;

    Sammanfattning : Background: Operating on the stock market is associated with risks. If a particular asset is not traded with the same frequency as the average market asset, this particular asset is exposed to a liquidity risk. It means that the investor might not be able to sell the asset at a desired time without incurring expensive transaction costs. LÄS MER