Likviditetspremiens vara eller icke vara - Om likviditetspremiens existens på Stockholmsbörsen

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. The query is whether or not the investor is compensated with a liquidity premium for bearing the extra risk. Earlier studies on the Stockholm Stock Exchange have failed to prove that there is a relation between stock return and liquidity. Although, several foreign studies have concluded that this phenomenon exists.Purpose: The purpose of this study is to investigate if a liquidity premium exists on the Stockholm Stock Exchange. If this is shown to be the case one have to consider an additional risk factor when investing in financial assets, and different trading philosophies may emerge. Furthermore this study wishes to verify whether or not three other factors affect stock return. The factors are market risk (Beta), firm size (ST) and book-to-market value (BM).Method: This report uses the methodology of Datar, Naik and Radcliffe (1998). Financial data from the period 2000-01-01 to 2012-12-31 is collected and processed to form an appropriate sample for this study. The liquidity variable (OH) and the dependent excess return variable (JAV) are created along with the three variables mentioned above, followed by a GLS-regression to estimate the coefficients of the variables. Hypothesis tests are then used to evaluate the significance of the coefficients. The main conclusions of this study are made regarding the significance and size of these coefficients, particularly the liquidity coefficient.Conclusion of thesis: This study concludes that it exists a liquidity premium on the Stockholm stock exchange. The regression analysis generates significant coefficients for all four variables used to explain the excess return.