Sökning: "Liquidity"

Visar resultat 1 - 5 av 545 uppsatser innehållade ordet Liquidity.

  1. 1. Mandated Short Selling Transparency and its Impact : An empirical analysis on significant short selling disclosures and their impact on Swedish small cap securities between 2017 - 2022

    Kandidat-uppsats, Stockholms universitet/Företagsekonomiska institutionen

    Författare :William Florin; William Jonnerberg; Rasmus Strandberg; [2023]
    Nyckelord :short selling disclosures; ESMA;

    Sammanfattning : In this paper, the impact of significant short selling disclosures (> 0.5%) on returns and trading activity is studied. LÄS MER

  2. 2. Liquidity and its effect on asset returns

    Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Philip Mafi; Linnéa Wilhelmsson; [2022]
    Nyckelord :Asset-pricing; illiquidity premium; liquidity factor;

    Sammanfattning : With data covering 20 years, we test three different liquidity measures' explanatory power in explaining asset returns on the Swedish stock market, and if an illiquidity premium exists. After establishing whether an illiquidity premium exists or not, we test whether the asset pricing models CAPM and the Fama-French three-factor model can benefit from including a liquidity factor. LÄS MER

  3. 3. Predicting Liquidity In The Cryptocurrency Market: Testing The Invariance Theory On A New Market Structure And Asset Class

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Charles Gyllhamn; Jacob Winberg; [2022]
    Nyckelord :Market microstructure; invariance; bid-ask spread; liquidity; Cryptocurrencies;

    Sammanfattning : By integrating dimensional analysis and principles of market microstructure invariance, this study documents a nearly invariant relationship between relative bid-ask spreads and illiquidity for the cryptocurrency market. The relationship is found by studying cryptocurrency trading data in two dimensions; Along a time series dimension, where data is aggregated on a daily level, and along an intraday dimension, where variables are aggregated at five-minute intervals across all trading days. LÄS MER

  4. 4. Real Estate Tokenization Based on the Blockchain

    Master-uppsats, KTH/Fastigheter och byggande

    Författare :Yanjiang Lu; [2022]
    Nyckelord :Real Estate Tokenization; Blockchain; Smart Contract; CAPM; Fastighetstokenisering; Blockchain; Smarta Kontrakt; CAPM;

    Sammanfattning : Real estate is one of the largest assets in the world, but it is also synonymous with low liquidity. Tokenization of real estate emerged in the era of real estate 4.0 as technological innovation to counter the low liquidity, long and expensive transaction process, and high entry threshold of the real estate industry. LÄS MER

  5. 5. The Pricing of Green Bonds at Issuance : Is There Underpricing or a "Greenium"?

    Magister-uppsats, Jönköping University/IHH, Företagsekonomi

    Författare :Kristin Löffler; [2022]
    Nyckelord :green bonds; greenium; underpricing; signaling hypothesis; price pressure hypothesis; information-compensation hypothesis;

    Sammanfattning : This paper examines if green bonds incur underpricing or overpricing, that is, have a "greenium", at issuance. Using a global sample of 830 liquid green bonds priced between March 20, 2012 and March 24, 2022, this study estimates an empirical model of the initial returns through ordinary least squares and quantile regressions. LÄS MER