Sökning: "Maxime Karl Marcel Rundström"

Hittade 1 uppsats innehållade orden Maxime Karl Marcel Rundström.

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

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

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

    Sammanfattning : 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). LÄS MER