Sökning: "Systematic Liquidity Risk"

Visar resultat 1 - 5 av 11 uppsatser innehållade orden Systematic Liquidity Risk.

  1. 1. Flight to climate: liquidity commonality in brown equities

    Master-uppsats, Stockholms universitet/Företagsekonomiska institutionen

    Författare :Haiping Yu; [2023]
    Nyckelord :ESG; ESG Investing; Climate investing; Liquidity Commonality; Systematic Liquidity Risk;

    Sammanfattning : Emerging ESG studies have established a negative equilibrium correlation between ESG factors and stock returns in an economy predominately influenced by investors with nonpecuniary preference over high ESG credentials. However, little research has delved into a potential systematic liquidity risk phenomenon associated with aggregate trading activities of ESG-motivated investors who share a common nonzero ESG preference component in their utility function. LÄS MER

  3. 2. Chasing Sustainable Stocks: A Superior Investment Decision? - An ESG Investment Study

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

    Författare :Sebastian Johansson; Gustav Nilsson; [2019]
    Nyckelord :ESG; Socially Responsible Investing; Trading Strategy; Portfolio Performance;

    Sammanfattning : Sustainable investing is trending, amounting to $30 trillion in assets under management world-wide in 2018 and it is predicted to grow even larger in the years to come. This thesis studies ESG portfolio performance of three comparable portfolios, a Sustainable, a Good Enough and an Unsustainable portfolio constructed using ESG-score in relation to their Global Industrial Classification Standard (GICS), between 2004 - 2018 in the U. LÄS MER

  4. 3. Measuring the Risk-neutral Probability Distribution of Equity Index Options

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Gustav Dackner; Linus Falk; [2019]
    Nyckelord :;

    Sammanfattning : The focus of this master thesis is to develop a model that measures the risk-neutral probability distributionof the future value of a portfolio consisting of options on the S&P 500 index. The cornerstone of the model is an explicit and thorough construction of the local volatility surface. The parametric model of Coleman etal. LÄS MER

  5. 4. Increased regulation and higher capital requirements : The profitability of US banks during implementation of Basel III

    Magister-uppsats, Umeå universitet/Företagsekonomi

    Författare :Lars Edvardsson; Calle Nordlander; [2019]
    Nyckelord :Increased regulation; Basel III; Capital requirements; Implementation;

    Sammanfattning : Since the financial crisis in -08 there has been a need in regulating banks and their behavior. After a while, the Basel committee took action and started to work on the third version of the Basel framework, forcing banks to maintain higher equity and to be prepared for fast drops in liquidity on the market. LÄS MER

  7. 5. Alterations in the Liquidity Premium as an Effect of Exchange Traded Funds : A Study Performed on Nasdaq Composite between 1997 and 2016

    Master-uppsats, Högskolan i Jönköping/IHH, Företagsekonomi

    Författare :Axel Andersson; Emanuel Svanberg; [2018]
    Nyckelord :Liquidity Premium; Characteristic Liquidity; Systematic Liquidity; Indexation; Exchange Traded Funds; Fama-MacBeth Regression;

    Sammanfattning : Investors have historically demanded a return premium for taking on the risk of illiquidity both in terms of characteristic and systematic liquidity risk. Recent research have presented results suggesting that the liquidity premium is diminishing. LÄS MER