Sökning: "illiquidity factor"

Visar resultat 1 - 5 av 11 uppsatser innehållade orden illiquidity factor.

  1. 1. The illiquidity exposure factor: An overlooked driver of mutual fund performance

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Jakob Häger; Tim Hansson; [2023-06-29]
    Nyckelord :Illiquidity; liquidity; mutual funds; fund performance; factor models; alpha;

    Sammanfattning : This paper examines if Swedish-focused mutual funds with more illiquid holdings produce higher alpha. By extending the classic Fama and French five-factor model, we pinpoint the effect of illiquidity in underlying holdings on mutual fund alpha generation through a two-step regression model with data between 2019-2022. LÄS MER

  3. 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

  4. 3. To Have or Not to Have? The Impact of Financial Targets on the Cost of Capital

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

    Författare :Erika Madebrink; Linda Shi; [2016]
    Nyckelord :Equity cost of capital; Estimation risk; Financial targets; Liquidity risk; Voluntary information disclosure;

    Sammanfattning : We study the effect of communicating long-term financial targets, but not the attainment of them, on the equity cost of capital. We examine the effect targets have on risk factors in an augmented Fama and French model, where illiquidity is added as a risk factor, and find that dividend, profitability and leverage targets decrease the cost of capital through the market risk premium and SMB risk factors. LÄS MER

  5. 4. The Option Volume to Stock Volume Ratio, Market Efficiency and Future Returns

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

    Författare :Filip Demitz-Helin; Alexander Mahdi; [2014]
    Nyckelord :Return predictability; Option volume; Market efficiency; Informed investors; Liquidity;

    Sammanfattning : The study of the information value in options has for decades been at the centre of financial research. Recent findings indicate that informed investors prefer to use options to trade on negative information, causing the option volume to stock volume ratio (O/S) to correlate negatively with future returns. LÄS MER

  7. 5. Liquidity and return in the Swedish stock market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Gustav Personne; [2013]
    Nyckelord :Liquidity; Time series regressions; Swedish stock market; CAPM; Fama-French three-factor model; Business and Economics;

    Sammanfattning : This paper investigates if liquidity (or illiquidity) is a factor influencing returns on the Swedish stock market during the period of January 2001 to December of 2010. The time-series effects of illiquidity as well as differences in the effects of illiquidity across stocks with different characteristics are investigated. LÄS MER