Sökning: "illiquidity premium"

Visar resultat 1 - 5 av 19 uppsatser innehållade orden illiquidity premium.

  1. 1. Do you want to swap? A study of the liquidity risk in the SEK interest rate swap market

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Viktor Edberg; Carl Hjelmqvist; [2023-06-29]
    Nyckelord :Bao; Pan; Wang indicator; Determinants; Dimensions of liquidity; Forward Rate Agreement; Fundamental Review of the Trading Book; Generalized least squares; Interest Rate Derivative; Interest Rate Swap; Liquidity horizon; Liquidity risk premium; Market liquidity; SVEN spread; Swap Spread; Swedish Government benchmark bond; Treasury-Eurodollar; Turnover ratio; Turnover-per-day; Volume-adjusted intraday volatility;

    Sammanfattning : Interest rate swaps are one of the world’s most essential interest rate derivatives. It is therefore important to understand the pricing of these agreements, and how the market is functioning. 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. The Smile of Corporate Bonds : Size Risk Premium on the Swedish Corporate Bond Market

    Master-uppsats, KTH/Fastigheter och byggande

    Författare :Oscar Andersson; [2021]
    Nyckelord :Real Estate Economics; Corporate bonds; Determinants; Panel Data Regression; Fastighetsekonomi; Företagsobligationer; Determinanter; Paneldataregression;

    Sammanfattning : This paper examines whether the total amount issued of a company has an effect on corporate bonds’ yield spreads on the Swedish debt capital market. With panel data regression of over 150,000 observations from over 20 investment graded companies, it is found that the relationship is smile-like. LÄS MER

  5. 4. Illiquidity and Its Threats - A Study of the U.S. Corporate Bond Market

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Adam Löfquist; Erik Ottosson; [2021]
    Nyckelord :Liquidity; price dispersion; Hui-Heubel liquidity ratio; ILLIQ; TRACE; U.S. corporate bonds; Over-the-Counter market; regression analysis; return modelling; stressed market conditions.; Mathematics and Statistics;

    Sammanfattning : In recent times of market turmoil, liquidity risk has become a big talking point. As certain Swedish fixed income funds, which were advertised as safe investment options, closed for a few trading days in March of 2020 due to the extremely high stress on the market, questions about how illiquidity a↵ects risk and return were asked. LÄS MER

  7. 5. GP stakes in Private Equity: An Empirical Analysis of Minority Stakes in Private Equity Firms

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

    Författare :Jonatan Gustafsson; Erik Fogelström; [2020]
    Nyckelord :GP Stakes; Minority Stakes; Private Equity; Agency Conflicts; Difference-in-Differences;

    Sammanfattning : This study examines the phenomenon of minority stakes in Private Equity firms ("GP stakes") and specifically the motives behind such deals and their fund-level impact on target firms. We use a unique dataset on GP stake deals between 1988-2020 to empirically analyze the motivations behind GP stakes using logit regressions and their fund level impact using a Difference-in- Differences (DiD) approach with fixed effects. LÄS MER