Sökning: "liquidity discount"

Visar resultat 1 - 5 av 15 uppsatser innehållade orden liquidity discount.

  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. Which Factors and Variables could Explain Discounts and Premiums to Net Asset Value in Real Estate Companies?

    Master-uppsats, KTH/Fastighetsföretagande och finansiella system

    Författare :Dawid Mlynarczyk; Filip Mehdipoor; [2022]
    Nyckelord :Discount; Premium; NAV; Listed Real Estate companies; Regression; Substanspremie; Substansrabatt; Substansvärde; Listade Fastighetsbolag; Regression;

    Sammanfattning : There have been previous studies aimed at finding out what factors influence whether a company's shares are trading at a premium or at a discount to its net asset value. Several studies have examined all or large parts of the market but have not at an early stage focused on niche markets. LÄS MER

  4. 3. Comparing the Liquidity-Adjusted Expected Shortfall Models Over High and Low Liquid Stocks Portfolios: Empirical Results on Thailand Stock Market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Watsachol Koosamart; Biyun Meng; [2020]
    Nyckelord :expected shortfall; liquidity adjustment; bid-ask spread; liquidity discount; liquidation time; Business and Economics;

    Sammanfattning : The stylized fact that stock markets are not perfectly liquid propels banks to incorporate liquidity risk in the risk metrics so that market risk can be managed properly. Disregarding liquidity risk can lead to an underestimation of overall risk and substantial losses. 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. Explaining the NAV Discount in REIT pricing - Evidence from the U.S.

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

    Författare :Jerry Aaltonen; Bowen Li; [2019]
    Nyckelord :REITs; Dynamic relationship; NAV discount; Closed-end fund puzzle; United States;

    Sammanfattning : This paper investigates the relationship between stock price and net asset value (NAV) for 71 real estate investment trusts (REITs) in the U.S. between Q1/1998 and Q4/2018. More specifically, by testing for cointegration, we look for evidence of a long-term equilibrium between stock price and NAV. LÄS MER