Illikviditetsrabatter- En estimering av illikviditetsrabatter på den svenska aktiemarknaden

Sammanfattning: Abstract Title: Illiquidity discounts – An estimation of illiquidity discounts on the Swedish stock market Seminar date: 4-5/6 2015 Course: FEKH89, bachelor thesis in finance, 15 ECTS Authors: Viktor Gårdemyr, Jacob Källholm, Emelie Storckenfeldt och Nicholas Thurow Advisor: Sara Lundqvist Keywords: illiquidity discount, estimation, Swedish markets, industry, bid ask spread Purpose: The purpose of this thesis is to estimate illiquidity discounts through the bid-ask spread on the Swedish stock markets, as well as investigate how the discount varies between industries. Method: The thesis is subdivided in a qualitative part, where we have conducted interviews and researched previous studies and theses to gain knowledge into ways of estimating the illiquidity discount. The quantitative part is a statistical estimation of the illiquidity discount with data processing done in SPSS, Excel and Numbers. Theory: Practitioners in real business life use in earlier studies as well as the estimation process through the bid ask-spead. The theory presented comes from textbooks, studies and theses and describes what illiquidity is, what affects its size as well as how it is possible to estimate the illiquidity discount. Empirical data: Quantitative data has been fetched from various databases online and been processed in SPSS, Excel and Numbers with regards to market, industry, spread and stock price. Qualitative data comes from research of previous material within the subject as well as from conducting interviews. Results: We have been able to prove a statistical significant difference in the relative spead, and thereby the illiquidity discount, on the different markets, but unable to prove a statistical significant difference between different industries.