Search for dissertations about: "systematic liquidity"

Showing result 1 - 5 of 8 swedish dissertations containing the words systematic liquidity.

2. 1. Liquidity and Portfolio Optimisation

   Author : Björn Hagströmer; Jane M. Binner; Aston University Aston Business School; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; stock market; liquidity; systematic liquidity; portfolio optimisation; high-frequency data; Economics; Nationalekonomi;

   Abstract : This thesis presents research within empirical financial economics with focus on liquidity and portfolio optimisation in the stock markets. The discussion on liquidity is focussed on measurement issues, including TAQ data processing and measurement of systematic liquidity factors. READ MORE

4. 2. Off-exchange Trading in Modern Equity Markets : A Market Microstructure Perspective on Systematic Internalizers

   Author : Fatemeh Aramian; Lars Nordén; Lu Liu; Bernt Arne Ødegaard; Stockholms universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Systematic internalizers; Off-exchange trading; Equity markets; Price efficiency; Liquidity; Trading costs; High-frequency traders; Regulation; Dealers; Inventory management; företagsekonomi; Business Administration;

   Abstract : Off-exchange trading has become a feature of the equity markets. This dissertation contains three articles that examine how off-exchange trading through systematic internalizers (SIs) affects inter-market competition and various features of market quality.Article I studies SIs' characteristics and the impact of SI operations on price efficiency. READ MORE

5. 3. Essays on Balkan frontier stock markets

   Author : Goran Zafirov; Lars Nordén; Björn Hagströmer; Dejan Šoškić; Stockholms universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; frontier stock markets; privatisation; liquidity; liquidity premium; order book; transparency; price discovery; frontier aktiemarknad; privatisering; likviditet; likviditetspremie; orderbok; transparens; prisbildning; företagsekonomi; Business Administration;

   Abstract : This dissertation consists of four chapters dealing with Balkan frontier markets, their design and performance. Chapter I provides an introduction to these markets and presents additional information necessary for the reader to understand these markets. READ MORE

6. 4. Empirical studies of financial asset returns

   Author : Sonnie Karlsson; Lunds universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Asset pricing; Riskaversion; Consumption; Capital investments; Multi-moment; Non-linear; International capital markets; Credit risk; Swap spread; Liquidity;

   Abstract : This dissertation aims at understanding differences in rates of returns on financial assets, both in the cross-section and over time. It contains four chapters. The first paper is "Non-separable preferences and risk aversion: Results from the UK". READ MORE

7. 5. The Pricing of Corporate Bonds and Determinants of Financial Structure

   Author : Håkan Thorsell; Handelshögskolan i Stockholm; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Abstract : This thesis contain three chapters. Default Risk in Corporate Bond Pricing. This chapter provides a model for how the corporate bond default risk influences the systematic risk and an empirical analysis of the systematic and idiosyncratic parts of U.S. READ MORE