The restrictive listing requirements imposed by the Main Market of the London Stock Exchange results in the listing of high quality companies, while at the same time provides a higher degree of investor protection. These requirements can however be an obstacle for small and growing companies to go public and raise capital. Thus AIM has developed in order to facilitate the growth of these companies by its lighter listing requirements. This thesis is focused on three outcomes of the lighter listing requirements of AIM. First, AIM companies have a high ownership concentration and lower investor protection, thus enabling blockholders to have a significant impact on their value. This thesis finds that non-managerial and managerial blockholders have quadratic and cubic relationships with firm value respectively. Also, both types of blockholder increase the value of the firm until the first break point which is approximately 30 percent. This is almost exactly the point that the LSE defines as a cut-off point at which the blockholder is regarded as a controlling shareholder. Second, companies moving from the Main market to the AIM impair their information environment when entering the AIM; the information environment is measured by the stock’s liquidity and volatility. This thesis finds that firms experience lower trading activity and lower trading volume, which results in lower liquidity and volatility than matched companies that remain in the Main Market. Third, IPOs listing in the AIM are underpriced in order to compensate for risk. However, the level of underpricing can be alleviated by appointing a reputable Nomad. Underpricing facilitates IPOs to achieve higher aftermarket liquidity in two ways: First, directly by attracting investor attention; and second by diversifying ownership. However, aftermarket liquidity is evident for a longer period than other markets because of a longer lock up period.

Cette thèse s'inscrit dans le contexte d'après crises des subprimes et des dettes souveraines européennes. Il s'agit de périodes durant lesquelles les banques, en particulier dans la zone Euro et aux Etats-Unis, ont fait face à un assèchement de liquidité sans précédent ayant paralysé le système bancaire et conduit à la faillite de banques dont certaines solvables. La thèse cherche à répondre à la problématique suivante : Quelles sont les raisons du dysfonctionnement de deux canaux importants d'approvisionnement en liquidité par les banques, à savoir, le marché des actifs et surtout le marché monétaire interbancaire ? L'objectif est d'avoir un cadre d'analyse qui permet d'évaluer les propositions de la réglementation Bâle III en matière de contrôle du risque de liquidité dans les banques et d'éclairer les réflexions autour de la supervision bancaire. La première étude empirique est consacrée aux interactions entre le risque de liquidité de financement et le risque de liquidité de marché en situation de crise. Elle confirme bien la présence d'un renforcement mutuel entre ces deux types de risque dans les cas américain et européen durant la période allant de 2007 à 2011. La deuxième étude empirique se focalise sur le dysfonctionnement du marché monétaire interbancaire dans la zone Euro durant la même période en identifiant les motifs de la thésaurisation de liquidité par les banques, à savoir, le risque de contrepartie, le motif de précaution et le motif de spéculation. Les résultats montrent bien qu'il y a une relation significativement positive entre ces trois facteurs et la thésaurisation. Enfin, la troisième étude met l'accent sur les conséquences de la thésaurisation en termes de contagion interbancaire et de risque systémique. Les résultats confirment en effet l'impact de la thésaurisation sur le risque systémique dans la zone Euro. / During the U.S subprimes and the European sovereign debt crisis, banks faced with an unprecedent liquidity drying-up, leading to a banking system paralysis and failures of banks (including some solvable banks), in particular in United States and Euro zone. This dissertation seeks to answer the following question: what are the reasons of dysfunction of two important channels of liquidity supply of banks, namely, asset market and interbank money market? The aim is to have an analysis framework in order to evaluate banking regulations issued by Basel III and to enlighten reflections about banking supervision. The first empirical study examines the interactions between funding liquidity risk and market liquidity risk. Its results confirm that these two risk types are mutually reinforcing in American and European cases during the period between 2007 and 2011. The second empirical study focuses on the failure of the interbank market in Euro zone during the same period by identifying the motives behind the bank liquidity hoarding, namely, counterparty risk, precautionary motive and speculative motive. The results show that there is a significantly positive relation between these three factors and the liquidity hoarding. Finally, the third empirical study illustrates the repercussions of this phenomenon on systemic risk. The results confirm the impact of liquidity hoarding on systemic risk in Euro zone.

The value add of gender diversity in the financial services industry has been overlooked. From providing capital for businesses to financing mortgages, it goes without question that financial institutions play a most critical role in the function of the economy. Our study poses a potential solution for managing the immense responsibility of these entities. The financial crisis of 2008 awakened the public to the high levels of risk that banks endure in the practice of their business. Banks often rely on a liquidity cushion in order to mitigate the risk of financial distress. Liquidity consists of the cash and other liquid assets that banks retain for times of unexpected demands for cash. Financial institutions often vary in their levels of liquidity due to different risk tolerances and appetites for return. This thesis contributes to existing literature by looking into the role that gender diverse boards play in managing liquidity risk and its transparent effect on bank performance. Through an analysis of seventy-four global, regional, small, mid and large cap commercial banks, we concluded that increased gender diversity results in increased liquidity and decreased risk to bank assets. In the process, we also test the effect of increased liquidity on bank performance, as it would likely be a concern for shareholders

A integração dos países periféricos na globalização financeira foi acompanhada por diversas crises desde o início dos anos 1990. Essas crises contribuíram para o desenvolvimento de uma literatura sobre indicadores de vulnerabilidade externa que busca encontrar acúmulo de fragilidades nas economias emergentes, para proporcionar medidas capazes de contornar ou amenizar momentos de crise. A busca de sinais de vulnerabilidade se torna relevante frente ao cenário atual de uma potencial reversão de liquidez internacional, com a expectativa do mercado em relação à mudança da política monetária dos países centrais. O objetivo desta pesquisa é comparar, através de diversos indicadores, a posição de vulnerabilidade externa de Brasil, Índia, Indonésia, África do Sul e Turquia, os países emergentes sobre os quais o mercado possui as piores expectativas quanto à capacidade de resistência frente a um choque externo e que, por conta disso, foram apelidados de Fragile Five. / The integration of peripheral countries in financial globalization was accompanied by several crises since the early 1990. These crises contributed to the development of a branchof the international economy literature devoted to the study of external vulnerability indicators which seeks to find of weaknesses in the external structure of emerging economies so that the policy makers can take measures to circumvent or mitigate a crisis. The search for signs of vulnerability becomes significant in light of the current scenario, in which grows the possibility of a reversal in international liquidity, due to thechange of monetary policy in central countries. The objective of this research is to compare, through various external vulnerability indicators found along the literature, the external position of vulnerability of Brazil, India, Indonesia, South Africa and Turkey, because these are the emerging countries for which the market has the worst expectations of resilience against external shock and, therefore, were called the Fragile Five.

A integração dos países periféricos na globalização financeira foi acompanhada por diversas crises desde o início dos anos 1990. Essas crises contribuíram para o desenvolvimento de uma literatura sobre indicadores de vulnerabilidade externa que busca encontrar acúmulo de fragilidades nas economias emergentes, para proporcionar medidas capazes de contornar ou amenizar momentos de crise. A busca de sinais de vulnerabilidade se torna relevante frente ao cenário atual de uma potencial reversão de liquidez internacional, com a expectativa do mercado em relação à mudança da política monetária dos países centrais. O objetivo desta pesquisa é comparar, através de diversos indicadores, a posição de vulnerabilidade externa de Brasil, Índia, Indonésia, África do Sul e Turquia, os países emergentes sobre os quais o mercado possui as piores expectativas quanto à capacidade de resistência frente a um choque externo e que, por conta disso, foram apelidados de Fragile Five. / The integration of peripheral countries in financial globalization was accompanied by several crises since the early 1990. These crises contributed to the development of a branchof the international economy literature devoted to the study of external vulnerability indicators which seeks to find of weaknesses in the external structure of emerging economies so that the policy makers can take measures to circumvent or mitigate a crisis. The search for signs of vulnerability becomes significant in light of the current scenario, in which grows the possibility of a reversal in international liquidity, due to thechange of monetary policy in central countries. The objective of this research is to compare, through various external vulnerability indicators found along the literature, the external position of vulnerability of Brazil, India, Indonesia, South Africa and Turkey, because these are the emerging countries for which the market has the worst expectations of resilience against external shock and, therefore, were called the Fragile Five.

This diploma thesis focuses on the development of the interbank market liquidity and interest rates in the Czech interbank market with special focus on the period of global crisis. We analyze determinants of the interbank interest rates and their development with respect to the key monetary policy rate. We explain the significant departure of the interbank interest rates from the key monetary policy rate (impairment of monetary policy transmission) during the global crisis by an increase in risk premia on interbank lending. The source of the risk premia is decomposed into the individual components such as liquidity risk, counterparty risk, foreign influence and other factors. Their contribution to the overall risk premia over time during the global crisis is analyzed. We find that the liquidity risk was the key determinant of tensions in the Czech interbank market in the beginning of the global crisis. However, its influence weakened over time while the role of counterparty risk increased. Keywords: interbank market, liquidity, interest rates, crisis, risk premia, credit risk, liquidity risk, counterparty risk JEL classification: G190, G210

The first objective of the study is to determine the differences that exist between the two classes of ratios used to measure liquidity of a business entity. A comparison will then be made between these liquidity ratios. The second objective is to illustrate that cash flow ratios are a better indication of liquidity of an entity than the traditional ratios. The traditional and cash flow ratios will illustrate the position of liquidity with information utilised from the various bankrupt companies’ financial statements, including the statement of financial position and statement of cash flows. Four years’ financial statement data will be used to illustrate the deteriorating liquidity positions of the companies.

Master’s thesis is focused on evaluation of financial health in selected company. The thesis consists of theoretical definition of the problem, description the company and its business. The following are the individual analysis of financial health and in conclusion there are suggestions for improvement the current situation in the company.

La liquidité de marché renvoie à la capacité à échanger rapidement un actif financier sans perte de valeur par rapport à sa valeur fondamentale. Cette liquidité est source de risque mais également de rémunération. Dans cette thèse nous nous intéressons à ces deux aspects. Nous proposons une nouvelle méthodologie pour estimer la rémunération du risque de liquidité basé sur les modèles à composantes inobservées. En termes de risque, nous proposons de combiner les prévisions de densités de différents modèles afin de mieux prédire la liquidité à l’échelle de la haute-fréquence. Nous modélisons également la liquidité de financement. Celle-ci correspond à la capacité pour un agent d'honorer, continuellement, ses engagements en trouvant du financement. En particulier nous étudions le risque de liquidité de financement dans le système bancaire, ce risque est de première importance comme le démontre le rôle majeur qu’il a joué dans la crise financière de 2008. Nous proposons plusieurs nouvelles mesures de ce risque permettant d’évaluer l’exposition des banques. Notre modèle permet également d’évaluer des situations dites extrêmes et de mesurer la contagion de ce risque entre les institutions. / Market liquidity refers to the ease with which assets can be sold without loss with respect to their fundamental values. Liquidity is a source of risk but also compensation. In this thesis, we focus on these two aspects. We propose a new methodology to estimate the liquidity risk premium based on “unobserved components” models. In terms of risk, we propose to combine density forecasts to better predict intra-day liquidity. We also model funding liquidity. Funding liquidity refers to the ability to settle obligations with immediacy. We study this risk for banks, that is, the possibility that over a specific horizon the bank will become unable to settle obligations with immediacy. This risk is pivotal as shown by the major role it played in the financial crisis of 2008. We created several measures allowing to assess the risk exposure of banks. Our model can also be used to stress-test banking companies and to quantify contagion risk.

No description available.