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The Global ETD Search service is a free service for researchers
to find electronic theses and dissertations. This service is
provided by the
Networked Digital Library of Theses and Dissertations.
Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
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Like liquid off a Danes back : A quantitative study of illiquidity in the Copenhagen Stock ExchangeEknemar, Mattias, Short, Wesley January 2011 (has links)
The research is conducted through a quantitative study based on data collected from the Copenhagen Stock Exchange between 2003 and 2011. Our primary purpose was to ascertain whether illiquidity was priced in the Copenhagen Stock Exchange. Illiquidity has been shown as a difficult concept to measure as it is not an observable variable in itself. We show that illiquidity can be measured using Amihud’s (2002) ILLIQ-measure. We investigated the relationship between asset pricing models and illiquidity. We provided an in depth look into illiquidity and past research involving liquidity and asset pricing as well as a thorough theoretical background concerning relevant academic theory. Though our empirical analysis we found evidence which supports the pricing of illiquidity in the Copenhagen Stock Exchange.
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Is Illiquidity a Good Proxy for Risk? : Can illiquidity have an effect on growth firms' expected return?Carlberg, Vilma, Gyllner, Christina January 2022 (has links)
As previous researchers have discussed the paradigm of risk and return, this study also suggests illiquidity as a good proxy for risk. An illiquid asset, thus higher risk, should generate high return. As Amihud (2002) originally applies an illiquidity measure from daily return and turnover, this thesis elaborates on his average market illiquidity measure AILLIQ on assets of Nasdaq First North Growth Market. Over a five-year period returns are estimated using the CAPM together with the illiquidity proxy on Swedish growth assets. Results are in line with intuitive thoughts of a positive relationship between risk and return. The hypothesis of zero impact is rejected and concludes that illiquidity can have an impact on expected return.
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