I investigate the trading decisions of a large institutional liquidity trader by using a detailed data set from a transition management firm. The data set contains records for all trades of transitions completed between January 2008 and September 2008. Effective execution involves a trade off between trading patiently over time to minimize price impact costs and trading quickly to avoid opportunity costs due to price volatility. I estimate a model of transition duration that accounts for volatility, an order's percentage of average daily volume, and the bid--ask spread to uncover the firm's strategy of how quicklyto trade. To understand the firm's intermediate trading decisions, I estimate a vector autoregression that summarizes the dynamic relationship of volatility, trading volume, the bid--ask spread, and order type and order duration. My analysis suggests that the firm behaves strategically to minimize the total costs of trading.

In the master’s work there are analyzed and systemized various Lithuanian and foreign theoretical and practical researches of risk measures and control researches; there are researched banking risk, importance of liquidity control in commercial banks; formed liquidity risk control of the problems in commercial banks and summarized used methods controlling and setting the liquidity risk. There is properly done liquidity risk analysis and the estimation of AB “Šiaulių bankas”, according to the system of indices of liquidity and testing method during inauspicious circumstances. In the constructive part of the master’s work, there are presented improving possibilities of estimation and control of liquidity risks of AB “Šiaulių bankas”. There was suggested the practicing of the liquidity risk control model, estimation of particular currency liquidity positions (gaps) using liquidity value method (VAR) and practicing variation / co-variation method; the supplement of new participants of the system of liquidity indices.

The pricing of total liquidity risk is studied in the cross-section of stock returns. The study suggests that there is a positive relation between total volatility of liquidity and expected returns. Our measure of liquidity is based on Amihud (2002) and its volatility is measured using daily data. Furthermore, we document that total volatility of liquidity is priced in the presence of systematic liquidity risk: the covariance of stock returns with aggregate liquidity, the covariance of stock liquidity with aggregate liquidity, and the covariance of stock liquidity with the market return. The separate pricing of total volatility of liquidity indicates that idiosyncratic liquidity risk is important in the cross section of returns. This result is puzzling in light of Acharya and Pedersen (2005) who develop a model in which only systematic liquidity risk affects returns. The positive correlation between the volatility of liquidity and expected returns suggests that risk averse investors require a risk premium for holding stocks that have high variation in liquidity. Higher variation in liquidity implies that a stock may become illiquid with higher probability at a time when it is traded. This is important for investors who face an immediate liquidity need and are not able to wait for periods of high liquidity to sell.

This thesis is concerned with hypothesis testing in models where data exhibits time dependence. The focus is on two cases where the dependence of observations across time leads to non-standard hypothesis testing techniques. This thesis first considers models estimated by Generalized Method of Moments (GMM, Hansen (1982)) and the approach to inference. The main problem with standard tests are size distortions in the test statistics. An innovative resampling method, which we label Empirical Likelihood Block Bootstrapping, is proposed. The first-order asymptotic validity of the proposed procedure is proven, and a series of Monte Carlo experiments show it may improve test sizes over conventional block bootstrapping. Also staying in the context of GMM this thesis shows that the testcorrection given in Hall (2000) which improves power, can distort size with time dependent data. In this case it is of even greater importance to use a bootstrap that can have good size in finite samples. The empirical likelihood is applied to a multifactor model of U.S. bank risk estimated by GMM. The approach to inference is found to be important to the overall conclusion about bank risk. The results suggest U.S. bank stock returns are sensitive to movements in market and liquidity risk. In the context of panel data, this thesis is the first to my knowledge to consider the estimation of cost-functions as well as conduct inference taking into account the strong dependence of data across time. This thesis shows that standard approaches to estimating cost-functions for a set of Canadian banks lead to a downward bias in the estimated coefficients and therefore an upward bias in the measure of economies of scale. When non-stationary panel techniques are applied results suggest economies of scale of around 6 per cent in Canadian banking as well as cost-efficiency differences across banks that are correlated with size. / Thesis (Ph.D, Economics) -- Queen's University, 2007-09-24 17:25:22.212

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Den svenska marknaden för företagsobligationer har vuxit i både volym och antal emittenter sedan finanskrisen 2007/2008. Marknaden genomgår fundamentala förändringar som kan påverka intresset för företagsobligationer bland marknadens aktörer. I februari 2015 trädde Finansinspektionens praxis för ökad transparens och öppenhet på marknaden för företagsobligationer i kraft. Litteraturstudien som genomförts inför uppsatsen uppmärksammade att utifrån ett teoretiskt perspektiv är det oklart vilken påverkan ökad transparens får på variabler som intresse, likviditet, konkurrens och kostnader. Syftet med denna uppsats är att beskriva samband mellan transparens och likviditet på den svenska marknaden för företagsobligationer. I en kvalitativ studie har 13 intervjuer med olika aktörer på företagsobligationsmarknaden analyserats med hjälp av teori skriven i ämnet. Generellt tycks marknadens aktörer eniga om att transparens är positivt, dock råder det delade meningar om vilken grad av transparens som är lämplig samt vilken påverkan transparens får på marknaden. Marknaden bör vara tillräckligt transparent för att investerare ska ha en tilltro att handla men graden av transparens ska inte heller missgynna market makers som ställer priser. / The Swedish corporate bond market has grown in both volume and number of issuers since the financial crisis in 2007/2008. The market is undergoing fundamental changes that may affect the attractiveness of corporate bonds among market participants. In February 2015 came the Swedish Financial Supervisory practices in force for increased transparency and openness in the corporate bond market. The literature review conducted for the paper indicates that, from a theoretical perspective it is unclear what impact increased transparency will have for variables such as interest, liquidity, competition and costs. The purpose of this paper is to describe the relationship between transparency and liquidity in the Swedish market for corporate bonds. In a qualitative study, 13 interviews with various actors in the corporate bond market has been analyzed by using the theory written on the subject. In general, market participants seem to agree that transparency is positive, however, there are divided opinions on the appropriate degree of transparency and what impact transparency will have on the market. The market must be sufficiently transparent for investors to be confident to participate but the degree of transparency should not disfavor market makers whom set prices.

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Thesis (Ph. D.)--University of Washington, 1989. / Vita. Includes bibliographical references (leaves [183]-197).

Thesis (M.A.)--Guo li zheng zhi da xue. / Cover title. Reproduced from typescript. Includes bibliographical references.

Thesis (Ph. D.)--University of Texas at Austin, 2004. / Supervisor: P. Dean Corbae. Vita. Includes bibliographical references. Also available from UMI.