Thesis (Ph. D.)--Florida State University, 2004. / Advisor: Dr. David R. Peterson, Florida State University, College of Business, Dept. of Finance. Title and description from dissertation home page (viewed Sept. 23, 2004). Includes bibliographical references.

Thesis (Ph. D.)--University of Chicago, Dept. of Economics. / Includes bibliographical references. Also available on the Internet.

Dissertation (MBA)(Graduate School of Management))--University of Pretoria, 2008. / Includes bibliographical references.

Thesis (doctoral)--Johann Wolfgang Goethe-University, 2004. / Includes bibliographical references.

Thesis (doctoral)--Johann Wolfgang Goethe-University, 2004. / Title from e-book title screen (viewed January 2, 2008). Includes bibliographical references.

Thesis (Ph. D.)--University of Chicago, Graduate School of Business, August 2002. / Includes bibliographical references. Also available on the Internet.

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.

A research report presented in partial fulfilment (50%) of the requirements for the degree of Master of Commerce in Business Economics (Finance) in the School of Economic and Business Sciences at the University of Witwatersrand, Johannesburg, 6 October 2017 / This study tests the efficacy of the liquidity variables of Liu (2006) in determining the existence of a liquidity premium on the South African market and finds evidence of a significant liquidity effect. This factor is determined to be robust and to proxy for a different underlying effect than the Fama-French (1992) effects and the market risk premium. The analysis is performed through portfolio sorts and tests for difference of portfolio means, as well as both a univariate and multivariate regression analysis. The sample period covers 16 years from 2000 to 2015. The relationship between size and liquidity is clear, however liquidity is found to be separate from the size effect. This study recommends the use of a liquidity-augmented model for the analysis of asset returns in South Africa. / GR2018

Master of Commerce (Finance) in the Finance Division, School of Economic and Business Sciences at the University of the Witwatersrand, Johannesburg, 6 September 2017 / The aim of this study is to investigate the relationship between market liquidity changes on the Johannesburg Stock Exchange (JSE), and the market’s degree of efficiency. Market efficiency is characterised in terms of two philosophies: Fama’s (1970) Efficient Markets Hypothesis, and Shiller’s (1981; 2003) informational efficiency designation. Efficiency was tested using measures of return predictability, a random walk benchmark, and price volatility; liquidity was measured using market turnover. The tests were conducted on JSE Top 40 shares across three regimes, spanning January 2012 – June 2016. The regimes are demarcated by two structural breaks in the JSE’s microstructure: the 2012 trading platform upgrade, and the 2014 colocation centre launch. The results show that past order imbalances are a significant predictor of daily returns, although the significance of this predictability has dissipated over time. Return predictability is not influenced by liquidity. In fact, there is evidence that illiquidity weakens return predictability. Prices were closer to random walk benchmarks during the third regime. In consideration of informational efficiency, during the latter two regimes price volatility is greater during trading versus non-trading hours. This is coupled with an emergence of nonlinear return dependence, which is indicative of greater mispricing. Thus, over the three regimes, market efficiency improved in the sense of the EMH, but informational efficiency deteriorated. The study contributes to the field by: introducing an inverse measure of market efficiency; providing insight into the measure’s time variation and relation to liquidity; and demonstrating that market efficiency tests should incorporate its dual meanings, enabling richer understanding of their intersection. / GR2018

This dissertation studies the demand and supply of liquidity with a particular focus on the financial intermediation sector. The first essay analyzes the role of financial intermediaries as suppliers of inside money. The demand for money arises from the needs of nonfinancial corporations to buffer liquidity shocks. The dynamic interaction between inside money supply and demand gives rise to a mechanism of financial instability that puts the procyclicality of intermediary leverage at the center. Introducing outside money, in the form of government debt, can be counterproductive, as it may amplify the procyclicality of inside money creation and intermediary leverage, making booms more fragile and crises more stagnant. The second essay addresses an issue that is left out in the first essay -- the interaction between money and credit. It offers a model of macroeconomy where intermediaries are needed for both money and credit creation. Specifically, entrepreneurs hold money to finance new projects, while intermediaries issue money backed by investments in existing projects. The complementarity between money and credit arises from financial frictions and amplifies economic fluctuations. In the third essay, my coauthors and I model the liquidity demand of banks. To buffer liquidity shocks, banks hold central bank reserves and can borrow reserves from each other. The propagation of liquidity shocks, depend on the topology of interbank credit network, but more importantly, on the type of equilibrium on the network (strategic complementarity vs. substitution). The model is estimated using data on reserves, interbank credit, bank balance sheets, and macroeconomic variables. We propose a method to identify banks that contribute the most to systemic risk, and offer policy guidance by comparing the decentralized outcome with the choice of a benevolent planner.