Syfte: Syftet är att undersöka om det finns ett samband mellan aktiers likviditet och avkastning. Metod: Vår studie består av en kvantitativ metod där vi med hjälp av databasen Eikon från Thomson Reuters samlat in finansiella data. Vi har sedan med hjälp av Excel sammanställt och gjort beräkningar och slutligen gjort korrelationstester i statistikprogrammet SPSS. Resultat och slutsats: Studien skiljer sig från tidigare forskningsresultat då ingen signifikant likviditetspremie kan fastställas vid årlig ombalansering av portföljerna. När portföljerna behåller samma aktier under hela tidsperioden (6 år) finner vi däremot att den minst likvida portföljen genererar betydligt högre avkastning jämfört med den mest likvida portföljen. Bidrag: Studiens teoretiska bidrag stärker tidigare forskningsresultat om att beta inte är ett komplett riskmått vad gäller illikvida aktier. Ingen likviditetspremie uppkommer då innehavsperioden är ett år men då vår innehavsperiod istället är sex år finner vi stora skillnader mellan vår minst respektive mest likvida portfölj. Studiens praktiska bidrag riktar sig till investerare och företagsledare. Investerare kan vid längre tidsperioder nyttja LM12 som en investeringsstrategi för att skapa en överavkastning och företagsledare kan undersöka nyttan med att öka likviditeten i företagets aktier för att sänka företagets WACC och därmed öka värdet på företaget.  Förslag till vidare forskning: För att studera aktielikviditeten vidare skulle andra innehavsperioder (längre än ett år) för portföljerna kunna undersökas. Att undersöka längre tidsperioder för studien hade också varit intressant för att undersöka hur likviditetspremien varierar över tid. / Aim: The aim is to examine if there is a relationship between the liquidity and return of common stocks.  Method: This study consists of quantitative research method in which we have collected financial data using the Eikon database from Thomson Reuters. We then compiled and made calculations using Excel and finally made correlation tests in the statistics program SPSS. Result and conclusion: The results from this study differs from previous research results since no significant liquidity premium could be determined while using annual rebalancing of the portfolios. When the portfolios held the same stocks for the entire period (6 years), we found that the least liquid portfolio generated significantly higher returns compared to the most liquid portfolio.  Contribution of the thesis: The study's theoretical contribution strengthens previous research results in that beta is not a complete risk measure in terms of illiquid shares. No liquidity premium arises when the holding period is one year, but when our holding period is instead six years, we find great differences between our least and most liquid portfolio. The practical contribution of the study is aimed at investors and business leaders. Investors can use LM12 as an investment strategy to create an excess return during long holding periods, and business leaders can examine the benefits of increasing the liquidity of the company's common stock to lower the company's WACC and hence increase the value of the company. Suggestion for future research: In order to study the liquidity premium further, other holding periods (longer than one year) for the portfolios could be investigated. Investigating longer time periods for the study would also be interesting to investigate how the liquidity premium varies over time.

Thèse numérisée par la Division de la gestion de documents et des archives de l'Université de Montréal

The diploma thesis focuses on issuance of the primary bond by non-financial companies on the Prague Stock Exchange (PSE). In the theoretical part were described the main parameters of securities and financial indicators of companies that build the risk premium and discussed options of risk-free base. The application part presents the evaluation of major factors influencing price and bond rates on the example of emissions carried on the PSE.

The Diploma Thesis deals with the problems of an estimate of the discount rate and the single parameters used especially in the two basic methods for its determination: the surcharge (premium) method and the CAPM model. In the first part there are presented the effects which influence the discount rate and thus also the method of its estimate. The second part of the thesis describes the surcharge (premium) method which includes an estimate of the riskfree rate, the risk premiums and the liquidity premium. The third part of the work is devoted to the CAPM model, and it is divided into two chapters. Firstly, the CAPM model is derived in chapter 3. Then, in chapter 4, there are presented the possibilities of estimate of its single parameters and premiums which are most frequently added to the basic CAPM model.

[pt] Muitos pesquisadores acreditam haver relação entre os mercados de dívida externa soberana e corporativa. Esta idéia é corroborada pela observação em países desenvolvidos, cujos mercados de títulos privados são frequentemente acompanhados de ativa negociação e emissão de títulos do governo. A literatura acadêmica sobre o tema sugere que títulos soberanos possuem um papel de referência para a determinação do valor dos ativos corporativos. Em um contexto de mercado favorável para o Brasil, caracterizado pela obtenção do grau de investimento e captações externas frequentes, com custos cada vez mais baixos, analisamos o impacto que uma emissão soberana exerce sobre a liquidez de títulos de empresas brasileiras emitidos no exterior. A principal hipótese é que lançamentos soberanos contribuem para o aumento da liquidez ao reduzir o risco de seleção adversa associado à assimetria de informações. Constatamos que as emissões do governo diminuem o yield spread e bid-ask spread dos títulos corporativos de forma significativa. Esse resultado indica que títulos soberanos atuam como benchmarks e contribuem para o estabelecimento e crescimento do mercado de dívida externa corporativa. / [en] Many researchers believe there is a relationship between sovereign and corporate foreign debt markets. This idea is supported by the observation in developed countries, whose corporate bond markets are often accompanied by active trading and issuance of government bonds. The academic literature on the subject suggests that sovereign bonds have a reference role in the valuation of corporate assets. In a context of favorable market for Brazil, characterized by the investment grade status and regular external funding with lower costs, we analyze the impact a sovereign issue has on the liquidity of securities issued by Brazilian companies in the international market. The main hypothesis is that sovereign issuances contribute to increased liquidity as reduce the risk of adverse selection associated with asymmetric information. We note that government issues lowers the yield spread and bid-ask spread of foreign corporate bonds significantly. This result indicates that sovereign bonds act as benchmarks and contribute to the establishment and growth of the foreign corporate debt market.

為因應人口老化及少子化趨勢所帶來之長期經濟生活保障問題，政府於98年1月1日施行新制勞工保險，將年金給付納入保險制度。對於98年1月1日前有勞保年資且年資達十五年以上之勞工，於退休時可選擇舊制下的一次請領老年給付或是新制的老年年金給付。因此，需探討以一次請領或年金給付方式何者對勞工較為有利。本研究以流動性與內部報酬率之角度來分析探討勞工保險新制下一次給付與年金給付之差異，比較年金給付理論上須提供之流動性溢酬(liquidity premium)與勞保新制下年金給付實際上所提供的內部報酬率(隱含長壽收益，ILY)，以提供退休勞工選擇之參考。研究結果發現，在1.5到3的風險趨避係數之間，無論投保年資、平均月投保薪資與性別，年金給付之隱含長壽收益扣除無風險利率後皆高於所應提供之流動性溢酬，比例大約在2到38.9。其中最低投保年資十五年之ILY最高(1,984~2,633 b.p.)，之後隨年資遞減，年資超過三十年以上之ILY又開始遞增。在投保年資二十年以下，最低投保薪資提供較高的ILY。比較男性與女性之差異，女性之流動性溢酬與ILY皆高於男性。由以上結果顯示，勞工於退休時選擇請領老年年金給付方式較佳。 / In order to build up a complete Labor Insurance pension protection system and offer the insured person or insured person’s dependents long term living care, the system has added pension benefits on January 1, 2009. After the implementation of Labor Insurance pension program, the insured that has insurance coverage before January 1, 2009 could select the old-age one-time benefit or monthly pension benefit when they retire. Therefore, which benefit approach is better is an important concern for retiree. In this study, we take the concept of the liquidity premium and the implied longevity yield (ILY) to compare the old-age one-time benefit and pension benefit. The results show the ILY minus the risk-free rate would greater than the liquidity premium no matter what the insurance coverage years, insurance salary, gender, and the coefficient of relative risk aversion from 1.5 to 3, the ratio of the ILY to liquidity premium is about 2 to 38.9. Second, the insured with 15 coverage years has highest ILY (1,984~2,633 b.p.). Then the insured with lowest insurance salary and less than 20 coverage years could earn the highest ILY. Finally, the results indicate the female have higher ILY from annuitized pension benefit than the male. Overall, we find out that the implied longevity yield is higher than the liquidity premium under the old-age pension benefit. It would encourage insured to choose the old-age pension benefit when he/she retires.

This paper estimates the zero coupon yield curve for the Peruvian government bond market. We employ two methods of estimation proposed by Nelson y Siegel (1987) and Svensson (1994). Model performance is evaluated based on criteria of goodness of fit, flexibility and parameter stability, by using alternative objective functions for parameter estimation. The Svensson model shows on average a better adjustment; however, parameter estimates are more unstable when data availability is limited —for example when there is a small number of transactions in the secondary market— in which case is better to use the Nelson y Siegel estimates. At the end of the paper, yield curve estimates are used to derive market expectations of future short term interest rates, that are valuable sources of information for central bank’s monetary policy. / En el presente documento se estiman dos modelos para la curva de rendimiento en soles para el Perú, el modelo de Nelson y Siegel (1987) y el modelo de Svensson (1994). Se compara el desempeño de ambos modelos en términos de ajuste, flexibilidad y estabilidad de sus parámetros, y se evalúan funciones objetivo de estimación alternativas. El modelo de Svensson tiene el mejor ajuste, sin embargo, es más inestable cuando no se dispone de datos suficientes para los diferentes plazos de la curva de rendimiento —por la ausencia de emisiones o de precios cuando la negociación en el mercado secundario es incipiente— en cuyo caso es preferible el uso del modelo de Nelson y Siegel. En la parte final se muestra el uso de las curvas de rendimiento cupón cero estimadas como fuente de información de los bancos centrales sobre las expectativas del mercado para la evolución futura de la tasa interbancaria.

La spécificité de la tradition monétaire de Henry Thornton, Ralph George Hawtrey, John Maynard Keynes et John Richard Hicks, est de considérer le taux d'intérêt comme une variable influencée par la banque centrale. Ces auteurs peuvent être rattachés à une même tradition monétaire, différente de celle de Knut Wicksell, où le taux d'intérêt est déterminé par une variable réelle: le taux de profit. Dans la tradition de Thornton, le prêt et l'emprunt renvoient une vente et un achat de titres de dette. Ces derniers prennent une forme différente selon la période étudiée. Au dix-neuvième siècle, Thornton proposait que la Banque d'Angleterre contrôle, par des variations de son taux d'escompte, le prix de la liquidité de court-terme, étant la substituabilité des traites commerciales en monnaie. Un siècle plus tard, cette influence était effective. Cependant, au XXe siècle, avec le développement des marchés financiers, d'autre canaux de transmissions de la politique monétaire sont apparus. Bien que négligée par 1 littérature, une des controverses les plus représentatives de cette époque est celle d'Hawtre Keynes et Hicks. Ils conviennent que le taux court est un phénomène monétaire. En revanche, ils ne s'accordent pas sur la nature du taux long. Les débats portent sur la théorie pionnière d Keynes de la structure par terme des taux d'intérêt, les effets d'annonces, ainsi que les limite de l'arbitrage. / The specificity of the monetary tradition of Henry Thornton, Ralph George Hawtrey, John Maynard Keynes and John Richard Hicks is to consider the interest rate as mainly determined by the monetary policy. Those authors are part of the same monetary tradition, different that Knut Wicksell for whom the interest rate is a real variable: the rate of profit. The process of borrowing and lending, in the monetary tradition analyzed in my PhD thesis, corresponds to a sale and a purchase of debts. Debts take a different form according to the period studied. ln the nineteenth century, Thornton wrote that the Bank of England should be able to manage, by varying its discount rate, the price of short-term liquidity, which is the substitution of bills againt money. ln the twentieth century, other transmission channels of monetary policy appeared wit the evolution of financial markets. Although neglected by the literature, one of the most representative controversy at that time was between Hawtrey, Keynes and Hicks. All made a theory in which the short-term rate is a monetary phenomenon. They however disagreed on the nature of the long-term rate. The debate is on Keynes's pioneering theory of the term structur of interest rates, the announcement effects, and the limits to arbitrage.