The first essay of this dissertation investigates the relationship between downside risk and returns of real estate investment trusts (REITs) and assesses the performance of real estate mutual funds (REMFs). We measure the asymmetric risk through downside and upside betas and through the measures incorporated higher moments such as coskewness and Leland's beta. We do not find significant contemporary relationship between the asymmetric risk and returns of REITs. There are only a small portion of REITs reacting to up and down market conditions differently. We find weak evidence that this asymmetric movement of REITs to market may be due to small and value components embedded in REITs. We evaluate the performance of real estate mutual funds (REMFs) from the asymmetric risk perception. According to our results, most of REMFs do not outperform the market. The downside risk helps to explain some of the abnormal returns associated with REMFs. However, the evaluation may be sensitive to the choices of the model and the market index being used. The second essay examines the liquidity of Asian REITs. We use various measures to assess the liquidity of JREITs and SREITs. The overall evidence indicates that the liquidity of JREITs is greater than that of SREITs. Comparing to non-REIT stocks, JREITs are less liquid than Japanese common stocks while there is no significant difference in liquidity between SREITs and Singaporean common stocks. There is also strong evidence that US REITs have smaller spreads and are traded more often than both JREITs and SREITs. We also find that the primary determinants of JREIT spreads are turnover and return volatility. The secondary factors that affect the spread of JREITs are life and property holdings. The dominant factors affecting SREITs' spreads are price, return volatility, and life. The significance of life suggests that there is a learning effect existed in both JREIT and SREIT markets in 2005.

This graduation thesis deal with the financial analysis of the company. Is elaborated for the needs of the owner and creditor of the company. Financial analysis covers the period basis of time 2006 - 2009. To assess the financial situation I use standard methods mentioned in the theoretical part.

Following the financial turmoil in 2007/2008 liquidity black holes (LBH) has become arising topic often discussed among academics as well as portfolio managers all around the world. More recent view on liquidity risk covers those liquidity black holes which occur when the liquidity completely dries up in a particular market and the market becomes one-sided. There are basically 2 channels through which liquidity can be affected - Demand and Supply. In first case, the portfolios of investors lose the value and consequently the investors lose confidence in financial system. In the second case, banks hit their capital constraints, they tighten the terms of providing credits and loans to reduce the credit risk exposure and hence it becomes more difficult for firms to raise the funds. At this point dangerous spiral arises and the liquidity of financial system evaporates rapidly. The crucial point of this master thesis is to find the main determinants of Liquidity Black holes and find possible solutions to avoid their appearance.

Cette thèse étudie les conditions d’accès des banques européennes au financement interbancaire non sécurisé entre 2006 et 2012. Elle contient trois essais empiriques explorant des micro-données relatives aux transactions interbancaires. La première étude empirique adopte une approche en termes de paires banque prêteuse/banque emprunteuse et montre que, une fois le risque de contrepartie et les imperfections de marché contrôlées, les banques ayant un risque de liquidité plus élevé paient une prime de taux d’intérêt. Nous montrons également que cette prime est augmentée par les banques disposant d’excès de liquidités, sans doute motivées par la thésaurisation ou des stratégies de “short-squeezing” des banques en besoin de liquidité. Cette étude souligne finalement l’imperfection du marché interbancaire et l’importance des diverses interventions de la BCE qui ont cherché à réduire le risque de liquidité des banques au cours de la crise. La seconde étude, par le biais d’un model 2P-FRM, explore empiriquement l’impact des relations de clientèle entre banques sur la structure de maturité de la dette interbancaire. Les résultats dévoilent que l’accès aux prêts interbancaires longs et non sécurisés est facilité par les relations durables avant et durant les périodes de stress. Cependant, lors des moments aigus de la crise suivant la chute de la banque Lehman, ces effets positifs des variables bilatérales de relations fortes, calculées comme la concentration des actifs sur une banque emprunteuse, ne sont pas là. La deuxième partie de notre modèle montre que la part en volume des crédits à terme est plus faible pour les couples de banques partenaires. Finalement, notre variable unilatérale de relation interbancaire, qui mesure la concentration du réseau d’emprunt de la banque prêteuse, s’avère impacter négativement les prêts à terme post-Lehman. Cela confirme l’hypothèse que le propre risque de refinancement court du prêteur peut être l’origine du gel post-Lehman des prêts interbancaires à terme. Finalement, le troisième essai explore le lien entre la segmentation du marché interbancaire et le noeud de corrélation des risques souverains/bancaires. En utilisant les changements des primes des CDS souverains et bancaires, nous proposons une mesure originale de corrélation partielle des spillovers souverains-banques, qui permet d’attribuer une direction pays-banques à la contagion. Les résultats montrent que ces spillovers accentuent la segmentation du marché monétaire Italien lors de la phase critique de la crise des dettes souveraines. De plus, l’étude montre que, même si l’impact pays d’origine/banques est important, la contagion venant d’autres souverains en crise est loin d’être négligeable. / This thesis studies European banks’ terms to access to unsecured interbank funding during the period 2006 to 2012. It contains three empirical essays exploring micro-data on interbank transactions. The first empirical study adopts a bank pair panel approach evidencing that, once counterparty risk and other market imperfections are controlled for, banks with higher funding liquidity risk (liquidity-short banks) pay an interest rate premium. The bank pair level analysis also permits to show that this premium is charged by liquidity-long banks, probably motivated by strategic short-squeezing or prudential hoarding purposes during the crisis. This study emphasizes the imperfection of interbank markets and the importance of theECB’s emergency interventions dedicated to dampening banks’ funding risk concerns. The second essay explores empirically the impact of relationship lending on the interbank debt maturity structure of banks by mean of a two-part fractional response model. The findings show that durable bilateral liquidity partnerships can positively impact the probability of contracting term loans before and during periods of acute stress. The positive effects of the bilateral relationship lending variable measured as asset-side concentration, is however, not straightforward, especially after the Lehman default. The second part of our model shows that the post-Lehman maturity shift is pronounced for partner banks. Finally, we find that our unilateral (lender level) relationship variable impacts negatively long term lending confirming the rollover risk viewpoint of the term interbank market freeze. Finally, the third essay investigates the link between interbank market segmentation and bank–sovereign risk nexus. Using bank and country CDS spread changes it suggests an original partial correlation based measurement of sovereign/bank spillovers providing us with a direction of contagion. Empirical findings from this part of the thesis evidence that bank-sovereign risk correlation is a significant source of fragmentation during the most acute phase of the sovereign debt crisis. Moreover, the study shows that, even if home country/bank ties impact seriously interbank market integration, the risk from other distressed countries is far from negligible.

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

The objective of this study is to analyze how liquidity shocks affect households\' decisions related to entrepreneurial activities in order to identify whether households are liquidity constrained. This study focused on households\' responses to anticipated income shocks, via the receipt of pension benefits, since under complete markets, decisions should not be affected by a liquidity shock when the timing and amount of that shock are known. We exploited the fact that eligibility rules for old age pension were partially determined by age and used a Fuzzy Regression Discontinuity Design to estimate the causal effects. The results suggest that Brazilian small business owners in the informal sector of the economy are liquidity constrained. / O objetivo do presente trabalho é analisar como choques de liquidez afetam as decisões de empreendedorismo dos domicílios a fim de identificar se os domicílios têm restrições de liquidez. Esse trabalho teve como foco a análise das respostas dos domicílios a choques antecipados de renda, advindas da aposentadoria, desde que com mercados completos, decisões não devem ser afetadas por um choque de liquidez quando o momento e a quantidade do choque são conhecidos. Utilizamos regressão descontínua para estimar este efeito causal, dado que a elegibilidade para aposentadoria por idade é parcialmente determinada pela idade do indivíduo. Os resultados sugerem que proprietários de pequenas empresas brasileiras do setor informal da economia sofrem problemas de liquidez.

Inúmeras razões podem levar uma empresa até então saudável a enfrentar dificuldades financeiras. Entretanto, as pesquisas demonstram que a falta de liquidez, geralmente, não é o problema central, mas apenas uma conseqüência de outros fatores que, possivelmente, já manifestaram seus sintomas antes da crise financeira se instalar. Se os primeiros indícios desta situação puderem ser percebidos em tempo hábil, talvez a espiral decrescente possa ser evitada ou revertida, desde que haja um trabalho consciente de detecção dos reais problemas enfrentados pela empresa, conjugado com intervenções rápidas e eficazes que restabeleçam o seu equilíbrio econômico e financeiro. Esta tese estuda todo este processo de recuperação de empresas em dificuldades financeiras, desde os sinais de uma eventual deterioração, o diagnóstico que identifique suas causas, a formulação de um plano de recuperação e a sua negociação com os stakeholders em circunstâncias de fortes conflitos de interesses, até o turnaround em si. Os objetivos centrais foram identificar fatores críticos que mais podem contribuir para o sucesso de uma recuperação e propor um modelo teórico que sirva de referência para a estruturação destes processos. Para tanto, esta tese desenvolveu uma significativa pesquisa qualitativa, com características descritivas, explicativas e exploratórias. A técnica utilizada como estratégia de coleta de dados foi a entrevista individual e em profundidade, visto que se buscava conhecer detalhes de um processo e o universo da pesquisa é composto por experts profissionais. Todas as entrevistas foram conduzidas com base em um formulário de pesquisa semi-estruturado e flexível, o que permitiu grande interação ao longo de diálogos orientados. A amostra da pesquisa se baseou no critério da representatividade, permitindo aprofundamento, abrangência e diversidade na compreensão das múltiplas dimensões de um turnaround. Foram entrevistados conceituados consultores com vasta experiência nesta atividade, além de outros importantes agentes envolvidos neste processo, como investidores, gestores, advogados e administradores judiciais. Trata-se de uma amostra representativa, cujo valor provém do conhecimento, da experiência e da reputação dos profissionais ouvidos. Os resultados da pesquisa distinguem causas e sintomas das crises financeiras e evidenciam a existência de problemas recorrentes, padrões de atitudes, erros e comportamentos que precedem o insucesso das empresas. Foram identificados dez fatores críticos de sucesso para a recuperação de empresas em dificuldades financeiras; são eles: negociação, estabilização, tempo, atitude, os fundamentos do negócio, credibilidade, informação, unidade de comando, implementação e uma oportunidade. Por fim, foi proposto um modelo conceitual com três dimensões básicas: estratégica, organizacional e financeira, cujas fases em cada dimensão evoluem ao longo do tempo e afetam a função-objetivo da empresa. / A previously healthy company can find itself in financial difficulty for countless reasons. Research shows, however, that lack of liquidity is generally not the central problem, but a consequence of other factors, whose symptoms may have already started to appear before the financial crisis began. If the first signs of this situation can be recognized far enough in advance, the downward spiral may be avoided or even reversed, as long as there is a conscious effort to detect the company\'s real problems, together with quick, effective interventions to reestablish economic and financial balance. This thesis examines the whole turnaround process of companies in financial difficulty, from the first signs of deterioration, through a diagnosis of the causes, the formulation of a recovery plan and negotiations with stakeholders in a situation where there are strong conflicts of interests, to the actual turnaround itself. Our main objectives were to identify the critical factors that most contributed to the success of a recovery and to propose a theoretical model to serve as a reference for the structuring of these processes. To this end, this thesis involved an extensive qualitative study, which was descriptive, explanatory, and exploratory. We used in-depth, individual interviews as a data collection strategy, since we were interested in the details of the process, and the interviewees were all experts. All of the interviews were based on a loosely structured, flexible questionnaire, which allowed a great deal of interaction throughout the prompted conversations. Study participants were chosen for their representativeness, allowing for depth, breadth, and diversity in the understanding of the multiple dimensions of a turnaround. We interviewed highly respected consultants with extensive experience in the area, as well as other important agents in the process, such as investors, managers, lawyers, and legal administrators. It is a representative sampling, whose value is derived from the knowledge, experience, and reputation of the professionals interviewed. The results of the study distinguish between causes and symptoms of financial crises and show that there are recurrent problems and patterns of attitudes, errors, and behaviors that precede such crises within companies. We identified ten factors critical to the successful recovery of companies experiencing financial difficulties, these being: negotiation, stabilization, time, attitude, business foundations, credibility, information, unity of command, implementation, and an opportunity. Finally, we propose a conceptual model with three basic dimensions - strategic, organizational, and financial - whose phases in each dimension develop over time and affect the objective function of the company.

Risk assessment on interbank networks has drawn attention from researchers since the 2007 Subprime mortgage crisis. The lack of data for interbank transactions, which are usually not disclosed unless required by regulatory bodies, is one of the most critical difficulties to this research. A remedy to this issue is the dense reconstruction of interbank networks by using balance sheet data. The Maximum-Entropy estimation has been adopted by literature, however, this method produces networks with unrealistic properties: too dense in terms of having too many links. One alternative is sparse reconstruction that proposed by literature recently. This thesis applies the Message-Passing algorithm, which is extensively applied in Thermodynamics or Computer Science, and is suggested by Mastromatteo et al. [2012] for application in network reconstruction. Dense networks and sparse networks are reconstructed from Statistics on Depository Institutions data provided by Federal Deposit Insurance Corporation, and are compared by performance in both network properties and contagion simulations. The popular contagion mechanisms proposed by Furfine [2003] and the model of liquidity dry-up contagion proposed by Malherbe [2014] are adopted and compared in contagion simulations. Results show that dense networks and sparse networks perform differently in network properties and in contagions triggered by single-bank failures, while for contagions triggered by multiple-bank failures, both types of networks perform similarly. Furfine’s mechanism fail to predict some bank failures via the credit risk contagion on liquidity side, while these failures can be simulated by the liquidity dry-up model via fire-sale and marking-to-market effect. Both mechanisms overestimate the losses before the crisis, yet this signals the instability of the banking system, while the liquidity dry-up model proposes an explanation for why the banking system did not fail before the crisis, regarding to whether the equilibrium of high liquidity will shift to the self-fulfilling liquidity dry-up equilibrium. Implications on regulation are given.

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