Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 8 of 8 for “"liquidity premium"”.
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Essays in financial economics : terror, consumption, and investment, currency options and liquidity premium, and purchasing power parity
This thesis is composed of three chapters, each includes one paper. The first chapter includes a paper that analyses the impact of terror on consumption and investment. This paper provides evidence on how consumers and investors react to terror attacks based on a new database from the …
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Two Essays on Liquidity Essay I: Information Related Trading on Two Nearly Identical Options Essay II: The Importance of the Liquidity Premium in the Presence of Declining Transactions Cost
… options. The second essay examines whether the liquidity premium decreases as the costs of transactions decline. Nine liquidity measures are estimated to form liquidity deciles portfolios. I use several benchmark asset pricing models in fixed and rolling 36-month samples to estimate time …
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Mutual fund performance in emerging markets: the case of Thailand
… fund performance. We also explore the impact of liquidity on performance and performance measures. We find in this context that mutual fund managers, as a whole, do not have selectivity or timing ability and they do not give value added to investors. Most of the fund managers in Thailand invest …
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Index revisions, market quality and the cost of equity capital.
… the index membership enhances all aspects of liquidity, including trading continuity, trading cost and price impact. We also show that the liquidity premium and the cost of equity capital decrease significantly after additions, but do not exhibit any significant change following deletions. The …
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Macroeconomics and financial fragility
… markets. Positive shocks that increase market liquidity and prices exacerbate the production of low-quality assets and can increase the likelihood of a financial market collapse. An increase in government bonds increases total liquidity and reduces the incentives to produce bad assets, but can …
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Redefining risk: an investigation into the role of sequencing
Mehra and Prescott's (1985) equity premium puzzle has stirred continued debate on just why the average return on equity has been so high relative to the risk-free rate. Recent work by Backus, Gregory, and Zin (1989), Knez and Snow (1992), and Trainor (1992) have also documented a liquidity premium …
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A Comparative Analysis of the Determinants and Pricing of Liquidity in Floor and Electronic Trading Systems
… of their merits on market characteristics (e.g. liquidity) is controversial. This thesis is motivated by the desire to shed light on this controversy, and therefore aims to offer a comparative analysis of various aspects of liquidity under floor and automated trading systems. More specifically, …
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Essays in Monetary Economics and International Finance
… and for investors' pricing of the U.S. safety premium across asset classes. These three themes are, respectively, the subject of the three chapters of this thesis. They are bound together by a focus on the role of (U.S.) monetary policy for financial intermediation and asset pricing. Chapter 1, …