Equity Style Indices and Liquidity in Europe

Contributing to the still scarce European evidence this thesis examines in detail different aspects of equity styles and systematic liquidity in Europe and their role with respect to European stocks and mutual funds. First, a consistent set of European style indices is outlined from which risk factors like market excess return, size, valuation and momentum, but also novel idiosyncratic risk and systematic liquidity factors are derived. The daily 2002 to 2009 time period examined contains the recent financial crisis. As based on a stochastic discount factor GMM based analysis, liquidity is found to help to price European stocks and a decrease in common liquidity during the recent period of market stress reveals the role of liquidity as a state variable of hedging concern to investors. Moreover, the risk factors including liquidity and idiosyncratic risk are found to be relevant in mutual fund performance evaluation as indicated by significant risk exposures of a set of mutual funds with European investment focus. However, regarding different models the risk-adjusted net performance of these funds is mainly found to be indistinguishable from zero, being in line with equilibrium models of fund performance. Furthermore, the dynamic abilities of fund managers with respect to liquidity and risk factor timing are examined by conducting unconditional as well as time-varying analyses based on a Kalman filter approach. The results reveal dynamics in the risk exposures of mutual funds, but evidence on daily risk factor timing is weak with respect to established risk factors as well as liquidity. Finally, the evidence that both liquidity and idiosyncratic risk affect the cross-section of asset returns suggests that both risk factors capture different return characteristics. As motivated by models of price discovery processes, liquidity might capture transaction costs, while idiosyncratic risk seems to capture effects of price discovery.

Level thesis:degree_level

thesis.doctoral

Grantor dc:publisher

Universität Passau

Year

2014

Author dc:creator

• Winter, Elisabeth

Contributors dc:contributor

• Wagner, Niklas

• Performancemessung
• Kalman Filter
• Risikofaktortiming
• Europa
• Finanzkrise
• Liquidity
• Asset Pricing
• Mutual Fund Performance
• Risk Factor Timing

Statement dc:rights

• Standardbedingung laut Einverständniserklärung

Repository record source_url

https://opus4.kobv.de/opus4-uni-passau/frontdoor/index/index/docId/203

OAI identifier oai:identifier

oai:kobv.de-opus4-uni-passau:203