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Evaluating the Liquidity of Stocks using Transaction Data
Ivanchuk, Nataliya - 2004
In recent years a substantial amount of literature in one way or another deals with liquidity. The interest in it grows … measures of liquidity and publish them in the regular reports. But as in literature, there is still no consensus as what … liquidity really means and how it should be measured, or reported, understood or predicted, as the consistent summary of what …
Persistent link: https://www.econbiz.de/10009471789
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Post earnings announcement drift and stock liquidity in the US, the UK and French equity markets
Nguyen, N D - 2010
This thesis aims to investigate the influence of earnings news on stock liquidity and the relationship between … part of empirical work, the univariate panel analysis, shows that price reaction, volume response and liquidity effect are … liquidity can split in two directions. The immediate effect is the shock after the news, causing stock liquidity to decrease …
Persistent link: https://www.econbiz.de/10009465568
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New evidence on the relation between stock liquidity and measures of trading activity
Chai, Daniel; Faff, Robert; Gharghori, Philip - 2010
The goal of this paper is to examine two empirical issues regarding stock liquidity: (1) to what degree are different … liquidity proxies correlated? and (2) how are different liquidity proxies related to stocks' trading characteristics? Answers to … these questions will help us better understand whether there are common sources of liquidity. This has considerable …
Persistent link: https://www.econbiz.de/10009448704
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Essays on international corporate cash holdings
Jia, Yonghong - 2011
This dissertation is composed of two distinct chapters. The first chapter is concerned with the secular trends in corporate cash holdings and the determinants of the changing cash policies for seven industrialized countries--Australia, Canada, France, Germany, Japan, the US, and UK. In the first...
Persistent link: https://www.econbiz.de/10009431815
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Two essays on monetary union and international finance
Mahajan, Arvind (contributor); Saving, Thomas (contributor) - 2005
corporate liquidity (cash holdings of firms) from15 European Union (EU) countries [12 Economic and Monetary Union (EMU … the corporate liquidity literature are fourfold.First, I provide evidence that creditor rights also affect corporate … liquidity and theireffect is more consistent than that of shareholder rights. Second, I show that the recentformation of EMU …
Persistent link: https://www.econbiz.de/10009465029
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A Numerical Approach to Profile Investor Preferences from Option Prices
Marzetti, Marco - 2007
This paper introduces a behavioural model and an algorithm that allow define classes of investors and draw the size each of them from financial data. The nonparametric pricing kernel estimated from stocks and options quotes allows to derive an estimate of the market utility. At the micro level...
Persistent link: https://www.econbiz.de/10009467010
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Der Wandel des Kapitalanlageverhaltens im Lebenszyklus : eine sozioökonomische Betrachtung
Schuster, Sylvia - 2010
Ziel der Diplomarbeit ist es, aufzuzeigen, welche Einflussfaktoren auf den Kapitalanleger aus ökonomischer, soziologischer und psychologischer einwirken. Unter diesen Gesichtspunkten wird der Wandel des Anlageverhaltens eines Individuums in seinem fortschreitenden Lebenszyklus betrachtet.Durch...
Persistent link: https://www.econbiz.de/10009434253
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Die Persönlichkeit als Erklärungsansatz interindividueller Unterschiede im Anlegerverhalten an der Börse
Rothkopf, Birte - 2003
. Insgesamt war der Einfluß der Persönlichkeitseigenschaften auf das Anlageverhalten jedoch relativ gering, und dabei vor allem …
Persistent link: https://www.econbiz.de/10009467423
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Anlagestrategie Behavioral Finance : die Bedeutung verhaltensorientierter Anlagestrategien in der amerikanischen und deutschen Fondsindustrie
Jaunich, Arthur Oliver - 2008
Die Dissertation befasst sich mit der praktischen Umsetzung der Behavioral-Finance-Theorie im Bereich des Asset Managements. Hierzu werden zunächst die wesentlichen verhaltensorientierten Anlagestrategien gemäß Fachliteratur identifiziert. Auf Basis von Regressionsansätzen wird anschließend...
Persistent link: https://www.econbiz.de/10009467430
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Three Essays on High Frequency Financial Econometrics and Individual Trading Behavior
Nolte, Ingmar - 2008
. Developments in this field have addressed topics such as risk and liquidity measurement, market design, market microstructure and …
Persistent link: https://www.econbiz.de/10009471665