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Firm Level Factors Affecting Liquidity – The Swedish Stock Market

Pagoada, Jose LU and Jonsson, Kim LU (2015) NEKP03 20151
Department of Economics
Abstract
Purpose: The purpose of this study is to further look at which firm-adjustable factors affect the
liquidity of a firm's stock in the Swedish stock market. We also want to determine which out of
these suggested factors have a significant effect on liquidity across different proxies of liquidity.
Finally we aim to determine whether our findings are consistent with previous research
findings.
Methodology: A quantitative approach with the interpretation of the results from panel data
regressions.
Theoretical framework: Liquidity Capital Asset Pricing Model (LCAPM)
Empirical foundation: A sample of 433 firms during the time period 2000-2014
Conclusions: We come to the conclusion that the firm’s assets liquidity and the ownership
... (More)
Purpose: The purpose of this study is to further look at which firm-adjustable factors affect the
liquidity of a firm's stock in the Swedish stock market. We also want to determine which out of
these suggested factors have a significant effect on liquidity across different proxies of liquidity.
Finally we aim to determine whether our findings are consistent with previous research
findings.
Methodology: A quantitative approach with the interpretation of the results from panel data
regressions.
Theoretical framework: Liquidity Capital Asset Pricing Model (LCAPM)
Empirical foundation: A sample of 433 firms during the time period 2000-2014
Conclusions: We come to the conclusion that the firm’s assets liquidity and the ownership
structure, more specifically the cash and cash equivalents and the free floating shares, have a
positive relationship with liquidity for firms on the Swedish Stock market. These findings are
consistent with other studies in other markets. Our data did however not provide significant
results to establish a relationship between liquidity and capital structure or dividend payout
policies. (Less)
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author
Pagoada, Jose LU and Jonsson, Kim LU
supervisor
organization
course
NEKP03 20151
year
type
H2 - Master's Degree (Two Years)
subject
keywords
Liquidity, Illiquidity, Amihud measure, Bid Ask Spread, Turnover, Liquidity Premium, LCAPM
language
English
id
5467369
date added to LUP
2015-06-29 13:03:45
date last changed
2015-06-29 13:03:45
@misc{5467369,
  abstract     = {Purpose: The purpose of this study is to further look at which firm-adjustable factors affect the
liquidity of a firm's stock in the Swedish stock market. We also want to determine which out of
these suggested factors have a significant effect on liquidity across different proxies of liquidity.
Finally we aim to determine whether our findings are consistent with previous research
findings.
Methodology: A quantitative approach with the interpretation of the results from panel data
regressions.
Theoretical framework: Liquidity Capital Asset Pricing Model (LCAPM)
Empirical foundation: A sample of 433 firms during the time period 2000-2014
Conclusions: We come to the conclusion that the firm’s assets liquidity and the ownership
structure, more specifically the cash and cash equivalents and the free floating shares, have a
positive relationship with liquidity for firms on the Swedish Stock market. These findings are
consistent with other studies in other markets. Our data did however not provide significant
results to establish a relationship between liquidity and capital structure or dividend payout
policies.},
  author       = {Pagoada, Jose and Jonsson, Kim},
  keyword      = {Liquidity,Illiquidity,Amihud measure,Bid Ask Spread,Turnover,Liquidity Premium,LCAPM},
  language     = {eng},
  note         = {Student Paper},
  title        = {Firm Level Factors Affecting Liquidity – The Swedish Stock Market},
  year         = {2015},
}