En omtvistad premie - En studie av likviditetspremien på Stockholmsbörsen
(2019) FEKH89 20182Department of Business Administration
- Abstract (Swedish)
- Studien syftar till att besvara frågan huruvida en signifikant likviditetspremie kan påvisas på Stockholmsbörsens small-, mid- och large-cap-listor för varje enskilt år under tidsperioden 2005 till och med 2015. Med utgångspunkt i resultaten ämnar studien bidra med en bedömning av huruvida investerare kompenseras för illikviditet på Stockholmsbörsen. Urvalet till studiens empiri består av data hämtad från Stockholmsbörsens small-, mid- och large-cap listor för åren 2005-01-01 till 2015-12-31. Studien har övergripande inte kunnat påvisa en signifikant likviditetspremie på varken large-, mid- eller small-cap-listorna under perioden 2005 till och med 2015. Resultatet visar dock på en statistiskt signifikant likviditetspremie för sju olika... (More)
- Studien syftar till att besvara frågan huruvida en signifikant likviditetspremie kan påvisas på Stockholmsbörsens small-, mid- och large-cap-listor för varje enskilt år under tidsperioden 2005 till och med 2015. Med utgångspunkt i resultaten ämnar studien bidra med en bedömning av huruvida investerare kompenseras för illikviditet på Stockholmsbörsen. Urvalet till studiens empiri består av data hämtad från Stockholmsbörsens small-, mid- och large-cap listor för åren 2005-01-01 till 2015-12-31. Studien har övergripande inte kunnat påvisa en signifikant likviditetspremie på varken large-, mid- eller small-cap-listorna under perioden 2005 till och med 2015. Resultatet visar dock på en statistiskt signifikant likviditetspremie för sju olika tidsperioder inom tidsspannet. Fem av dessa identifieras på mid-cap-listan under perioder av sämre marknadslikviditeten. Påverkan av likviditetsmåttet ILLIQ på överavkastning anses emellertid för liten för att vara ekonomiskt signifikant. Studien konkluderas i att investerare generellt sett inte kompenseras för illikviditet på någon av Stockholmsbörsens cap-listor. Vid konjunkturella fluktuationer, likt finanskrisen 2008, kan dock spår av en likviditetspremie identifieras. (Less)
- Abstract
- The purpose of the study is to determine if a statistically significant liquidity premium can be found on the size-based listings large-, mid-, and small-cap of Stockholm Stock Exchange, for every individual year spanning from 2005 to 2015. Moreover, the study aims to provide a general perception of whether investors are compensated for carrying the risk of illiquidity. To fulfill the purpose of the study, theory and the hypothesis is deduced through a quantitative method. The sample on which the study is implemented is retrieved from the large-, mid-, and small-cap listings of the Stockholm Stock Exchange for the years 2005-01-01 through 2015-12-31. A statistically significant liquidity premium across all time periods cannot be identified... (More)
- The purpose of the study is to determine if a statistically significant liquidity premium can be found on the size-based listings large-, mid-, and small-cap of Stockholm Stock Exchange, for every individual year spanning from 2005 to 2015. Moreover, the study aims to provide a general perception of whether investors are compensated for carrying the risk of illiquidity. To fulfill the purpose of the study, theory and the hypothesis is deduced through a quantitative method. The sample on which the study is implemented is retrieved from the large-, mid-, and small-cap listings of the Stockholm Stock Exchange for the years 2005-01-01 through 2015-12-31. A statistically significant liquidity premium across all time periods cannot be identified for either large-, mid- or small-cap. However, the study shows a statistically significant liquidity premium for seven different time periods ranging across all three size-based lists. Five of these periods are identified on the mid-cap listing, mainly during time periods of decreased market liquidity. The impact of illiquidity on excess returns during all seven time periods is deemed too small to have economic significance. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8971506
- author
- Schennings, Helena LU ; Berglund, Ludwig LU and Abrahamsson Svensson, Linnéa LU
- supervisor
- organization
- course
- FEKH89 20182
- year
- 2019
- type
- M2 - Bachelor Degree
- subject
- keywords
- Likviditetspremie, Illikviditet, Likviditetsmått, Klienteleffekt, Flight-to-liquidity, Effektiva marknader, Stockholmsbörsen
- language
- Swedish
- id
- 8971506
- date added to LUP
- 2019-02-19 13:19:52
- date last changed
- 2019-02-19 13:19:52
@misc{8971506,
abstract = {{The purpose of the study is to determine if a statistically significant liquidity premium can be found on the size-based listings large-, mid-, and small-cap of Stockholm Stock Exchange, for every individual year spanning from 2005 to 2015. Moreover, the study aims to provide a general perception of whether investors are compensated for carrying the risk of illiquidity. To fulfill the purpose of the study, theory and the hypothesis is deduced through a quantitative method. The sample on which the study is implemented is retrieved from the large-, mid-, and small-cap listings of the Stockholm Stock Exchange for the years 2005-01-01 through 2015-12-31. A statistically significant liquidity premium across all time periods cannot be identified for either large-, mid- or small-cap. However, the study shows a statistically significant liquidity premium for seven different time periods ranging across all three size-based lists. Five of these periods are identified on the mid-cap listing, mainly during time periods of decreased market liquidity. The impact of illiquidity on excess returns during all seven time periods is deemed too small to have economic significance.}},
author = {{Schennings, Helena and Berglund, Ludwig and Abrahamsson Svensson, Linnéa}},
language = {{swe}},
note = {{Student Paper}},
title = {{En omtvistad premie - En studie av likviditetspremien på Stockholmsbörsen}},
year = {{2019}},
}