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Bibow, Jörg. "Essays on liquidity preference theory." Thesis, University of Cambridge, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.388765.
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Killeen, William P. "Essays on liquidity." Thesis, Queen's University Belfast, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.269060.
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Panyanukul, Sakkapop. "Liquidity and international bond pricing." Thesis, University of Warwick, 2010. http://wrap.warwick.ac.uk/35533/.
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This thesis focuses on the liquidity risk and its impact on bond prices of the international markets and comprises three self-contained research papers. In the first research paper, we examine the role of the liquidity in the pricing of sovereign U.S. dollar bonds in emerging markets. We extend Acharya and Pedersen’s (2005) liquidity-adjusted capital asset pricing model to the bond market and find that both liquidity level and multiple liquidity risks are priced factors for the expected excess return of U.S. dollar bonds issued by developing countries. The combined effects of liquidity risk and liquidity level can explain as much as 1% per annum extra yield spread for the countries that have higher liquidity betas. Countries, which have a high correlation with the global market or U.S. stock market, have higher required bond returns than low correlation countries. The liquidity factor helps explain the credit spread puzzle of high yields. Our empirical results also support a flight to liquidity across the studied countries and are robust after controlling for bond characteristics and the U.S. risk factors. The second research paper finds that both liquidity level and liquidity risk are important in explaining the cross-section of domestic government bond returns in 39 countries (both emerging and developed) around the world. After controlling for other market factors and bond characteristics, liquidity level and liquidity risk together can explain as much as 0.41% per annum of extra yield for the highest versus the lowest liquidity risk countries, which are China and Argentina respectively. There is also an evidence of liquidity spillovers from the U.S. equity market to domestic bond markets around the world. Employing a conditional model, which allows both time-series and crosssectional variations in liquidity betas, we find that the impact of liquidity risk is time varying across two different regimes: it increases in times of high uncertainty and is always larger in emerging than in developed countries. Nevertheless, the price of risk or premium required by investors for holding this time-varying risk is relatively modest. The third research paper examines whether liquidity spillovers between sovereign bonds are systematic or idiosyncratic in character. A theoretical model is developed, which demonstrates that idiosyncratic spillovers require returns to be correlated, whereas systematic spillovers require volatilities to be correlated. We apply the model to sovereign bonds in 35 emerging markets, aggregated for some analyses into Asian, European and Latin American regions. We find liquidity spillovers mainly from Latin America to the other regions and they are both systematic and idiosyncratic in character. Further cross-sectional analysis (by country) and time-series analysis (by region) show that systematic spillovers are more important than idiosyncratic spillovers. The conclusion is that most liquidity risk across emerging bond markets is systematic and therefore cannot easily be hedged away. This has important implications for portfolio selection by fund managers and for the regulation of systemic risk.
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Weber, Guglielmo. "Consumption, liquidity constraints and aggregation." Thesis, London School of Economics and Political Science (University of London), 1988. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.262094.
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Culham, James. "A conceptual framework for a theory of liquidity." Thesis, Federation University Australia, 2018. http://researchonline.federation.edu.au/vital/access/HandleResolver/1959.17/165439.
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This study contributes to the understanding of liquidity in two ways. First, it considers the multifaceted nature of liquidity and its relationship with money. Second, it constructs a conceptual framework for a theory of liquidity. The first contribution is achieved by clarifying and categorising the various forms of liquidity to identify those overlooked by the existing literature. The second contribution consists of a realist critique of the literature on liquidity and money to highlight the strengths and weaknesses of each theoretical approach. The study reflects on the attempts to analyse liquidity using moneyless models of perfect barter with the assumption that every commodity exhibits perfect saleability; an assumption that removes any need for a medium of exchange and, moreover, crowds out all other forms of liquidity. It is concluded that, because liquidity is a social and monetary phenomenon, it cannot be analysed with models populated by a representative agent consuming a single commodity. Furthermore, this conclusion is not altered by the introduction of ‘financial frictions’, which are fundamentally at odds with the nature of money. Instead, the clarification of the nature of liquidity forms the basis for an interpretation of Keynes’s theory of liquidity preference that emphasises its reliance on liquidity in general, not money in particular. The study introduces the terms redemption liquidity and exchange liquidity to explain the trade-off that underpins the theory of liquidity preference. Properly interpreted, the theory of liquidity preference can then address many of the deficiencies prevalent in the dominant theories of the rate of interest. The study therefore has implications for monetary policy and asset pricing.Doctor of Philosophy
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Lopez-Mejia, Alejandro. "Liquidity constraints, near rationality and consumption." Thesis, Queen Mary, University of London, 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.390359.
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Xu, F. "Essays on aggregate liquidity and corporate events." Thesis, City University London, 2009. http://openaccess.city.ac.uk/12029/.
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A sizeable stream of theoretical and empirical research in corporate finance reveals that corporate investment and financing activities in capital markets occur in waves through time, which are accompanied with many abnormal phenomena surrounding and after the announcement of events. Motivated by existing studies in firm-level and aggregate-level liquidity, which suggest the influence of (aggregate) liquidity on the activity and quality of corporate events, the purpose of this thesis is to investigate and understand the role of aggregate liquidity in explaining existing phenomena associated with corporate investment and financing events including mergers and acquisitions (M&A), initial public offerings (IPOs), seasoned equity offerings (SEOs), and, finally, corporate asset sales. Liquidity is an important and special asset for firms operating in imperfect capital markets. At aggregate level, corporate holdings of liquidity and the market provision of liquidity play important roles in capital markets, which inevitably affect the decision making and performance of corporate events. In this research, I investigate whether corporate investment and financing events occurring during high aggregate liquidity markets are fundamentally different from those occurring during low aggregate liquidity markets. Empirical evidences in this research show that the activity and quality of major corporate investment and financing events are substantially influenced by aggregate liquidity. Moreover, many of the market anomalies concentrate in certain aggregate liquidity conditions. For M&A, I find that there are more acquisitions in highliquidity periods, and acquirers buying during high-liquidity markets have significantly higher pre-announcement returns, but lower post-merger abnormal returns. For IPOs and SEOs, results show that there are many more public equity offerings in high-liquidity periods than in low-liquidity periods. Offering firms selling securities during high-liquidity markets have significantly higher occurrences of underpricing (discounting) and suffer larger long-run underperformance. For asset sales, highliquidity divesting firms have better performance measured by firm characteristics and post-sale returns.
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Dalsenius, Martin. "Effects of Stock Market Liquidity on Growth: Empirics and Theory." Thesis, Uppsala University, Department of Economics, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-8077.
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Historically, it has been difficult to obtain solid data on stock market liquidity for large parts of the world. In recent years, however, the availability of data has improved, but does still have troubles with concentrations to recent years and to relatively wealthy countries. Thus, samples based on balance between industrialized and developing countries may easily come to include very few of the poorest countries. Also, recent theory suggests differences in the impact of stock market liquidity on growth between very poor and other countries. While several papers that have used these data have found significance for liquidity on growth globally, they have also been criticized for potential selection bias and for limited time depth.
In this thesis we construct a sample based on attempting to get the representation of the poorest countries at least reasonably good. We then test the significance of liquidity on growth globally using this sample; we test if there are significant differences between countries of different wealth levels and if the time span is still long enough for the results of our tests to be relevant.
We find that adjusting for the under representation of the poorest countries comes at the expense of getting a very limited time span. The sample became strongly weighted to the mid and late 90s and the impacts of large unsubstantiated fluctuations in global stock prices (the Asian crisis) are evident in the regression results. We conclude that as of today the data simply are not good enough, or extend far enough back in time, for estimating the impact of liquidity on growth globally, or differences between groups of countries, over a relevant time span.
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Ochiai, Hiroshi. "Essays on aggregate dynamics : externalities, liquidity and financial crises." Thesis, University of Nottingham, 2012. http://eprints.nottingham.ac.uk/12525/.
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In the second chapter, we consider a mechanism of unstable fluctuations of aggregate investments by means of a global game approach. For this purpose, we extended a static global game to a dynamic one and paid attention to the effect of past aggregate investments on current profitability. Once this effect of aggregate investments between periods is taken into account, we can show that firms’ equilibrium strategies of investments become highly volatile over time. Moreover, long persistence of high or low economic activity can be explained by this model as well. The third chapter examines the effect of firms’ funding liquidity on macroeconomic dynamics and the role of liquidity markets. Here, we regard liquidity as firms’ accumulated net worth and introduce heterogeneity between firms with regard to their productivities and accumulation of their net worth. From our analysis, we show that under existence of externality between probabilities of liquidity shocks 1) the economy without liquidity markets is highly volatile. 2) Liquidity markets insulate the economy from liquidity shocks. 3) During an unstable economic environment, the economic activity can sharply drop in the existence of liquidity markets. The fourth chapter aims at showing risk shifting behaviour of financial intermediaries in the context of an economic growth model to analyze financial crises. In the low capitalized economy in which a rate of return on safe assets is high and households’ assets are scarce, investing in corporate sectors is more profitable than that of risky assets because the option value from investing in risky assets is low. However, as the economy grows, the rate of return on safe assets is decreasing whereas individual assets are increasing. In this situation, the option values of risky assets are increasing, which gives banks incentive to invest in risky assets leading some of the banks to be insolvent.
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Peiris, Mahatelge Udara. "Essays in money, liquidity and default in the theory of finance." Thesis, University of Oxford, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.543623.
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Johansson, Jakob, and Hallberg Martin. "Does Corporate Liquidity Affect Dividend Policy? : A Quantitative Study on Public European Firms." Thesis, Umeå universitet, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-184863.
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This thesis examines the relationship between corporate liquidity and dividend policy. The corporate liquidity is measured by proven liquidity ratios and the dividend policy is divided into cash dividends and share repurchases. In order to examine the possible relationship between corporate liquidity and dividend policy, public European firms are examined. Denmark, France, Germany, Norway, Sweden, and the UK are selected based on the similarities in the regulation and market structure in the countries. The thesis aims at furthering the knowledge on the role played by corporate liquidity for dividend policy. In our ambition to investigate the before-mentioned relationship we use a panel data set over five years extracted from Datastream. Any newfound evidence on the subject can help investors, creditors, and other stakeholders in evaluating firms based on their liquidity. We used a deductive quantitative method to analyse the chosen relationship. The study concluded a significant relationship between corporate liquidity and dividend, although negative as opposed to our expectations. With regards to share repurchase, no significant effect was found from corporate liquidity. Free cash flow on the other hand appears to have a positive effect on the amount of share repurchases carried through. We discuss mentioned relationships and attribute them to the mature firms in this sample and the liquidity levels of mature firms.The theories supporting these findings are Agency Theory, Pecking Order Theory, Shareholder Theory, Stakeholder Theory, Liquidity Preference Theory.
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Ding, Shusheng. "Pricing futures and real options with a liquidity factor : theory and evidence." Thesis, University of Nottingham, 2016. http://eprints.nottingham.ac.uk/37114/.
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Liquidity is one of the most intensively topics researched in financial economics for the last decade. Against this backdrop, this thesis attempts to address issue of liquidity in derivative markets and derivative models. It begins with the provision of empirical evidence that liquidity risk can serve as an additional risk factor to market risk factor in pricing the commodity futures and it also outlines the vital role played by liquidity in futures prices of commodity co-movement and co-integration. Empirical evidence yields strong support on futures pricing model building, where factors should include both market risk and liquidity risk. On above basis, this thesis builds two-factor futures pricing model by taking liquidity risk into account. I have also used 20-year oil futures market data to empirically justify liquidity-adjusted futures pricing model compared with traditional future pricing model without liquidity factor. I utilize mean pricing error (MPE) and root mean squared error (RMSE) to estimate errors for both models and I also adopt T-test for statistical significance justifications. For most years, liquidity adjusted futures pricing model performs better than the traditional model with results being statistically significant. More importantly, liquidity adjusted futures pricing model can predict spot prices and futures prices simultaneously, which means only one model can be applied in both spot price predictions and futures price predictions based purely on historical market information. Existing models either predict futures prices by using spot prices (e.g. Black, 1976) or use futures prices to predict spot prices (e.g. Reichsfeld and Roache, 2011). As a result, my model has a great degree of prediction power with its prediction errors being less than 3\%, which is relatively small. Therefore, it is arguable, that liquidity risk plays a key role in commodity futures markets and illiquidity of those assets could prove influential on firms' daily operations. I also build an intrinsic nexus between real options theory and real asset illiquidity to accommodate this issue. Study of the new real options model reveals effects of real asset illiquidity towards investment threshold and flexibility values, namely, exercise boundary and real options values, which is complementary to existing real options and corporate finance literatures. Instead of constructing free boundary line, which shows effects of time and asset price, the model presents a three-dimensional ‘free surface’, which indicates not only effects of time and asset price, but also that of asset illiquidity. The new model contributes to two types of existing literatures. The first type focuses on effects of real asset illiquidity (mainly physical asset) on corporate investment and cost of capital. Illiquidity of existing physical assets will decrease corporate investment and increase cost of capital (Gan, 2007; Flor and Hirth, 2013, and Ortiz-Molina and Phillips, 2014). In addition to physical asset illiquidity, I distinguish physical asset from (expected) inventory asset within real asset category. The new model shows that the inventory asset illiquidity would also shape the corporate investment behaviors. Additionally, the model also relates to literatures that document investment booming during unfavourable market conditions. I argue real asset illiquidity could engender the suboptimal exercise of real options. Simulation results of the new model illustrate that investment threshold becomes lower as waiting value and flexibility get eroded by asset illiquidity. Because of lower exercising boundaries, firms have higher a probability to exercise real options, but at lower values, which results in suboptimal exercise of real options. The suboptimal exercise of the real options due to the asset illiquidity might provide an interpretation for the investment booming during unfavourable market conditions. More importantly, I argue that the suboptimal exercise of real options might undermine firm value and thus firms shall be more prudent to invest when the environment is unfriendly.
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El, Ghandour Laila. "Liquidity risk and no arbitrage." Thesis, Stellenbosch : Stellenbosch University, 2013. http://hdl.handle.net/10019.1/79975.
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Thesis (MSc)--Stellenbosch University, 2013.ENGLISH ABSTRACT: In modern theory of finance, the so-called First and Second Fundamental Theorems of Asset Pricing play an important role in pricing options with no-arbitrage. These theorems gives a necessary and sufficient conditions for a market to have no-arbitrage and for a market to be complete. An early version of the First Fundamental Theorem of Asset Pricing was proven by Harrison and Kreps [30] in the case of a finite probability space. A more general version was proven by Harrison and Pliska [31] in the case of a finite probability space and discrete time. In the case of continuous time, Delbaen and Schachermayer [19] introduced a more general concept of no-arbitrage called "No-Free Lunch With Vanishing Risk" (NFLVR), and showed that for a locally-bounded semimartingale price process NFLVR is essentially equivalent to the existence of an equivalent local martingale measure. The goal of this thesis is to review the theory of arbitrage pricing and the extension of this theory to include liquidity risk. At the current time, liquidity risk is a key challenge faced by investors. Consequently there is a need to develop more realistic pricing models that include liquidity risk. We present an approach to liquidity risk by Çetin, Jarrow and Protter [10]. In to this approach the liquidity risk is embedded into the classical theory of arbitrage pricing by having investors act as price takers, and assuming the existence of a supply curve where prices depend on trade size. This framework assumes that the quantity impact on the price transacted is momentary. Using trading strategies that are both continuous and of finite variation allows one to avoid liquidity costs. Therefore, the First and Second Fundamental Theorems of Asset Pricing and the Black-Scholes model can be extended.
AFRIKAANSE OPSOMMING: In moderne finansiële teorie speel die sogenaamde Eerste en Tweede Fundamentele Stellings van Bateprysbepaling ’n belangrike rol in die prysbepaling van opsies in arbitrage-vrye markte. Hierdie stellings gee nodig en voldoende voorwaardes vir ’n mark om vry van arbitrage te wees, en om volledig te wees. ’n Vroeë weergawe van die Eerste Fundamentele Stelling was deur Harrison en Kreps [30] bewys in die geval van ’n eindige waarskynlikheidsruimte. ’n Meer algemene weergawe was daarna gepubliseer deur Harrison en Pliska [31] in die geval van ’n eindige waarskynlikheidsruimte en diskrete tyd. In die geval van kontinue tyd het Delbaen en Schachermayer [19] ’n meer algemene konsep van arbitragevryheid ingelei, naamlik “No–Free–Lunch–With–Vanishing–Risk" (NFLVR), en aangetoon dat vir lokaalbegrensde semimartingaalprysprosesse NFLVR min of meer ekwivalent is aan die bestaan van ’n lokaal martingaalmaat. Die doel van hierdie tesis is om ’n oorsig te gee van beide klassieke arbitrageprysteorie, en ’n uitbreiding daarvan wat likideit in ag neem. Hedendaags is likiditeitsrisiko ’n vooraanstaande uitdaging wat beleggers die hoof moet bied. Gevolglik is dit noodsaaklik om meer realistiese modelle van prysbepaling wat ook likiditeitsrisiko insluit te ontwikkel. Ons bespreek die benadering van Çetin, Jarrow en Protter [10], waar likiditeitsrisiko in die klassieke arbitrageprysteorie ingesluit word deur die bestaan van ’n aanbodkromme aan te neem, waar pryse afhanklik is van handelsgrootte. In hierdie raamwerk word aangeneem dat die impak op die transaksieprys slegs tydelik is. Deur gebruik te maak van handelingsstrategië wat beide kontinu en van eindige variasie is, is dit dan moontlik om likiditeitskoste te vermy. Die Eerste en Tweede Fundamentele Stellings van Bateprysbepaling en die Black–Scholes model kan dus uitgebrei word om likiditeitsrisiko in te sluit.
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Kihlström, Gustav. "A self-normalizing neural network approach to bond liquidity classication." Thesis, KTH, Matematisk statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-229405.
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Bond liquidity risk is complex and something that every bond-investor needs to take into account. In this paper we investigate how well a selfnormalizing neural network (SNN) can be used to classify bonds with respect to their liquidity, and compare the results with that of a simpler logistic regression. This is done by analyzing the two algorithms' predictive capabilities on the Swedish bond market. Performing this analysis we find that the performance of the SNN and the logistic regression are broadly on the same level. However, the substantive overfitting to the training data in the case of the SNN suggests that a better performing model could be created by applying regularization techniques. As such, the conclusion is formed as such that there is need of more research in order to determine whether neural networks are the premier method to modelling liquidity.Likviditeten hos obligationer är komplicerad och ett fenomen som varje obligationsinvesterare måste ta itu med. I den här rapporten undersöks hur pass väl ett själv-normaliserande neuralt nätverk kan användas för att klassifiera obligationer med avseende på deras likviditet, samt jämförs detta resultat med när en simplare logistisk regression används. Detta görs genom att analysera de två algoritmernas prediktiva kapacitet på den svenska obligationsmarknaden. Efter genomförd undersökning finner vi att SNN och logistisk regression presterar på liknande nivåer. I fallet med SNN finns dock en stor overfit till träningsdatan, vilket indikerar att en bättre modell möjligtvis skulle kunna nås om vanliga regulariseringsmetoder skulle användas. Slutsatsen blir därmed att det finns behov av mer forskning på ämnet för att dra en konklusion huruvida neurala nätverk är den bäst lämpade samlingen av algoritmer för modellering av likviditet.
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Porcellacchia, Davide. "Three essays on money and banking : effects of monetary policy on liquidity risk." Thesis, London School of Economics and Political Science (University of London), 2018. http://etheses.lse.ac.uk/3812/.
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This thesis studies the effects of monetary policy on liquidity risk. I extend the model of financial intermediation developed by Diamond and Dybvig (1983) to include a monetary authority. Through the lens of different versions of this model, I study the effects of negative interest on reserves, of payment of positive interest on reserves and of a large central-bank balance sheet. In the first essay, I study optimal monetary policy in the model's liquidity trap. I find that a negative interest on reserves is effectively a tax on the banking system. As such, it leads to less effective financial intermediation and therefore increases liquidity risk. On the other hand, it also acts as a tax on saving and therefore has the effect of boosting aggregate demand. I find that in the liquidity trap, when aggregate demand is insufficient to absorb the economy's full productive capacity, it is optimal for the central bank to set a strictly negative interest on bank reserves. The second essay adds financial markets to the model. Banks faced with competition for savings from financial markets are unable to fully insure depositors' liquidity risk. In this setting, I ask whether appropriate monetary policy can improve the economy's equilibrium outcome. I find that paying a positive interest on bank reserves is welfare improving. There exists a strictly positive level of interest on reserves that implements the economy's efficient allocation. In the last essay, I make the model's term structure of interest rates endogenous. I find that the central bank can control the term premium by varying the size of its balance sheet. In particular, issuing bank reserves lowers the return on long-term assets. I show that in this setting optimal monetary policy requires a large central-bank balance sheet.
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Harr, Martin. "Option Pricing in the Presence of Liquidity Risk." Thesis, Umeå University, Department of Physics, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-35100.
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The main objective of this paper is to prove that liquidity costs do exist in option pricingtheory. To achieve this goal, a martingale approach to option pricing theory is usedand, from a model by Jarrow and Protter [JP], a sound theoretical model is derived toshow that liquidity risk exists. This model, derived and tested in this extended theory,allows for liquidity costs to arise. The expression liquidity cost is used in this paper tomeasure liquidity risk relative to the option price.
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Harr, Martin. "The Impact of Liquidity Risk in Option Pricing Theory with a Supply Curve." Thesis, Umeå University, Umeå School of Business, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-35101.
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Fisher Black and Myron Scholes (Black and Scholes, 1973) presented in 1973 a valuation model for options that was intuitive and user friendly. This revolutionized the option market and made pricing an option easy.
To get a sound understanding of liquidity risk we have to specify and describe liquidity (Matz and Neu, 2007, p.5). Market liquidity and funding liquidity are two kinds of liquidity. Market liquidity can be described as good when a security is easy to trade. Easy to trade is defined as small bid ask spread, small price impact and high resilience. If a bank or investor have good funding liquidity they have good availability of funds by their own capital or from loans.
The meaning of liquidity risk can be divided into two major risks; market liquidity risk and funding liquidity risk (Pedersen, 2008). Market liquidity risk is the risk that the market liquidity gets worse when a trade needs to be made and this is the risk focused on in this paper.
Do liquidity costs in option pricing theory exist and does it depend on a real supply curve?
The main objective in this paper is to show if liquidity risk has a significant impact on option price and depends on a real supply curve. The study is based on theory and conclusions from earlier research. Built from Jarrow and Protters work in liquidity risk in option price (Jarrow and Protter, 2007) a model for the supply curve is derived.
The scientific ideal in this paper has a clear positivistic approach. The quantitative method is my choice not only because of the link between positivism, deduction and quantitative methods but gives a certain advantage when considering this problem formulation and the type of data accessible. A model is derived with a base from a model derived by Jarrow and Protter (2007) and used to show the impact of liquidity risk in the option pricing theory.
The result presented in this paper has shown that liquidity costs exist in theory and in practice, and this cost are binding. This model can be used to get exact costs in a specific case with a specific option and can help brokers to know the real liquidity risk they are exposed to.
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Artzer, Steven P. "Does a "liquidity trap" exist today (2009) and does it matter." Thesis, Manhattan, Kan. : Kansas State University, 2009. http://hdl.handle.net/2097/2280.
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Zhelezov, Dmitry, and Ivan Yamshchikov. "Liquidity and optimal consumption with random income." Thesis, Högskolan i Halmstad, Tillämpad matematik och fysik (MPE-lab), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-16108.
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In the first part of our work we focus on the model of the optimal consumption with a random income. We provide the three dimensional equation for this model, demonstrate the reduction to the two dimensional case and provide for two different utility functions the full point-symmetries' analysis of the equations. We also demonstrate that for the logarithmic utility there exists a unique and smooth viscosity solution the existence of which as far as we know was never demonstrated before. In the second part of our work we develop the concept of the empirical liquidity measure. We provide the retrospective view of the works on this issue, discuss the proposed definitions and develop our own empirical measure based on the intuitive mathematical model and comprising several features of the definitions that existed before. Then we verify the measure provided on the real data from the market and demonstrate the advantages of the proposed value for measuring the illiquidity.
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Kovaleva, Polina. "Trading in electronic markets : the challenges of imperfect liquidity and reduced pre-trade transparency." Thesis, City University London, 2014. http://openaccess.city.ac.uk/3674/.
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This thesis is motivated by the progressive expansion of electronic markets with reduced pre-trade transparency and the collateral liquidity effects. In this thesis I develop three independent theoretical models and explore the repercussions of weak market liquidity and transparency. First, I approach the issue of limited liquidity through the optimal order placement problem of a risk-averse trader in a continuous time context and introduce a random delay parameter, which defers limit order execution and characterises market liquidity. This framework demonstrates that imperfect liquidity explains order clustering in the proximity of best quotes and the existence of the bid-ask spread. The distribution of expected time-to-fill of limit orders conforms to the empirically observed distribution of trading times, and its variance decreases with liquidity. Finally, two additional stylised facts are rationalised in this model: the equilibrium bid-ask spread decreases with liquidity, but increases with agents’ risk aversion. My second framework adjoins the few theoretical attempts in the literature to challenge investors’ incentives to participate in opaque trading environments. Through a real option approach I justify how market opacity can encourage liquidity provision, which, in turn, supports the empirical evidence on the proliferation of such trading venues. I demonstrate that transparency in conjunction with liquidity determine traders’ eagerness to supply liquidity to the opaque market, and that once the trader enters the opaque market, he commits to trade relatively quickly. Furthermore, error analysis reveals that impatient traders are highly likely to pass over favourable trade execution offered in the opaque market precisely because of imperfect clarity of information signals, while a prior optimistic bias prompts the trader to submit his limit order sooner. Lastly, as a complement to static inference on individual level, I establish an artificial market with heterogeneous agents and distinct transparency regimes that replicates the long memory properties and empirical order flow patterns. The results suggest that full quote transparency incurs substantial transaction costs and dampens trading activity, while exogenous restriction of displayed depth up to several quotes does not alter significantly market performance. The core implication of this model is that the endogenous restriction of displayed quote depth by means of iceberg orders improves market quality in multiple dimensions. This thesis contributes to the microstructure domain by providing a theoretical support to the benefits of market opacity as well as its downsides. The research outcomes of this thesis are, therefore, relevant from a regulatory standpoint.
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Benito, Ruiz Enrique. "Asset encumbrance, size distribution and liquidity provision : three essays on banking." Thesis, City, University of London, 2018. http://openaccess.city.ac.uk/19676/.
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This thesis presents three papers in the field of banking. The first paper considers ‘asset encumbrance’ which refers to the existence of bank balance sheet assets being subject to arrangements that restrict the bank’s ability to freely transfer or realise them. Asset encumbrance has recently become a much discussed subject and policymakers have been actively addressing what some consider to be excessive levels of asset encumbrance. Despite its importance, the phenomenon of asset encumbrance remains poorly understood. I build a novel dataset of asset encumbrance metrics based on information provided in the banks’ public disclosures for the very first time throughout 2015. The study then provides descriptive evidence of asset encumbrance levels by country, credit quality, and business model using different encumbrance metrics. The empirical results point to the existence of an association between CDS premia and asset encumbrance that is negative, not positive. That is, on average encumbrance is perceived to be beneficial. Still, certain bank-level variables play a mediating role in this relationship. For banks that have high exposures to the central bank, high leverage ratio, and/or are located in southern Europe, asset encumbrance is less beneficial and could even be detrimental in absolute terms. The second paper investigates the size distribution of the whole population of Spanish commercial, savings and cooperative banks from a dynamic perspective over the 1970-2006 period. To investigate the evolution of the size distribution, the study determines whether the data is in line with the Law of Proportionate Effect (LPE) using panel unit root tests. A key finding is that the size-growth relationship is not stable over time but changes depending on the competitive environment of banks (liberalization, deregulation and integration). When Spanish banking was highly regulated we find that smaller banks grew faster than their larger counterparts. In recent years, however, we find that larger banks grow at the same rate or faster than smaller banks, a result that lend towards LPE acceptance. Thus, the study corroborates the conditioned nature of the size-growth relationship and the size distribution of banks, as emphasized by studies of the US banking system. Finally, the third paper investigates, from a theoretical perspective, the roles of banks and markets when both are active, there is limited participation in markets, and there exists liquidity and technology risk in the economy. In a model where banks and markets co-exist and banks are subject to runs, we show that the levels of aggregate risk and limited participation jointly determine the superiority of the mixed (market and bank deposits) economy over pure equity contracts. The study finds that if aggregate risk exceeds a certain threshold then markets may perform better than banks even for low or null levels of market participation, and it is shown that markets may perform better than banks the lower the market participation under some circumstances. The results imply that the level of bank risk taking cannot be considered in isolation, but in conjunction with the availability and access of banking and non-banking options.
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Xu, Zhuoran. "Identifying systemic risk in interbank markets by applying network theory." Thesis, University of Bath, 2016. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.687384.
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Risk assessment on interbank networks has drawn attention from researchers since the 2007 Subprime mortgage crisis. The lack of data for interbank transactions, which are usually not disclosed unless required by regulatory bodies, is one of the most critical difficulties to this research. A remedy to this issue is the dense reconstruction of interbank networks by using balance sheet data. The Maximum-Entropy estimation has been adopted by literature, however, this method produces networks with unrealistic properties: too dense in terms of having too many links. One alternative is sparse reconstruction that proposed by literature recently. This thesis applies the Message-Passing algorithm, which is extensively applied in Thermodynamics or Computer Science, and is suggested by Mastromatteo et al. [2012] for application in network reconstruction. Dense networks and sparse networks are reconstructed from Statistics on Depository Institutions data provided by Federal Deposit Insurance Corporation, and are compared by performance in both network properties and contagion simulations. The popular contagion mechanisms proposed by Furfine [2003] and the model of liquidity dry-up contagion proposed by Malherbe [2014] are adopted and compared in contagion simulations. Results show that dense networks and sparse networks perform differently in network properties and in contagions triggered by single-bank failures, while for contagions triggered by multiple-bank failures, both types of networks perform similarly. Furfine’s mechanism fail to predict some bank failures via the credit risk contagion on liquidity side, while these failures can be simulated by the liquidity dry-up model via fire-sale and marking-to-market effect. Both mechanisms overestimate the losses before the crisis, yet this signals the instability of the banking system, while the liquidity dry-up model proposes an explanation for why the banking system did not fail before the crisis, regarding to whether the equilibrium of high liquidity will shift to the self-fulfilling liquidity dry-up equilibrium. Implications on regulation are given.
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Polasek, Vaclav. "Microstructure of capital markets with low liquidity, theory and evidence from the prague stock exchange." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0002/NQ38326.pdf.
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Balachandran, G. "Indian monetary policy and the international liquidity crisis during the inter-war years (1919-1939)." Thesis, SOAS, University of London, 1989. http://eprints.soas.ac.uk/28452/.
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This thesis examines the multi-lateral considerations that, in our view, underlay the formulation of monetary policy in India in the period between the two world wars. During and after the First World War, Britain faced a severe liquidity crisis. We argue that monetary policy in India was formulated to take account of this crisis. Traditionally, India was a large absorber of gold on the non-monetary account. The persistent aim of British monetary policy in the Indian context during the entire interwar period was that of not allowing India to set up a monetary demand for gold in addition to her non-monetary demand for it and secondly, through deflationary policies (including exchange rate adjustments), to limit India's non-monetary gold demands to the minimum. Indian gold exports during the depression, which gave room for manoeuvre in the management of the sterling after September 1931, were a logical sequel to this policy. The British liquidity crisis in this period took the form of her current account surpluses being inadequate to support a high level of overseas lending. Besides, in an uncertain financial environment, Britain was a large short-term debtor as the British bank rate acted as much to increase her short-term liabilities as it did by calling in her short-term assets. The British desire to return to gold at the pre-1914 parity required domestic deflation which itself was a matter of severe political contention. In the circumstances, Britain hoped her return to gold would be accomplished by a US inflation and US export of capital. Compounding this situation was the thinly veiled fear, in Britain, of the erosion of the key currency role of the sterling and the loss of its global financial leadership to the USA. Control over Indian monetary policy and its outcome proved valuable to Britain in this environment.
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Sorokina, Nonna Y. "BANK CAPITAL AND THEORY OF CAPITAL STRUCTURE." Kent State University / OhioLINK, 2014. http://rave.ohiolink.edu/etdc/view?acc_num=kent1402795531.
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Islam, Qamarullah Bin Tariq. "Financial liberalisation, bank excess liquidity and lending : a bank-level study for the economy of Bangladesh." Thesis, University of Glasgow, 2016. http://theses.gla.ac.uk/7271/.
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One of the main aims of financial liberalisation was to increase banking sector competition. Different policies were prescribed for this with one of the ultimate objectives being that banks would be able to lend without any constraint. If banks are able to lend their deposits fully then there will be no excess liquidity in the banking sector; even a significant increase of lending will imply reduction in excess liquidity. However, it is observed that although the process of financial liberalisation started around the early 1990s for most of the developing economies, still there is substantial excess liquidity problem in the banking sector in these countries, including Bangladesh. This study examined the possible reasons for excess liquidity and lending in Bangladesh using bank-level data of 37 banks for the period of 1997-2011 applying panel estimation methods. The first empirical chapter analysed how financial liberalisation affected the excess liquidity situation in banks. The second chapter examined how excess liquidity was related with business cycle and the recent financial crisis. The final empirical chapter looked at how financial liberalisation was related to lending. One key contribution of this study is that it applied an index of financial liberalisation to identify the process and its effect more comprehensively. Another important contribution of this research is to see if there were any definite patterns for different bank typologies. To address this, four bank-specific characteristics of ownership, size, mode of operation and age were used. Financial liberalisation was found to have significant positive relationship with excess liquidity as well as for lending for all types of banks. It was also observed that business cycle had a significant positive impact on excess liquidity. However less significant relationship between the financial crisis and excess liquidity showed the resilience of the banking sector in Bangladesh during the crisis. When bank-specific characteristics were analysed, the results showed that public banks had higher growth of excess liquidity and lower lending than private banks and new banks had lower growth of excess liquidity and higher lending than old banks. No definite differences could be observed between Islamic and conventional banks. It was also observed that public banks acted less procyclically than the private banks while large and new banks acted more procyclically than their counterparts. For the recent financial crisis, it is concluded that large and new banks had more excess liquidity than their counterparts while other typologies were found to be indifferent. Analysis of significant positive impact of financial liberalisation on both lending and excess liquidity suggested that prudent lending by banks to avoid loan default in the face of increased risk was a key for this parallel movement. Differences in interest rate according to bank-specific characteristics are found to be influential for the significant variations according to bank typologies.
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Scroggin, Steven E. "Essays in dynamic uncertainty : behavioral economics, investment theory and law and economics /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2005. http://wwwlib.umi.com/cr/ucsd/fullcit?p3208637.
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Butt, Pakeezah. "Regulatory capital, liquidity creation, bank characteristics and profitability: Evidence from developed and developing countries." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2022. https://ro.ecu.edu.au/theses/2515.
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The aim of this study is to examine the bidirectional relationship between regulatory capital and liquidity creation in a global setting comprising diverse bank-specific and country-level characteristics. This study utilises the theory of financial intermediation and investigates various channels through which regulatory capital and liquidity creation are interrelated. More specifically, this study examines how bank-level and country-specific characteristics interact with regulatory capital to determine liquidity creation, and vice versa for Asia-Pacific and European banks. This study uses a dynamic panel generalized method of moments (GMM) estimator and the results support the financial fragility-crowding out hypothesis and liquidity substitution hypothesis, indicating an inverse bidirectional relationship between regulatory capital and liquidity creation. The findings further suggest that this relationship varies with several bank-level and country-level characteristics. The negative impact of regulatory capital on liquidity creation is more negative for banks with (i) high-ability managers; (ii) optimistic CEOs; and (iii) country of origin in advanced economies. Where, this inverse relationship is weakened for (i) banks with larger board sizes; (ii) banks with more experienced board members; (iii) Asia-Pacific banks; and (iv) banks having total assets greater than 50 billion USD. Moreover, regarding the reverse causality, the significant inverse impact of liquidity creation on bank capital is reinforced for (i) banks with larger board sizes; (ii) Asia-Pacific banks; and (iii) extra-large banks. While this impact is weakened in the presence of (i) high-ability managers; (ii) optimistic CEOs; and (iii) banks with their country of origin in one of the advanced economies. These findings have interesting recommendations for bank regulators, managers, and policymakers.
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Kim, Dong Heon. "Essays on the term structure of interest rates, monetary policy, and business cycle /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2000. http://wwwlib.umi.com/cr/ucsd/fullcit?p9975875.
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Shao, Haimei. "Price discovery in the U.S. bond market trading strategies and the cost of liquidity." Doctoral diss., University of Central Florida, 2011. http://digital.library.ucf.edu/cdm/ref/collection/ETD/id/5032.
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The world bond market is nearly twice as large as the equity market. The goal of this dissertation is to study the dynamics of bond price. Among the liquidity risk, interest rate risk and default risk, this dissertation will focus on the liquidity risk and trading strategy. Under the mathematical frame of stochastic control, we model price setting in U.S. bond markets where dealers have multiple instruments to smooth inventory imbalances. The difficulty in obtaining the optimal trading strategy is that the optimal strategy and value function depend on each other, and the corresponding HJB equation is nonlinear. To solve this problem, we derived an approximate optimal explicit trading strategy. The result shows that this trading strategy is better than the benchmark central symmetric trading strategy.ID: 029809224; System requirements: World Wide Web browser and PDF reader.; Mode of access: World Wide Web.; Thesis (Ph.D.)--University of Central Florida, 2011.; Includes bibliographical references (p. 101-103).
Ph.D.
Doctorate
Mathematics
Sciences
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Leite, Fabricio Pitombo 1980. "Da demanda por moeda a preferencia pela liquidez : uma interpretação pos-keynesiana." [s.n.], 2008. http://repositorio.unicamp.br/jspui/handle/REPOSIP/285797.
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Orientador: David Dequech FilhoDissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Economia
Made available in DSpace on 2018-08-11T20:11:26Z (GMT). No. of bitstreams: 1 Leite_FabricioPitombo_M.pdf: 1074190 bytes, checksum: cebbb5895912efdcc4bb8a0b6a39d64f (MD5) Previous issue date: 2008
Resumo: A interpretação sugerida no presente estudo evidencia o caráter mais amplo assumido pela teoria da preferência pela liquidez, qual seja, de uma teoria da escolha e precificação de ativos em geral. Para tal, parte-se da explanação acerca dos motivos para demandar moeda, explicitando-se também as conexões entre esses motivos e a incerteza que permeia o ambiente econômico. Na busca pela especificidade da teoria da preferência pela liquidez, isto é, no que esta se diferencia de uma teoria alternativa para a demanda por moeda, discute-se a determinação da taxa de juros em decorrência destes motivos, com destaque para a expressão da moeda como um ativo e para o fato de rendimentos pecuniários serem auferidos por quem se dispõe a abdicar da posse de moeda e reter títulos, tudo isso com a gama de ativos limitada aos dois supracitados. Finalmente, abandonando-se o mundo dicotômico construído a partir da moeda e de um outro ativo e a partir da extensão de um mesmo princípio definidor básico, chega-se à escolha e precificação de ativos em geral, com o que a teoria da preferência pela liquidez adquire sua representação máxima.
Abstract: The interpretation suggested in the present study emphasizes the broad character of liquidity preference theory, namely, as a theory of asset choice and pricing in general. To this end, the thesis starts with the explanation of the motives to demand money, as well as the connections between these motives and the uncertainty that permeates the economic environment. Looking for the peculiarity of liquidity preference theory, as distinct from an alternative theory of demand for money, the thesis discusses the determination of the interest rate as a result of these motives, highlighting the expression of money as an asset and the fact that monetary yields are earned by whoever is willing to part with money and hold securities, all this with the basket of assets restricted to these two. Lastly, the thesis abandons this dichotomic world of money and only one other asset, and, on the basis of the same defining fundamental principle, arrives at asset choice and pricing in general, with the result that liquidity preference theory assumes its most general form.
Mestrado
Mestre em Ciências Econômicas
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Scotti, Simone. "Applications of the error theory using Dirichlet forms." Phd thesis, Université Paris-Est, 2008. http://tel.archives-ouvertes.fr/tel-00349241.
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This thesis is devoted to the study of the applications of the error theory using Dirichlet forms. Our work is split into three parts. The first one deals with the models described by stochastic differential equations. After a short technical chapter, an innovative model for order books is proposed. We assume that the bid-ask spread is not an imperfection, but an intrinsic property of exchange markets instead. The uncertainty is carried by the Brownian motion guiding the asset. We find that spread evolutions can be evaluated using closed formulae and we estimate the impact of the underlying uncertainty on the related contingent claims. Afterwards, we deal with the PBS model, a new model to price European options. The seminal idea is to distinguish the market volatility with respect to the parameter used by traders for hedging. We assume the former constant, while the latter volatility being an erroneous subjective estimation of the former. We prove that this model anticipates a bid-ask spread and a smiled implied volatility curve. Major properties of this model are the existence of closed formulae for prices, the impact of the underlying drift and an efficient calibration strategy. The second part deals with the models described by partial differential equations. Linear and non-linear PDEs are examined separately. In the first case, we show some interesting relations between the error and wavelets theories. When non-linear PDEs are concerned, we study the sensitivity of the solution using error theory. Except when exact solution exists, two possible approaches are detailed: first, we analyze the sensitivity obtained by taking "derivatives" of the discrete governing equations. Then, we study the PDEs solved by the sensitivity of the theoretical solutions. In both cases, we show that sharp and bias solve linear PDE depending on the solution of the former PDE itself and we suggest algorithms to evaluate numerically the sensitivities. Finally, the third part is devoted to stochastic partial differential equations. Our analysis is split into two chapters. First, we study the transmission of an uncertainty, present on starting conditions, on the solution of SPDE. Then, we analyze the impact of a perturbation of the functional terms of SPDE and the coefficient of the related Green function. In both cases, we show that the sharp and bias verify linear SPDE depending on the solution of the former SPDE itself
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Runestam, Ludvig, and Henrik Wiksell. "Utländska investeringar på den svenska fastighetsmarknaden - Incitament för investering med fokus på asiatiska investerare." Thesis, KTH, Fastigheter och byggande, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-191459.
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International real estate investors have shown interest in the Swedish real estate market since the second half of the 1990s. The entrance period was marked with a large amount of infused foreign capital, which was a result of flexible real estate transactions to low prices. Since then, the international interest for the Swedish real estate market has increased and the forecast says that it will continue. The majority of the foreign capital has been invested indirectly, through funds, but direct investments also occur. In recent years, the Asian capital invested in the Swedish real estate market has increased, with the main reason being a strive for risk diversification. The purpose of this study is to investigate the motives and incentives of foreign investors when investing in Swedish real estate. A secondary objective is to research whether there may be difficulties for foreign operators to perform real estate business in Sweden. Furthermore, a deeper analysis about the increased interest from Asia is performed. The study has been carried out through interviews with experienced people in the real estate business. Recognized reports and transaction data have also been analyzed. The analysis in this thesis shows that the interest from foreign investors vary depending on the fluctuation in economic activity. Sweden is considered to be politically and economically stable, with a good potential for future growth. Therefore, the interest from foreign investors has not been negatively affected over time. Factors that contribute to foreign interest in the Swedish real estate market are the good liquidity, low transaction costs and a high transparency. There are various incentives to invest in a foreign market, but international diversification has emerged as the most important incentive. Other main motives are the possibilities of return, the ability to increase the return and to risk-adjust returns over other kind of assets. The main problems that have arisen when foreign investors have capitalized in Sweden have had strong ties to the cultural, legal and political aspects. Today these problems are rare, mainly because foreign investors are more well informed and have been established for a long time on the market. Although many investors are using hedging for currency exposure, the currency is considered to be relatively stable and therefore entails less risk. In recent years Asian investors have shown great interest in the Swedish real estate market. However, Asian investors have only made a few major investments in the market. The introduction of retirement funds in Southeast and East Asia has led to a lot of capital being collected, and to diversify the risk the capital will have to be invested in global real estate. The increased interest suggests that further investments are to come in the future.Intresset från utländska aktörer för fastighetsinvesteringar på den svenska fastighetsmarknaden växte fram under andra halvan av 1990-talet. Perioden präglades av ett stort inflöde av utländskt kapital, vilket var ett resultat av flexibla fastighetsköp till bra priser. Det utländska intresset för den svenska fastighetsmarknaden har sedan dess vuxit ännu mer och det finns mycket som pekar på att utvecklingen kommer att fortsätta i samma riktning. Den största delen av det utländska kapitalet har investerats indirekt genom fonder, men även direkta investeringar förekommer. De senaste åren har mängden asiatiskt kapital som sökt sig till marknaden ökat, främst på grund av riskspridning. Denna studie syftar till att utreda vilka motiv och incitament som ligger till grund för det utländska intresset att aktivera sig på den svenska fastighetsmarknaden. Med det som utgångspunkt fokuserar studien även på huruvida det kan förekomma problem för utländska aktörer att utföra fastighetsaffärer i Sverige. Vidare har en djupare analys kring det ökade intresset från Asien utförts. Studien har utförts med hjälp av intervjuer med nyckelpersoner inom fastighetsbranschen samt genom analys av erkända rapporter och transaktionsdata. Genom analys kan det konstateras att vilken typ av aktörer som valt att investera på svenska marknaden varierat under konjunktursvängningarna. Intresset för marknaden har trots detta inte varit hämmande. Detta på grund av att Sverige anses vara politiskt och ekonomiskt stabilt med goda tillväxtförutsättningar. Faktorer som bidragit till utländska investeringar på den svenska marknaden är en god likviditet, låga transaktionskostnader och en hög tranparensnivå. Det finns olika incitament för att investera på en främmande marknad, där internationell diversifiering har framträtt som det mest betydelsefulla incitamentet. Andra incitament är att få avkastning, förmågan att öka sin avkastning samt få en riskjusterad avkastning över andra tillgångsslag. De problem som har uppstått när utländska aktörer aktiverat sig i Sverige, har haft stark anknytning till kulturella, legala och politiska aspekter. Idag märks dessa problem inte av då utländska investerare är mer pålästa och varit etablerade en längre tid på marknaden. Flertalet utländska investerare hedgar mot valutaexponering, detta trots att valutan anses vara relativt stabil idag och medför därför en mindre risk. Asiatiska aktörer har på senare år visat stort intresse för den svenska fastighetsmarknaden. De har emellertid endast gjort ett fåtal större investeringar på marknaden. Aktörer från Sydost- och Östasien har i och med införandet av pensionsfonder erhållit mycket kapital som ska allokeras i fastigheter med syftet att risksprida. Det intensifierade intresset tyder på att investeringarna på sikt kan komma att öka.
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Hua, Meiying. "Media Coverage of Negative Environmental, Social and Governance Issues, and Analyst Cash Flow Forecasts." Kent State University / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=kent1576678957366195.
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Mselmi, Nada. "Financial distress prediction and equity pricing models : Theory and empirical evidence in France." Thesis, Orléans, 2017. http://www.theses.fr/2017ORLE0502.
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Cette thèse porte sur la prédiction de la détresse financière et son impact sur le rendement des actions. L’objet principal de cette thèse est de : (i) prédire la détresse financière des petites et moyennes entreprises françaises en utilisant plusieurs spécifications économétriques tels que, le modèle Logit, les réseaux de neurones artificiels, la méthode SVM et la régression des moindres carrés partiels, et (ii) d’identifier les facteurs de risque de détresse financière à caractère systématique, explicatifs des rendements des actions, et additionnels au modèle de Fama et French (1993) tels que le momentum, la détresse relative, la liquidité et la Value-at-Risk, sur le marché boursier Français. Cette étude comporte deux parties. La première partie, composée de 2 chapitres, s’interroge sur les principaux indicateurs discriminants entre les petites et moyennes entreprises françaises saines et celles en détresse financière un an et deux ans avant la défaillance. Elle mobilise différentes approches de prédiction et aboutit à des résultats empiriques qui font l’objet d’analyse. La deuxième partie, composée aussi de 2 chapitres, étudie le pouvoir explicatif, du modèle de Fama et French (1993) augmenté de certains facteurs de risque, mais aussi des modèles alternatifs à cette approche dans le contexte français. Les tests portent aussi sur le caractère systématique des facteurs de risque additionnels ou alternatifs, explicatifs des rendements des actions. Les résultats empiriques obtenus font l’objet d’analyse et permettent de proposer des implications managériales aux décideursThis thesis focuses on financial distress and its impact on stock returns. The main goal of this dissertation is: (i) to predict the financial distress of French small and medium-sized firms using a number of techniques namely Logit model, Artificial Neural Networks, Support Vector Machine techniques, and Partial Least Squares, and (ii) to identify the systematic risk factors of financial distress that can explain stock returns, in addition to those of Fama and French (1993) such as the momentum, the relative distress, the liquidity, and the Value-at-Risk in the French stock market. This study has been concretized in two parts. The first part, composed of 2 chapters, wonders about the main indicators that can discriminate between distressed and non-distressed French small and medium-sized firms one and two years before default. It mobilizes different prediction techniques and leads to the empirical results that are the subject of the analysis. The second part, composed also of 2 chapters, investigates the explanatory power of Fama and French (1993) model augmented by a number of risk factors, as well as alternative models in the French context. The tests also focus on the systematic nature of the additional or alternative risk factors, explaining the stock returns. The obtained empirical results are analyzed and propose managerial implications to decision makers
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Mirzabekov, Aziz. "Can dividend payouts and future earnings be predicted based on stock market liquidity and capital structure? : Nordic IT Companies’ dividend policy analysis." Thesis, Umeå University, Umeå School of Business, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-34477.
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Dividend policy has significant impact on the company's capital market, in particular the dynamics of the price of its shares. Dividends represent cash income of shareholders and to some extent, signal them about success of the firm they have invested. From that point of view dividend policy has crucial impact on investment decisions.
Numbers of valuation models based on dividend payouts exist in the financial theory and they imply importance of dividends in making investment decisions. Alternatively some authors argue that role of the dividends is overestimated, as investors do not separate dividends and capital earnings. I believe that dividend policy has broad influence not only on share valuation, but also on capital structure of the company and its stock market liquidity.
Study intended to discover if dividend payouts and future earnings can be predicted based on stock market liquidity and capital structure. I have analysed 72 companies associated with Nordic information technologies market and tried to find main characteristics of dividend policy adopted in those companies. I have divided my research question into three parts and studied hypotheses which are associated with the research question.
I found relationship of dividend policies with future earnings growth power, firm capital structure and market liquidity. As a result of my study I have observed financial statements data and obtained the following outcome: (1) with stable dividend policy, payout ratio is positively related to the future earnings growth rate (2) companies that have less liquid stock markets are more likely to pay dividends (3) companies with low leverage ratios have more probability of paying dividends. Also I have found that historically low payout ratio is harbinger of low or even negative earnings growth rates.
I believe that based on findings mentioned above, effective investment policy could be created. For the investor who favours to invest in company with high earnings growth perspectives and receive high dividends in the future, results of the study could be interesting. According to the results of the research, for “dividend preferring” investor, funds should be invested in the company with constantly high payout ratio, low stock market liquidity and debt-to-equity ratio below 1. In that case the probability of meeting investment expectations would be much higher.
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Eric, Hörnell, and Cikotic Adis. "Liquidity is not a matter of life and death, it’s more important than that. : How does working capital management affect the profitability of Swedish SMEs?" Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-96981.
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Abstract Master Thesis in Business Finance, School of Economics, Linnaeus University Authors: Adis Cikotic and Eric Hörnell Supervisor: Magnus Willesson Examiner: Andreas Jansson Title: "Liquidity is not a matter of life and death, it is more important than that" Background: One of the biggest concerns for Swedish small and medium businesses is their lack of capital, which might lead to lower profitability. A significant reason behind this is said to be the buyer's long payment terms contrary to the supplier's payment terms for their own expenses, which increases the risk of an imbalance between the inflows and outflows of money. This situation occurs due to, for example, power relations and institutional factors, which might affect a firm's Cash Conversion Cycle and furthermore the firm's profitability. Purpose: The primary purpose of the thesis is to examine whether the length of a firm's Cash Conversion Cycle has an impact on the profitability of Swedish SMEs. Moreover, the purpose is to determine if the presence of Buyers Power affects a firm's profitability. Method: The thesis has a deductive research approach where the theories applied, Cash Conversion Cycle and Buyers Power, lead to the formulated hypotheses. The quantitative research methodology is based on a data set of approximately 38 000 Swedish SME's between the years 2015-2018. Conclusions: It could be seen that there is a concave relationship between firm's Cash Conversion Cycle and a firm's profitability for Swedish SMEs. The interpretation is therefore that both too short and too long Cash Conversion Cycle is not optimal, and the optimal length of the Cash Conversion Cycle is 36 days for Swedish SMEs. Moreover, the result showed that a presence of Buyers Power has a positive relationship with profitability, meaning that a larger ratio between a firm's accounts receivables and accounts payables increases the firm's profitability.
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Silva, Ricardo Luiz Menezes da. "Divulgação de informações e liquidez de ações: evidências do setor de siderurgia e metalurgia do Brasil." Universidade de São Paulo, 2009. http://www.teses.usp.br/teses/disponiveis/96/96133/tde-06052009-173652/.
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No contexto da Teoria da Divulgação, que estuda os fenômenos relacionados à divulgação da informação, este estudo teve como objetivo estudar a relação entre liquidez das ações e o nível de divulgação das empresas brasileiras de capital aberto do setor de Siderurgia e Metalurgia no período de 1998 a 2007. Para mensurar o conceito de liquidez de ações adotou-se diversas métricas nessa pesquisa, como também o uso de metodologia desenvolvida por Lima (2007) para calcular o índice de divulgação. O interesse nessa linha surge pelo grande número de estudos no mercado internacional sobre o tema, porém não tão desenvolvido no Brasil. Para realizar esta pesquisa foram feitas análises de estatística descritiva, de posição com o uso do teste U de Mann-Whitney, correlação de Spearman e regressões com dados dispostos em painel com correção de Newey-West. Como resultado, verificou-se uma relação positiva estatisticamente e economicamente significante entre divulgação e liquidez de ações, coerente com pesquisas anteriores, principalmente as estrangeiras. Com os resultados encontrados, pode-se inferir que, conforme Amihud e Mendelson (1986), a liquidez pode influenciar o custo de capital das empresas, especificamente no setor estudado, de modo que a hipótese alternativa do trabalho não pode ser rejeitada.In the context of the Theory of Disclosure, which studies phenomena related to information dissemination, this research aimed to study the relation between stock liquidity and the level of disclosure of Brazilian publicly-traded companies from the Iron and Steel sector between 1998 and 2007. To measure the stock liquidity concept, different measurement tools were adopted, as well as the method developed by Lima (2007) to calculate the disclosure index. The interest in this research line is due to the large number of studies about this theme in the international market, which is not so developed in Brazil. Descriptive statistical analyses of position were performed, using Mann-Whitneys U-test, Spearmans correlation and regressions with panel data and Newey-West standard errors. As a result, a statistically and economically significant positive correlation was found between disclosure and stock liquidity, in line with earlier and mainly foreign research. Based on these results, it can be inferred that, in line with Amihud and Mendelson (1986), liquidity can influence companies cost of capital, specifically in the sector under analysis, so that the alternative research hypothesis cannot be rejected.
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Saraiva, Paulo José. "Teorias Keynesianas sobre bancos e crédito: Tobin, Stiglitz e os pós-keynesianos." Universidade do Estado do Rio de Janeiro, 2008. http://www.bdtd.uerj.br/tde_busca/arquivo.php?codArquivo=6341.
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O presente trabalho tem por objetivo analisar os modelos da firma bancária e crédito a partir de uma visão keynesiana. Inicialmente são apresentadas as proposições teóricas de Keynes e as derivações dessa a partir dos velhos e novos keynesianos. Na 2 parte os modelos representativos da firma bancária dessas escolas são descritos através de Tobin e Stiglitz, sendo neste último caso introduzido o conceito de assimetria de informação. No 3 capítulo é desenvolvida a abordagem pós-keynesiana de endogeneidade da oferta de moeda, sendo apresentados os modelos horizontalista de Moore, bem como as críticas da visão estruturalista, além do modelo de estratégia bancária de Alves, Dymski e Paula, desenvolvido a partir da hipótese de fragilidade financeira de Minsky. No capítulo 4 efetua-se uma discussão, feita por autores pós-keynesianos, sobre a possibilidade de compatibilizar em alguma medida o modelo de Tobin e o modelo de racionamento de crédito com a concepção pós-keynesiana de banco e crédito.The present work aims at analyzing the models of the banking firm and credit from a Keynesian approach. Initially the theoretical proposals of Keynes and the Old and New Keynesian view of banking and credit are presented. In chapter 2 the representative models of the banking firm of these schools are described through Tobin and Stiglitzs model. In chapter 3 is developed the Post-Keynesian approach of money endogeneity - Moores banking firm model and the criticism made by the Post-Keynesian structuralist view. We also consider other Post Keynesian banking firm model, such as Dymskis model and Alves, Dymski and Paula banking strategy model. In chapter 4 we discuss if compatible the Post Keynesian approach is compatible or not with the conventional Keynesian theory of banking. In chapter 4 we consider the hypothesis of financial fragility of Minsky.
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Porwal, Anmol. "Drivers of Australian merger waves industry shocks, mis-valuation, and capital liquidity : a thesis submitted to Auckland University of Technology in partial fulfilment of the requirements for the degree of Master of Business (MBus), 2008." Click here to access this resource online, 2008. http://hdl.handle.net/10292/648.
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The purpose of this thesis is to test the extended industry shock hypothesis, which accounts for a macro-economic capital liquidity element, in determining the drivers of merger waves. Various theories have been extended by the literature and these are broadly classified under the neo-classical theory of merger waves and the behavioural theory of merger waves. Behavioural theories have explained merger waves by taking into account the psychology of stock markets and the occurrence of merger waves during a stock market boom. The industry shock hypothesis (a neo-classical theory) however, argues that merger waves are due to the clustering of industry shocks that affect an industry’s operating environment. Along with this shock, the mis-valuation caused by a stock market boom increases asset values, thereby lowering transaction costs and hence increasing capital liquidity in the economy. This capital liquidity factor causes merger waves to cluster even if industry shocks do not. The findings in this study show that industry level merger waves exist in Australia and they occur when there is sufficient capital liquidity in the economy. The industry shock variables are found to be insignificant; however they do improve the explanatory power of the explanatory variables used in predicting the start of a merger wave. The mis-valuation variables used in this study: market-to-book ratio, 3-year return and standard deviation of the 3-year return, are insignificant and do not have any explanatory powers in predicting the start of a merger wave. Merger and acquisition announcements made to acquire Australian firms listed on the Australian Stock Exchange (ASX), are collected and analysed for the period from 1996 to 2007. The methodology used in this study is adopted from Harford (2005), which uses legit models to predict the start of merger waves. The explanatory variables are also adopted from Harford’s (2005) study and include proxies for mis-valuation, industry shock and capital liquidity. Overall, the results obtained for the Australian merger and acquisition data are inconclusive as to whether industry shocks because industry merger waves as Harford (2005) documented for the US merger and acquisition data. However, industry level merger waves do exist, as there is clustering in time of firm-level mergers within industries. Moreover, sufficient capital liquidity must be present to accommodate the necessary transactions.
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Dammak, Neila. "Notation financière et comportement des acteurs sur le marché financier." Thesis, Paris Est, 2013. http://www.theses.fr/2013PEST0048.
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L'objectif de cette thèse est d'analyser le rôle des agences de notation sur le marché financier. Notre contribution consiste à mieux comprendre l'influence des annonces de notation sur les acteurs du marché français des actions (investisseurs et analystes financiers).La première question porte sur l'apport informatif délivré par les agences de notation et l'impact de leurs décisions. Afin de répondre à cette question, nous avons conduit une étude d'évènement à l'annonce de notation en distinguant les annonces par nature, type et catégorie.Cette recherche permet de prouver que les annonces de notation ont globalement un impact sur le marché des actions. L'impact dépend de la nature de l'annonce, des informations fournies dans les rapports de notation, des changements de note entre catégories et de ceux effectués dans la catégorie spéculative. Enfin, le niveau de la note dépend des caractéristiques financières et comptables de l'entreprise notée.La seconde question porte sur le rôle bénéfique des agences de notation sur les marchés. Afin de répondre à cette deuxième question, nous avons conduit une recherche qui consiste à analyser l'évolution de l'asymétrie d'information entre les investisseurs et de la liquidité autour des annonces de notation.Cette recherche prouve que les annonces positives (respectivement négatives) entraînent une diminution (respectivement augmentation) de l'asymétrie d'information sur le marché des actions. Les résultats prouvent également que les annonces positives et neutres, à l'inverse des annonces négatives, entraînent une réduction des fourchettes de prix et une amélioration des volumes de transactions. Ces deux effets concomitants traduisent une amélioration (respectivement détérioration) de la liquidité du marché lors des annonces positives et neutres (respectivement négatives).La troisième question porte sur l'utilité des annonces de notation pour les analystes lors de leurs prévisions. Afin de répondre à cette question, nous avons mené une recherche qui consiste à étudier l'évolution de la dispersion et de l'erreur des prévisions des analystes autour des annonces de notation.Les résultats mettent en évidence une relation inverse entre les caractéristiques des prévisions des analystes financiers et la nature de l'annonce de notation. Les annonces positives et neutres réduisent l'erreur et la dispersion des prévisions d'analystes.Ce travail de recherche permet d'attester de la réelle importance du contenu informationnel des annonces de notation pour le marché des actions et de la réelle contribution des annonces à l'amélioration de la communication financière sur le marchéThe main objective of this thesis is to analyze the role of rating agencies on the financial market. Our contribution consists in a better understanding of the impact of rating announcements on the agents on the French financial market (both investors and analysts).First we focus on the information content of announcements by rating agencies and the impact of theirs decisions in the market. To answer this question, we made an event study at the rating announcements, by identifying them by nature, type and category.This research highlights the fact that the rating announcements generally have an impact on the stock market. This impact depends on the nature of the announcement, the information provided in the reports as well as score changes between categories and within the speculative category. Moreover, the rating level depends on the firm financial and accounting characteristics.Second, we intend to understand the beneficial role of rating agencies on the financial markets. To answer this question, we analyzed the evolution of the information asymmetry and stock market liquidity around rating announcements.Our results show that positive announcements (respectively negative) lead to a decrease (respectively increase) of information asymmetry. We also found that positive and neutral announcements, unlike the negative ones, lead to a reduction of bid-ask spread and to an increase of transactions volumes. Both effects reflect higher (respectively lower) stock market liquidity when the announcements are positive or neutral (respectively negative).Finally, we focus on the study of the impact of rating announcements on analysts' forecasts. For this purpose, we studied the evolution of the analysts' forecasts dispersion and errors around rating announcements.Our results indicate an inverse relationship between the characteristics of financial analysts' forecasts and the nature of the rating announcement. Indeed, positive and neutral announcements reduce the error and the dispersion of analysts' forecasts.This research shows the informative content of rating announcements on the stock market and the real contribution of the announcements by improving financial communication
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Schmaltz, Christian. "A quantitative liquidity model for banks." Wiesbaden : Gabler, 2009. http://d-nb.info/996419934/04.
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Weir, Diarmid J. G. "Money and production : a pluralist analysis." Thesis, University of Stirling, 2008. http://hdl.handle.net/1893/1141.
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The purpose of this thesis is to argue that the core of a monetary economy is a network of triangular contracts between banks, firms, workers and capital goods suppliers. Not only does this network give rise to the creation and valuation of money but it is the organising feature of modern economies, giving rise to both episodes of stability and crises. In constructing this argument I consider both orthodox and heterodox points of view. We analyse equilibrium models of money, and find that while money can exist in sequence economies with frictions, models of this type give no justification for its creation, valuation or holding for any significant duration, either theoretically or experimentally. Models that introduce dated goods and trading frictions to motivate the issue of risk-spreading ‘bundled’ debt are more promising for money creation, although they still cannot explain the the holding and valuation of money. Using the concept of team-production of Alchian and Demsetz and that of ‘hostage-taking’ in contracts owing to Williamson, we demonstrate how the issue of a token of generalised purchasing power from a team-production contract can enhance output and consumption. This conclusion motivates an original monetary theory of production that integrates the insights of Post-Keynesian monetary theory and the triangular contracts of the Circulation Approach and expresses them in a way that shows consistent asset and liability matching through a balance sheet approach. The creation and valuation of money and the determination of interest are embedded within the central processes of this economy. The features of the monetary production economy we analyse are in contrast to the mainstream proposition that the economy as a whole is rendered coherent by the existence of a unique and stable equilibrium determined by the utility-maximisation of households and the profit maximisation of firms. Apart from their inability to describe the economy in aggregate, such models treat money as an afterthought that is in no way core to their conception. We set the triangular contracts within a rigorous stock-flow framework of the type developed by Godley and Lavoie and argue that the shifting of the level of impact of uncertainty and failed expectations induced by money leads to specific patterns of economic disruption. These patterns are independent of the specific behavioural characteristics of households and firms and so are robust to policy changes that leave the institutions of the monetary production economy intact. We briefly assess current monetary policy and alternatives in the light of these findings.
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Dalne, Katja. "The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading Book." Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-206168.
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The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). It proposes to use Expected Shortfall (ES) as risk measure instead of the currently used Value at Risk (VaR), as well as applying varying liquidity horizons based on the various risk levels of the assets involved. A major difficulty of implementing the FRTB lies within the backtesting of ES. Righi and Ceretta proposes a robust ES backtest based on Monte Carlo simulation. It is flexible since it does not assume any probability distribution and can be performed without waiting for an entire backtesting period. Implementing some commonly used VaR backtests as well as the ES backtest by Righi and Ceretta, yield a perception of which risk models that are the most accurate from both a VaR and an ES backtesting perspective. It can be concluded that a model that is satisfactory from a VaR backtesting perspective does not necessarily remain so from an ES backtesting perspective and vice versa. Overall, the models that are satisfactory from a VaR backtesting perspective turn out to be probably too conservative from an ES backtesting perspective. Considering the confidence levels proposed by the FRTB, from a VaR backtesting perspective, a risk measure model with a normal copula and a hybrid distribution with the generalized Pareto distribution in the tails and the empirical distribution in the center along with GARCH filtration is the most accurate one, as from an ES backtesting perspective a risk measure model with univariate Student’s t distribution with ⱱ ≈ 7 together with GARCH filtration is the most accurate one for implementation. Thus, when implementing the FRTB, the bank will need to compromise between obtaining a good VaR model, potentially resulting in conservative ES estimates, and obtaining a less satisfactory VaR model, possibly resulting in more accurate ES estimates. The thesis was performed at SAS Institute, an American IT company that develops software for risk management among others. Targeted customers are banks and other financial institutions. Investigating the FRTB acts a potential advantage for the company when approaching customers that are to implement the regulation framework in a near future.Den globala finanskrisen som inleddes år 2007 ledde till flertalet ändringar vad gäller riskreglering för banker. En omfattande förändring som beräknas implementeras år 2019, utgörs av Fundamental Review of the Trading Book (FRTB). Denna föreslår bland annat användande av Expected Shortfall (ES) som riskmått istället för Value at Risk (VaR) som används idag, liksom tillämpandet av varierande likviditetshorisonter beroende på risknivåerna för tillgångarna i fråga. Den huvudsakliga svårigheten med att implementera FRTB ligger i backtestingen av ES. Righi och Ceretta föreslår ett robust ES backtest som baserar sig på Monte Carlo-simulering. Det är flexibelt i den mening att det inte antar någon specifik sannolikhetsfördelning samt att det går att implementera utan att man behöver vänta en hel backtestingperiod. Vid implementation av olika standardbacktest för VaR, liksom backtestet för ES av Righi och Ceretta, fås en uppfattning av vilka riskmåttsmodeller som ger de mest korrekta resultaten från både ett VaR- och ES-backtestingperspektiv. Sammanfattningsvis kan man konstatera att en modell som är acceptabel från ett VaR-backtestingperspektiv inte nödvändigtvis är det från ett ES-backtestingperspektiv och vice versa. I det hela taget har det visat sig att de modeller som är acceptabla ur ett VaR-backtestingperspektiv troligtvis är för konservativa från ett ESbacktestingperspektiv. Om man betraktar de konfidensnivåer som föreslagits i FRTB, kan man ur ett VaR-backtestingperspektiv konstatera att en riskmåttsmodell med normal-copula och en hybridfördelning med generaliserad Pareto-fördelning i svansarna och empirisk fördelning i centrum tillsammans med GARCH-filtrering är den bäst lämpade, medan det från ett ES-backtestingperspektiv är att föredra en riskmåttsmodell med univariat Student t-fördelning med ⱱ ≈ 7 tillsammans med GARCH-filtrering. Detta innebär att när banker ska implementera FRTB kommer de behöva kompromissa mellan att uppnå en bra VaR-modell som potentiellt resulterar i för konservativa ES-estimat och en modell som är mindre bra ur ett VaRperspektiv men som resulterar i rimligare ES-estimat. Examensarbetet genomfördes vid SAS Institute, ett amerikanskt IT-företag som bland annat utvecklar mjukvara för riskhantering. Tänkbara kunder är banker och andra finansinstitut. Denna studie av FRTB innebär en potentiell fördel för företaget vid kontakt med kunder som planerar implementera regelverket inom en snar framtid.
Riskhantering, finansiella tidsserier, Value at Risk, Expected Shortfall, Monte Carlo-simulering, GARCH-modellering, Copulas, hybrida distributioner, generaliserad Pareto-fördelning, extremvärdesteori, Backtesting, likviditetshorisonter, Basels regelverk
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Kato, Ryo. "Three Essays in Monetary Economics: What Do We Learn from Monetary Economics for the Lost Decade of Japan?" The Ohio State University, 2002. http://www.gbv.de/dms/zbw/558294561.pdf.
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Ögren, Anders. "Empirical studies in money, credit and banking : the Swedish credit market in transition under the silver and gold standards 1834-1913." Doctoral thesis, Handelshögskolan i Stockholm, EHFF - Stiftelsen för Ekonomisk-historisk och Företagshistorisk Forskning, 2003. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-1876.
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The empirical results reached in this thesis contradict the traditional theoretical view of money as being exogenously introduced into an economy as a medium of exchange intended to reduce the transactions costs associated with barter. Instead money was endogenously created in the form of credit. Thus, the long run neutrality of money also is called into question. The varying quality of different kinds of money reflects the demand for them. If legal tender was of higher quality than private promissary notes, it was because the former were in greater demand. Concisely put, the market determines the value, and therefore the quality, of various kinds of money. The principal problem addressed in this thesis is how, during the expansive nineteenth century, it was possible to satisfy the ever growing need for credit and means of payment without sacrificing the fixed exchange rate. Particular attention is paid to the private note issuing banks, the so called Enskilda banks, that dominated the Swedish banking system throughout the nineteenth century. In addition to their note issuing, the Enskilda banks were characterized by unlimited owner liability. An examination of the ongoing political process from a rational choice perspective, indicates that initially the concept of note issuing Enskilda banks enjoyed wide spread support. They were considered to be a reasonable response to the problem of establishing a commercial banking system in an illiquid economy. The distribution of political and economic power in favor of the Crown and the Nobility included their control over the issuance of bank charters. The monopolistic policy they followed in this regard, however, resulted in growing hostility towards these. As a result, starting in the middle 1860's, a more liberal attitude towards the establishment of banks began to prevail. By the end of the nineteenth century, various political interest were able to engineer the revocation of the Enskilda banks’ note issuing rights. The special characteristics of the Enskilda banks, the right to issue bank notes and the unlimited liability of their owners, have caused them to be perceived as outdated, at least once Joint Stock banks were introduced. In contrast to the Enskilda banks, these were unable to issue notes but instead provided their owners with limited liability. The thesis demonstrates that, given the initial illiquidity of the Swedish economy, the Enskilda banks actually were the more efficient alternative. Indeed, the note issuing privileges of the Enskilda banks became one of the principal factors behind the development of liquid domestic capital markets. An empirical study that includes the most basic constraints faced by the nineteenth century Swedish economy, the demands of the specie standard and the general shortages of reliable means of payment and of credit, reveals that the Enskilda bank system can not, strictly speaking, be considered an example of free banking. Instead of holding specie reserves, the Enskilda banks backed their notes with central bank (Riksbank) notes. This was not because the public preferred Enskilda bank to Riksbank notes. Rather it was the result of a monetary adverse selection process; Gresham’s Law. Previously utilized, lower quality, means of payment were replaced by Enskilda bank notes. By accepting some of the discount costs, the Enskilda banks made their notes circulate at par with Riksbank notes. Thus a domestic specie exchange system was created. The note issuance of the Enskilda banks paved the way for the deposit based commercial banking system that followed, and it was essential for the monetization of the economy that occurred during the late 1860's. The long run expansion of the money supply was unrelated to growth in Riksbank reserves, specie holdings or the monetary base. Other countries operating under the specie standard also experienced monetary growth, indicating that the specie standard actually was a system of credit. Money supply, as measured in terms of Riksbank and Enskilda bank notes held by the public, eventually reflected the level of output (GDP). VAR-tests indicated that annual changes in the level of Riksbank reserves preceded changes in the money supply which, in turn, preceded changes in the level of prices, thus supporting the price quantity theory. These results are summarized in a regression model that estimates domestic price movements as a function of current changes in international prices and GDP and of lagged changes in domestic prices and the money supply. The final chapter is an empirical analysis of the support provided to the Swedish banking system during the most severe financial crises of the nineteenth century. Maintaining the specie standard was over riding goal of the Riksbank. In times of crises, this concern prevented the Bank from supporting the banking system in accord with the classical lender of last resort recipe; to inject liquidity and briefly suspend convertibility. The thesis argues that in a transitional economy, such as that of nineteenth century Sweden, the fixed exchange rate makes it impossible in times of crisis to support the banks at all costs. Doing so might well convert a banking crisis into a currency crisis. Indeed, this is exactly what has happened in various countries on several occasions during the late twentieth century. Instead the appropriate procedure for acting as lender of last resort in a transitional economy is to initially support the banks, but only as long as central bank reserves are not exhausted. Should the seriousness of the crisis make this insufficient, the authorities should then proceed to import high powered money as a way of supplementing their reserves. The possibility that such action will be needed makes it particularly important that the country’s public finances be kept in good order.Diss. Stockholm : Handelshögskolan, 2003. Sammanfattning på engelska
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Mönch, Burkart. "Strategic trading in illiquid markets /." Berlin [u.a.] : Springer, 2005. http://www.loc.gov/catdir/enhancements/fy0663/2005922554-d.html.
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Олійник, Н. В. "Управління ліквідністю підприємства." Master's thesis, Сумський державний університет, 2018. http://essuir.sumdu.edu.ua/handle/123456789/71561.
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Досліджено теоретичні та практичні аспекти управління ліквідністю підприємства; обґрунтовано засади щодо покращення ліквідності на підприємстві на основі оптимізації складу та структури його балансу.Исследованы теоретические и практические аспекты управления ликвидностью предприятия; обоснованы положения по улучшению ликвидности на предприятии на основе оптимизации состава и структуры его баланса.
The theoretical and practical aspects of liquidity management of the enterprise are investigated; The reasons for improvement of liquidity at the enterprise are grounded on the basis of optimization of structure and structure of its balance shee.
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Mokbel, Rita. "Systemic risk in financial economic institutions." Thesis, Besançon, 2016. http://www.theses.fr/2016BESA2080.
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Les crises financières et les problèmes se formaient mais les indicateurs ne sont pas précis pour permettre une intervention réglementaire. La thèse propose un modèle dynamique pour le système bancaire avec une banque centrale afin de calculer un indicateur de faillite en fonction de la probabilité qu'une banque soit en faillite et les pertes rencontrées dans le réseau financier, une méthodologie qui peut améliorer la mesure, le suivi et la gestion du risque systémique.La thèse propose également des mécanismes de compensation : 1- avec un modèle considérant l'ancienneté du passif et avec un type d'actif liquide dont la vente excessive conduit à un impact sur le marché, 2 - avec un modèle considérant les participations croisées entres les banques dont les engagements interbancaires sont de différentes séniorités et avec un type d'actif liquide dont la vente excessive conduit à un impact sur le marchéFinancial crisis pose important theoretical problems on creating reliable indicator of stability of financial systems on which basis the regulators could intervene. The thesis proposes a dynamic model of banking system were the central bank can calculate an indicator of potential defaults taking into consideration the probability for a bank to default and the losses encountered in the financial network, a methodology that can improve the measurement, monitoring, and the management of the systemic risk. The thesis also suggests a clearing mechanisms : 1- in a model with seniority of liabilities and one type of liquid asset whose fire sale has a market impact, 2 - in a model with crossholdings among the banks whose interbank liabilities may be senior and junior and with one liquid asset whose firing sale has a market impact
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El, Ouazzani Mohammed Adil. "La décision de détention d'actifs liquides : motivations et conséquences : le cas des entreprises cotées au SBF 250." Thesis, Bordeaux, 2014. http://www.theses.fr/2014BORD0041/document.
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La décision de détention d’actifs liquides par les entreprises a fait l’objet de rares recherches. Pourtant,les entreprises françaises détiennent des niveaux importants de liquidités parmi leurs actifs. Ce travailvise à étudier théoriquement et empiriquement les motivations et les conséquences de la décision dedétention d’actifs liquides par les entreprises.La première partie de la thèse a pour objectif d’établir un état de l’art des théories explicatives ducomportement accumulateur de liquidités des entreprises. La deuxième partie cherche à testerempiriquement ces théories sur un échantillon de 202 entreprises françaises cotées au SBF 250. Il s’agit,d’un côté, de vérifier s’il existe un niveau optimal d’actifs liquides, de présenter les différents avantageset inconvénients de la détention de liquidités et de déterminer quels facteurs intrinsèques (financiers etorganisationnels) et macro-économiques influencent le niveau de liquidités, et d’un autre côté, d’estimerl’impact des actifs liquides sur l’investissement, la performance économique et financière ainsi que surla valeur de marché de l’entreprise. Le traitement de ces deux questions est articulé autour de l’étudedes rôles modérateurs des contraintes de financement, de la gouvernance d’entreprise et des conditionsmacroéconomiquesThe topic of corporate cash holdings has received relatively little attention from the academicresearchers. Yet, French firms hold significant cash reserves. This research aims to investigate,theoretically and empirically, the motivations and implications of the decision to hold cash.The first part of the thesis aims to provide a state of the art of the theories explaining corporate cashholding behavior. The second part seeks to empirically test these theories on a sample of 202 Frenchcompanies listed on the SBF 250. We first test the existence of an optimal level of liquid assets. Wesubsequently explore the advantages and disadvantages of holding cash before we examine the specific(financial and organizational) and macro-economic determinants of corporate cash levels. Finally, weestimate the impact of liquid assets on firms’ investment, performance and value and then we analyzethe moderating roles of financial constraints, corporate governance and macroeconomic conditions