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Essays on illiquidity premium
(2014-05-23)
This dissertation is composed of three related essays on the relationship between illiquidity and returns. Chapter 1 describes the time-series properties of the relationship between market illiquidity and market return ...
O papel da liquidez/iliquidez no retorno das ações: análise do mercado brasileiro no período entre 1995 e 2010
(Universidade Federal de Santa MariaBRAdministraçãoUFSMPrograma de Pós-Graduação em Administração, 2012-05-15)
The influence of liquidity / illiquidity on the return on assets has been widely researched in last years, from both individual assets and market perspectives.Given the evidence that the liquidity / illiquidity is a ...
The illiquidity component of corporate bond spreads
(2017)
We find that illiquidity remains a major factor in explaining corporate spreads. Illiquidity is second only to the credit risk itself. This effect is surprising given that the corporate debt trading activity has more than ...
Do earnings management and institutional ownership affect stock market liquidity?
(Universidad del Zulia, 2019)
Estudo sobre o comportamento da liquidez no mercado acionário brasileiro
(2017-02-17)
This work aims to study the behavior of stocks liquidity through two different optics. In the first case, we focused on the amplitude of the absolute return related to liquidity/illiquidity measures in the period from 2000 ...
Disentangling the relationship between liquidity and returns in Latin America
(Universidad de los Andes, Facultad de Economía, CEDE, 2017)
We dissect the impact of liquidity on returns of Latin American firms using a detailed dataset of firm characteristics over various market cycles. We find that firm-level liquidity (illiquidity) is positively (negatively) ...
Sovereign illiquidity and recessions
(Universidad Torcuato Di Tella, 2016)
Motivated by the striking increase in sovereign spreads and the subsequent recession in Europe during 2011, I examine the importance of sovereign debt liquidity in a New Keynesian environment with wage rigidities and nancial ...
The Aiyagari model with liquidity shoch
(2010-06-24)
A version of the Aiyagari (1994) model with a liquidity shock is developed in this work. The model has Huggett (1993) and Aiyagari (1994) as particular cases, but the general one allows for two assets in the economy, a ...
Política de zeragem de títulos privados de baixa liquidez
(2020-11-23)
Grandes transformações ocorreram na política macroeconômica e monetária brasileira nas últimas décadas. Uma com grande impacto foi a redução da taxa básica de juros da economia brasileira, que tem desdobramentos e impactos ...
Práticas de gestão de risco de bancos em mercados ilíquidos: modelo de uma tesouraria de um banco global
(2019-02-06)
Os produtos de cobertura são uma importante ferramenta na gestão de riscos de mercados, garantindo uma estabilidade nas exposições e nos números dos participantes de mercado. Neste contexto, revisamos as teorias, conceitos ...