Browsing NHH Brage by Author "Næs, Randi"

Now showing items 1-3 of 3

Essays on the microstructure of stock markets : empirical evidence from trading arrangements without dealer intermediation

Næs, Randi (Doctoral thesis, 2004)
Pricing Implications of Shared Variance in Liquidity Measures

Chollete, Lorán; Næs, Randi; Skjeltorp, Johannes A. (Discussion paper, Working paper, 2006-07)

This paper constructs fundamental liquidity measures and investigates the pricing implications of shared variation in a large set of high frequency liquidity measures. Through a common factor analysis we estimate three ...
The risk components of liquidity

Chollete, Lorán; Næs, Randi; Skjeltorp, Johannes A. (Discussion paper, Working paper, 2008-03)

Does liquidity risk differ depending on our choice of liquidity proxy? Unlike literature that considers common liquidity variation, we focus on identifying different components of liquidity, statistically and economically, ...