Liquidity and asset prices : empirical analysis of the Norwegian stock market

dc.contributor.author	Tazo, Alexander
dc.contributor.author	Tazojeva, Heda
dc.date.accessioned	2019-09-03T08:26:04Z
dc.date.available	2019-09-03T08:26:04Z
dc.date.issued	2019
dc.identifier.uri	http://hdl.handle.net/11250/2612160
dc.description.abstract	This thesis investigates time-varying characteristics of illiquidity and the pricing of its risk using liquidity-adjusted capital asset pricing model(LCAPM). Collecting data from Norwegian stock market between 1998 and 2017, we employ multivariate GARCH model to assess the persistence of illiquidity shocks. The pricing of liquidity risk and its implications on expected returns are empirically tested using the conditional LCAPM. We show that various sources of liquidity risk that affect asset returns are time-varying. We find some support for our conditional LCAPM, but our results are not robust to alternative specifications and estimation techniques. The total annualized illiquidity premium found in the Norwegian stock market is 1.75%.	nb_NO
dc.language.iso	eng	nb_NO
dc.subject	finance	nb_NO
dc.title	Liquidity and asset prices : empirical analysis of the Norwegian stock market	nb_NO
dc.type	Master thesis	nb_NO
dc.description.localcode	nhhmas	nb_NO