Università della Svizzera italiana

Essays on liquidity and asset pricing

Vovchak, Volodymyr ; Franzoni, Francesco (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2014 ; 2014ECO001.

The thesis is comprised of two parts. First part is devoted to liquidity of the stock market and its interaction with holding horizon. I start from investigating relative importance of liquidity level and liquidity risk. I find that liquidity level is more important for explaining stock returns. I notice that liquidity risk gains some explanatory power during recent decade, and it seems to...

Università della Svizzera italiana

Essays on credit risk

Borghi, Matteo ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2013 ; 2013ECO005.

The work investigates two major topics: the presence of a systematic and an idiosyncratic component in CDS spreads and the credit spread puzzle. We verify that a systematic factor is priced in the cross-section of CDS returns. We also notice that the systematic component of risk increases after the financial crisis. We finally verify that the fraction of systematic risk is not the same in...

Università della Svizzera italiana

On liquidity around large-block trades : Upstairs trading mechanisms, price impacts and common factors

Chen, Chwen Chwen ; Barone Adesi, Giovanni (Dir.) ; Degeorge, François (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2004 ; 2004ECO008.

Large-block trades have been typically handled over the counter in the upstairs market. Institutional trading raises several issues of concern, such as the fragmentation of order flow, potential liquidity shortage in the downstairs market, and implications for market efficiency. Large investors’ trades may infact produce a price impact that can adversely influence their investment decisions....