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...