Lollobrigida, Filippo (A.A. 2023/2024) Analyzing stock market liquidity dynamics: a comparative study of liquidity level and liquidity risk. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 83. [Master's Degree Thesis]

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Abstract/Index

Liquidity measuresand financial markets. Literature review. Liquidity's origins. Market makers and information asymmetry. Liquidity risk. Liquidity measures. Market liquidity risk. Liquidity betas. Analysis of portfolios sorted by liquidity level and liquidity risk. Introduction to portfolio analysis. Data preparation and methodology. Liquidity beta estimation: techniques and applications. Analysis of portfolio performance. Results and interpretations: presentation and analysis of key findings from the liquidity level and risk assessment. Covid-19: implementations for liquidity risk and portfolio performance. Contribution to the field: empirical validation of liquidity risk factors in asset pricing. Analysis of portfolio sorted by market capitalization. Introduction: overview of the study's focus on liquidity risk and market capitalization. Analysis of small-cap portfolios. Analysis of large-cap portfolios: examination of large-cap stocks' behavior in relation to liquidity risk. Comparative analysis: small-caps vs large-cap portfolios. Statistical analysis and findings.

References

Bibliografia: pp. 76-82.

Thesis Type:	Master's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair:	Asset pricing
Thesis Supervisor:	Borri, Nicola
Thesis Co-Supervisor:	Barone, Emilio
Academic Year:	2023/2024
Session:	Summer
Deposited by:	Alessandro Perfetti
Date Deposited:	19 Dec 2024 15:06
Last Modified:	19 Dec 2024 15:06
URI:	https://tesi.luiss.it/id/eprint/40717

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