<oai_dc:dc xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:oai_dc="http://www.openarchives.org/OAI/2.0/oai_dc/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/ http://www.openarchives.org/OAI/2.0/oai_dc.xsd">
  <dc:contributor>Franzoni, Francesco</dc:contributor>
  <dc:creator>Vovchak, Volodymyr</dc:creator>
  <dc:date>2014-03-28</dc:date>
  <dc:description xmlns:ns0="xml" ns0:lang="en">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 be attributed to the 2008 financial crisis and to trading  tick decrease in 2000. Further, I investigate relationship between liquidity  and the investment holding horizon. I find that liquid stocks are traded by  short term investors and illiquid by long term investors. Finding holds for  a battery of liquidity measures. Regarding relationship of liquidity risk  with the holding horizon I discover that short term investors increase  liquidity risk of the stocks they hold. The second part investigates the  shape of the pricing kernel. Using nonparametric approach we estimate  pricing kernel. We propose two tests of monotonicity of the pricing  kernel. The monotonicity of the pricing kernel cannot be rejected by our  tests and hence we confirm that pricing kernel is in agreement with  economic theory.</dc:description>
  <dc:format>application/pdf</dc:format>
  <dc:identifier>https://n2t.net/ark:/12658/srd1318625</dc:identifier>
  <dc:identifier>https://susi.usi.ch/global/documents/318625</dc:identifier>
  <dc:identifier>https://susi.usi.ch/documents/318625/files/2014ECO001.pdf</dc:identifier>
  <dc:language>eng</dc:language>
  <dc:relation>info:eu-repo/semantics/altIdentifier/urn/urn:nbn:ch:rero-006-112703</dc:relation>
  <dc:relation>info:eu-repo/semantics/altIdentifier/ark/12658/srd1318625</dc:relation>
  <dc:rights>info:eu-repo/semantics/openAccess</dc:rights>
  <dc:rights>License undefined</dc:rights>
  <dc:subject xmlns:ns1="xml" ns1:lang="en">Liquidity</dc:subject>
  <dc:subject xmlns:ns2="xml" ns2:lang="en">Liquidity risk</dc:subject>
  <dc:subject xmlns:ns3="xml" ns3:lang="en">Asset pricing</dc:subject>
  <dc:subject xmlns:ns4="xml" ns4:lang="en">Investment holding horizon</dc:subject>
  <dc:subject xmlns:ns5="xml" ns5:lang="en">Pricing kernel</dc:subject>
  <dc:subject xmlns:ns6="xml" ns6:lang="en">Risk neutral distribution</dc:subject>
  <dc:subject xmlns:ns7="xml" ns7:lang="en">Historical distribution</dc:subject>
  <dc:subject>info:eu-repo/classification/udc/33</dc:subject>
  <dc:title xmlns:ns8="xml" ns8:lang="en">Essays on liquidity and asset pricing</dc:title>
  <dc:type>http://purl.org/coar/resource_type/c_db06</dc:type>
</oai_dc:dc>