Liquidity and capital market imperfections:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2006
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XX, 346 S. graph. Darst. |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV021824322 | ||
| 003 | DE-604 | ||
| 005 | 20070829 | ||
| 007 | t | ||
| 008 | 061123s2006 d||| m||| 00||| eng d | ||
| 035 | |a (OCoLC)76965559 | ||
| 035 | |a (DE-599)BVBBV021824322 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-19 |a DE-703 |a DE-355 |a DE-384 |a DE-188 | ||
| 084 | |a QK 620 |0 (DE-625)141668: |2 rvk | ||
| 084 | |a QK 626 |0 (DE-625)141670: |2 rvk | ||
| 100 | 1 | |a Kessler, Stephan Markus |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Liquidity and capital market imperfections |c by Stephan Markus Kessler |
| 264 | 1 | |c 2006 | |
| 300 | |a XX, 346 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 502 | |a St. Gallen, Univ., Diss., 2006 | ||
| 648 | 7 | |a Geschichte 1993-2003 |2 gnd |9 rswk-swf | |
| 650 | 0 | 7 | |a Liquidität |0 (DE-588)4035908-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Tageswert |0 (DE-588)4184355-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Unvollkommener Kapitalmarkt |0 (DE-588)4124366-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Aktienkurs |0 (DE-588)4141736-7 |2 gnd |9 rswk-swf |
| 651 | 7 | |a Schweiz |0 (DE-588)4053881-3 |2 gnd |9 rswk-swf | |
| 651 | 7 | |a USA |0 (DE-588)4078704-7 |2 gnd |9 rswk-swf | |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 689 | 0 | 0 | |a Schweiz |0 (DE-588)4053881-3 |D g |
| 689 | 0 | 1 | |a Unvollkommener Kapitalmarkt |0 (DE-588)4124366-3 |D s |
| 689 | 0 | 2 | |a Liquidität |0 (DE-588)4035908-6 |D s |
| 689 | 0 | 3 | |a Aktienkurs |0 (DE-588)4141736-7 |D s |
| 689 | 0 | 4 | |a Tageswert |0 (DE-588)4184355-1 |D s |
| 689 | 0 | 5 | |a Geschichte 1993-2003 |A z |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a USA |0 (DE-588)4078704-7 |D g |
| 689 | 1 | 1 | |a Unvollkommener Kapitalmarkt |0 (DE-588)4124366-3 |D s |
| 689 | 1 | 2 | |a Liquidität |0 (DE-588)4035908-6 |D s |
| 689 | 1 | 3 | |a Aktienkurs |0 (DE-588)4141736-7 |D s |
| 689 | 1 | 4 | |a Tageswert |0 (DE-588)4184355-1 |D s |
| 689 | 1 | 5 | |a Geschichte 1993-2003 |A z |
| 689 | 1 | |5 DE-604 | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015036418&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-015036418 | ||
Datensatz im Suchindex
| _version_ | 1804135751214956544 |
|---|---|
| adam_text | Contents
1 Introduction 1
1.1 Preliminary Considerations 1
1.2 Contributions to the Existing Related Literature 2
1.3 Objectives 8
1.4 Structure 10
1.5 Results 12
2 The Impact of Liquidity on Intra Day Asset Price Behavior 15
2.1 Introduction 15
2.2 Data and Methodology 22
2.3 Intra day Changes of Liquidity 23
2.4 Intra day Changes of the Return Process 27
2.4.1 Analysis of the Moments of the Return Distribution . . 27
2.4.2 Intra day Changes of Stock Price Process Parameters . 33
2.5 Interaction of Liquidity and the Return Process 40
2.5.1 Interaction of Intra Day Liquidity and Moments of the
Return Distribution 40
2.5.2 Link between Intra Day Seasonally in Liquidity and
Moments of the Return Distribution 45
2.5.3 Interaction of Intra Day Liquidity and Return Process
Parameters 49
vii
2.5.4 Link Between Intra Day Seasonality in Liquidity and Re¬
turn Process Parameters 53
2.6 Summary 57
3 Price Impacts of Sales in Risk Management 59
3.1 Introduction 59
3.2 Literature Review 61
3.3 Empirical Findings Towards Price Impacts of Large Sales ... 67
3.3.1 Characteristics of the Used Dataset 67
3.3.2 Price Impacts and Spreads 69
3.3.3 Analysis of the Link between Price Impacts of Sales and
Transaction Size 73
3.3.4 Effect of Large Price Drops on Price Impacts of Liqui¬
dations 103
3.4 Implication of Empirical Results for the Modeling of Liquidation
Risk 117
3.4.1 Introduction of a Value at Risk Model with Jumps . . • 117
3.4.2 Extension of the Value at Risk Model by Liquidation
Losses 121
3.5 Summary 128
3.6 Appendix 130
4 Intra Day Characteristics of Stock Price Crashes 135
4.1 Introduction 135
4.2 Data and Methodology 140
4.3 Return and Liquidity Dynamics Around Cra shes 145
4.4 Relationship between Crash Duration, Extent and Liquidity
Changes (Hypothesis 1) 156
4.5 Relationship between Liquidity, Crash Duration and Extent
(Hypothesis 2) 162
4.6 Order Flow and Crashes 165
viii
4.6.1 Methodology 166
4.6.2 Order Flow in Normal Market Situations 167
4.6.3 Order Flow of Companies in Distress 169
4.6.4 Impact of Order Flow on Crash Characteristics (Hypoth¬
esis 3) 173
4.7 Summary 175
5 Information Processing on Equity Markets 177
5.1 Introduction 177
5.2 Literature Review 179
5.3 Economic Background 184
5.4 Study Design 186
5.5 Data 192
5.6 Empirical Results 193
5.6.1 Financial Statements 193
5.6.2 Corporate Control Actions 207
5.7 Summary 218
5.8 Appendix 219
5.8.1 Statistical Appendix 219
5.8.2 Tables 224
6 Impact of the Economic Environment and Fund Characteris¬
tics on the Asset Selection of Mutual Fund Managers 227
6.1 Introduction 227
6.2 Literature Review 231
6.3 Data 237
6.4 Methodology 244
6.5 Dispersion and Time Series Properties of Mutual Fund Hold¬
ings Characteristics and Economic Indicators 250
6.6 Impact of Mutual Fund Characteristics on the Actions of Fund
Managers 257
ix
6.6.1 Link between Mutual Fund Characteristics and Fund
Liquidity 257
6.6.2 Link between Fund Characteristics and Aggregate Per¬
formance and Valuation Characteristics of Fund Holdings 270
6.7 Impact of the Economic Environment on the Actions of Mutual
Fund Managers 279
6.7.1 Link between the Economic Environment and Aggregate
Fund Liquidity 279
6.7.2 Link between the Economic Environment and Aggregate
Performance and Valuation Characteristics of Mutual
Fund Holdings 286
6.8 The Reaction of Fund Managers to a Changing Economic En¬
vironment 296
6.8.1 Analysis of Fund Holding Characteristics in a Changing
Environment 296
6.8.2 Changes in Fund Holdings Characteristics in Response
to a Changing Economic Environment 301
6.8.3 Impact of Unexpected Changes of the Economic Envi¬
ronment on the Characteristics of Fund Holdings .... 309
6.8.4 Discussion of the Stability of Economic Effects on Mu¬
tual Fund Holdings 314
6.9 Summary 316
6.10 Appendix 318
6.10.1 Appendix A: Description of the Approach Applied to
Merge the Databases Used in this Chapter 318
6.10.2 Appendix B: Fund Characteristics in the Generated Database320
7 Conclusion 321
7.1 Summary 321
7.2 Results of the Thesis and Implications for the Efficiency of Cap¬
ital Markets 325
x
List of Tables
2.1 Correlations of Liquidity Measures 24
2.2 Moments of the 5 Minute Returns 30
2.3 Process Parameters for the Brownian Motion (BM) and the
Poisson Process (PP) Using 5 Minute Returns 34
2.4 Mean Proportions of Total Variance Caused by the Brownian
Motion (BM) 40
2.5 Regression of Moments on Liquidity Measures 43
2.6 Regression of Moments on Liquidity Measures and Daytime
Dummies 47
2.7 Regression of Process Parameters on Liquidity Measures .... 51
2.8 Regression of Process Parameters on Liquidity Measures and
Daytime Dummies 55
3.1 Regression of Price Impacts on Spreads 71
3.2 Mean Price Impacts Separated in Temporary and Permanent
Impacts 76
3.3 Regressions of Price Impact on Relative Trade Size Using Dif¬
ferent Specifications 80
3.4 Regressions of Price Impact on Different Modifications of Rela¬
tive Trade Size 82
3.5 Regressions of Average Price Impact on Different Modifications
of Relative Trade Size 84
xi
3.6 Histogram of Price Changes 87
3.7 Histogram of Relative Trade Sizes 89
3.8 Moments for the Distribution of the Regression Residuals ... 91
3.9 Variance of Residual Prom Regressing Price Impacts on Relative
Trade Size (In Percent) 92
3.10 Regression of the Residuals Volatility on the Square Root of
Relative Trade Size 96
3.11 Histogram of Price Impacts of the 300 Largest Trades 99
3.12 Mean Price Impacts of 300 Largest Trades Separated in Tem¬
porary and Permanent Impacts 101
3.13 Basic Statistics for all Samples 102
3.14 Mean and Standard Deviation of Price Impacts Before and After
a Stock Crash 110
3.15 Spreads Before and After a Large Price Drop H2
3.16 Parameter of Price Impact Regressions Before and After a Crash 114
3.17 Moments of the Price Impacts for Different Time Periods Around
a Crash 116
3.18 Mean and Standard Deviation of Price Impacts After Informa¬
tion Processing Periods of Different Lengths H8
3.19 Companies in the Three Size Groups 133
3.20 Companies in the Three Crash Groups 134
4.1 Price and Liquidity Statistics Before, During and After Crashes
(5 Minute Returns, 6 = 5, Minimum Crash Size 15%) 147
4.2 Regression of Crash Size on Changes in Liquidity Measures Dur¬
ing the Crash (6 = 20) 159
4.3 Multivariate Regression of Crash Size on Changes in Liquidity
Measures During the Crash (6 = 20) 160
4.4 Regression of Crash Duration on Liquidity Measures in the Pre
Crash Window (b = 20) 165
xii
4.5 Order Flow Imbalance of Large, Medium and Small Companies
using 30 Minute Time Intervals 170
4.6 Order Flow Imbalance Before, During and After the Crash . . 172
5.1 Financial Statements Results for the Base Case Returns . . 195
5.2 Financial Statements Results for the Base Case Volumes . . 196
5.3 Financial Statements Low Market Value 199
5.4 Financial Statements High Market Value 202
5.5 Corporate Control Base Case for Returns 208
5.6 Corporate Control Base Case for Volume 209
5.7 Corporate Control Low Market Value 211
5.8 Corporate Control High Market Value 214
5.9 Companies in Low and High Market Value Groups 224
5.10 Companies in Low and High Market to Book Value Groups . . 225
6.1 Correlations of the Value Weighted Fund Holdings Characteristics 258
6.2 Correlations of the Mutual Fund Characteristics 260
6.3 The Impact of Fund Characteristics on the Value Weighted Av¬
erage Liquidity Characteristics of the Mutual Fund Holdings . 267
6.4 The Impact of Fund Characteristics on the Value Weighted Av¬
erage Performance and Valuation Characteristics of the Mutual
Fund Holdings 271
6.5 Correlations of Economic Variables 281
6.6 The Impact of the Economic Environment on the Value Weighted
Average Liquidity of the Mutual Fund Holdings 284
6.7 The Impact of the Economic Environment on the Value Weighted
Average Performance and Valuation Characteristics of the Mu¬
tual Fund Holdings 288
6.8 The Impact of Changes of the Economic Environment on the
Value Weighted Average Liquidity Characteristics of the Mutual
Fund Holdings 298
xiii
6.9 The Impact of Changes of the Economic Environment on the
Value Weighted Average Valuation and Performance Charac¬
teristics of the Mutual Fund Holdings 300
6.10 The Impact of Changes of the Economic Environment on the
Changes of the Value Weighted Average Liquidity Characteris¬
tics of the Mutual Fund Holdings 304
6.11 The Impact of Changes of the Economic Environment on the
Changes of the Value Weighted Average Valuation and Perfor¬
mance Characteristics of the Mutual Fund Holdings 306
6.12 The Impact of Unexpected Changes of the Economic Environ¬
ment on the Changes of the Value Weighted Average Liquidity
Characteristics of the Mutual Fund Holdings 311
6.13 The Impact of Unexpected Changes of the Economic Environ¬
ment on the Changes of the Value Weighted Average Valuation
and Performance Characteristics of the Mutual Fund Holdings 313
6.14 Fund Characteristics in the Generated Database 320
xiv
List of Figures
2.1 Relative Volume of Trades Across the Day 25
2.2 Relative Number of Transactions Throughout the Day 28
2.3 Relative Spreads accross the Day 28
3.1 Forecasted Price Impact of High Relative Trade Volumes . ... 81
3.2 Average Relative Trade Size and Average Price Impact for Large
Stocks 85
3.3 Average Relative Trade Size and Average Price Impact for Small
Stocks 86
3.4 Volatility of the Regression Residual as Trade Size Increases
Large Companies 93
3.5 Volatility of the Regression Residual as Trade Size Increases
Medium Companies 93
3.6 Volatility of the Regression Residual as Trade Size Increases
Small Companies 94
3.7 Average Relative Trade Size and Average Price Impact for the
No Pennies Drop Sample 107
3.8 Temporary and Permanent Price Effects 130
3.9 Timeline of a Liquidation 130
3.10 Residuals of the Price Impact of Small Companies (Determined
through a regression of price impacts on the transaction size of
the 1000 largest trades) 131
xv
4.1 Timeline of the Crash Identification 142
4.2 Cumulated Mean Returns During a Crash (Crash Indication
Period at t ~ 121) 145
4.3 Mean Relative Turnover During 5 Minute Intervals Around A
Crash (Crash Indication Period at t = 121) 149
4.4 Mean Relative Number of Transactions During 5 Minute Inter¬
vals Around a Crash (Crash Indication Period at £=121) . . . 153
4.5 Median Spread During 5 Minute Intervals Around a Stock Price
Crash (Crash Indication Period at t = 121) 154
4.6 Median Bid and Ask Distances During 5 Minute Intervals Around
a Stock Price Crash (Crash Indication Period at t = 121) ... 155
5.1 Time Line of the Event Study 187
5.2 Cumulated Returns for Financial Statement Events Low vs.
HighMV 200
5.3 Cumulated Returns for Financial Statement Events Low vs.
HighMTBV 203
5.4 Cumulated Returns for Corporate Control Events Low vs.
HighMV 212
5.5 Cumulated Returns for Corporate Control Events Low vs.
High MTBV 215
5.6 Cumulated Returns for the Base Case 217
6.1 Quarterly Time Series of Mean Betas of Mutual Fund Holdings
(1993 2004) 251
6.2 Quarterly Time Series of Mean Dividend Yields of Mutual Fund
Holdings (1993 2004) 253
6.3 Quarterly Time Series of Mean Inflation Adjusted Volume of
Mutual Fund Holdings (1993 2004) 254
6.4 Quarterly Time Series of the University of Michigan Consumer
Confidence Index (1993 2004) 255
xvi
6.5 Quarterly Time Series of the Unemployment Rate (1993 2004) 255
xvii
|
| adam_txt |
Contents
1 Introduction 1
1.1 Preliminary Considerations 1
1.2 Contributions to the Existing Related Literature 2
1.3 Objectives 8
1.4 Structure 10
1.5 Results 12
2 The Impact of Liquidity on Intra Day Asset Price Behavior 15
2.1 Introduction 15
2.2 Data and Methodology 22
2.3 Intra day Changes of Liquidity 23
2.4 Intra day Changes of the Return Process 27
2.4.1 Analysis of the Moments of the Return Distribution . . 27
2.4.2 Intra day Changes of Stock Price Process Parameters . 33
2.5 Interaction of Liquidity and the Return Process 40
2.5.1 Interaction of Intra Day Liquidity and Moments of the
Return Distribution 40
2.5.2 Link between Intra Day Seasonally in Liquidity and
Moments of the Return Distribution 45
2.5.3 Interaction of Intra Day Liquidity and Return Process
Parameters 49
vii
2.5.4 Link Between Intra Day Seasonality in Liquidity and Re¬
turn Process Parameters 53
2.6 Summary 57
3 Price Impacts of Sales in Risk Management 59
3.1 Introduction 59
3.2 Literature Review 61
3.3 Empirical Findings Towards Price Impacts of Large Sales . 67
3.3.1 Characteristics of the Used Dataset 67
3.3.2 Price Impacts and Spreads 69
3.3.3 Analysis of the Link between Price Impacts of Sales and
Transaction Size 73
3.3.4 Effect of Large Price Drops on Price Impacts of Liqui¬
dations 103
3.4 Implication of Empirical Results for the Modeling of Liquidation
Risk 117
3.4.1 Introduction of a Value at Risk Model with Jumps . . • 117
3.4.2 Extension of the Value at Risk Model by Liquidation
Losses 121
3.5 Summary 128
3.6 Appendix 130
4 Intra Day Characteristics of Stock Price Crashes 135
4.1 Introduction 135
4.2 Data and Methodology 140
4.3 Return and Liquidity Dynamics Around Cra shes 145
4.4 Relationship between Crash Duration, Extent and Liquidity
Changes (Hypothesis 1) 156
4.5 Relationship between Liquidity, Crash Duration and Extent
(Hypothesis 2) 162
4.6 Order Flow and Crashes 165
viii
4.6.1 Methodology 166
4.6.2 Order Flow in Normal Market Situations 167
4.6.3 Order Flow of Companies in Distress 169
4.6.4 Impact of Order Flow on Crash Characteristics (Hypoth¬
esis 3) 173
4.7 Summary 175
5 Information Processing on Equity Markets 177
5.1 Introduction 177
5.2 Literature Review 179
5.3 Economic Background 184
5.4 Study Design 186
5.5 Data 192
5.6 Empirical Results 193
5.6.1 Financial Statements 193
5.6.2 Corporate Control Actions 207
5.7 Summary 218
5.8 Appendix 219
5.8.1 Statistical Appendix 219
5.8.2 Tables 224
6 Impact of the Economic Environment and Fund Characteris¬
tics on the Asset Selection of Mutual Fund Managers 227
6.1 Introduction 227
6.2 Literature Review 231
6.3 Data 237
6.4 Methodology 244
6.5 Dispersion and Time Series Properties of Mutual Fund Hold¬
ings' Characteristics and Economic Indicators 250
6.6 Impact of Mutual Fund Characteristics on the Actions of Fund
Managers 257
ix
6.6.1 Link between Mutual Fund Characteristics and Fund
Liquidity 257
6.6.2 Link between Fund Characteristics and Aggregate Per¬
formance and Valuation Characteristics of Fund Holdings 270
6.7 Impact of the Economic Environment on the Actions of Mutual
Fund Managers 279
6.7.1 Link between the Economic Environment and Aggregate
Fund Liquidity 279
6.7.2 Link between the Economic Environment and Aggregate
Performance and Valuation Characteristics of Mutual
Fund Holdings 286
6.8 The Reaction of Fund Managers to a Changing Economic En¬
vironment 296
6.8.1 Analysis of Fund Holding Characteristics in a Changing
Environment 296
6.8.2 Changes in Fund Holdings' Characteristics in Response
to a Changing Economic Environment 301
6.8.3 Impact of Unexpected Changes of the Economic Envi¬
ronment on the Characteristics of Fund Holdings . 309
6.8.4 Discussion of the Stability of Economic Effects on Mu¬
tual Fund Holdings 314
6.9 Summary 316
6.10 Appendix 318
6.10.1 Appendix A: Description of the Approach Applied to
Merge the Databases Used in this Chapter 318
6.10.2 Appendix B: Fund Characteristics in the Generated Database320
7 Conclusion 321
7.1 Summary 321
7.2 Results of the Thesis and Implications for the Efficiency of Cap¬
ital Markets 325
x
List of Tables
2.1 Correlations of Liquidity Measures 24
2.2 Moments of the 5 Minute Returns 30
2.3 Process Parameters for the Brownian Motion (BM) and the
Poisson Process (PP) Using 5 Minute Returns 34
2.4 Mean Proportions of Total Variance Caused by the Brownian
Motion (BM) 40
2.5 Regression of Moments on Liquidity Measures 43
2.6 Regression of Moments on Liquidity Measures and Daytime
Dummies 47
2.7 Regression of Process Parameters on Liquidity Measures . 51
2.8 Regression of Process Parameters on Liquidity Measures and
Daytime Dummies 55
3.1 Regression of Price Impacts on Spreads 71
3.2 Mean Price Impacts Separated in Temporary and Permanent
Impacts 76
3.3 Regressions of Price Impact on Relative Trade Size Using Dif¬
ferent Specifications 80
3.4 Regressions of Price Impact on Different Modifications of Rela¬
tive Trade Size 82
3.5 Regressions of Average Price Impact on Different Modifications
of Relative Trade Size 84
xi
3.6 Histogram of Price Changes 87
3.7 Histogram of Relative Trade Sizes 89
3.8 Moments for the Distribution of the Regression Residuals . 91
3.9 Variance of Residual Prom Regressing Price Impacts on Relative
Trade Size (In Percent) 92
3.10 Regression of the Residuals' Volatility on the Square Root of
Relative Trade Size 96
3.11 Histogram of Price Impacts of the 300 Largest Trades 99
3.12 Mean Price Impacts of 300 Largest Trades Separated in Tem¬
porary and Permanent Impacts 101
3.13 Basic Statistics for all Samples 102
3.14 Mean and Standard Deviation of Price Impacts Before and After
a Stock Crash 110
3.15 Spreads Before and After a Large Price Drop H2
3.16 Parameter of Price Impact Regressions Before and After a Crash 114
3.17 Moments of the Price Impacts for Different Time Periods Around
a Crash 116
3.18 Mean and Standard Deviation of Price Impacts After Informa¬
tion Processing Periods of Different Lengths H8
3.19 Companies in the Three Size Groups 133
3.20 Companies in the Three Crash Groups 134
4.1 Price and Liquidity Statistics Before, During and After Crashes
(5 Minute Returns, 6 = 5, Minimum Crash Size 15%) 147
4.2 Regression of Crash Size on Changes in Liquidity Measures Dur¬
ing the Crash (6 = 20) 159
4.3 Multivariate Regression of Crash Size on Changes in Liquidity
Measures During the Crash (6 = 20) 160
4.4 Regression of Crash Duration on Liquidity Measures in the Pre
Crash Window (b = 20) 165
xii
4.5 Order Flow Imbalance of Large, Medium and Small Companies
using 30 Minute Time Intervals 170
4.6 Order Flow Imbalance Before, During and After the Crash . . 172
5.1 Financial Statements Results for the Base Case Returns . . 195
5.2 Financial Statements Results for the Base Case Volumes . . 196
5.3 Financial Statements Low Market Value 199
5.4 Financial Statements High Market Value 202
5.5 Corporate Control Base Case for Returns 208
5.6 Corporate Control Base Case for Volume 209
5.7 Corporate Control Low Market Value 211
5.8 Corporate Control High Market Value 214
5.9 Companies in Low and High Market Value Groups 224
5.10 Companies in Low and High Market to Book Value Groups . . 225
6.1 Correlations of the Value Weighted Fund Holdings Characteristics 258
6.2 Correlations of the Mutual Fund Characteristics 260
6.3 The Impact of Fund Characteristics on the Value Weighted Av¬
erage Liquidity Characteristics of the Mutual Fund Holdings . 267
6.4 The Impact of Fund Characteristics on the Value Weighted Av¬
erage Performance and Valuation Characteristics of the Mutual
Fund Holdings 271
6.5 Correlations of Economic Variables 281
6.6 The Impact of the Economic Environment on the Value Weighted
Average Liquidity of the Mutual Fund Holdings 284
6.7 The Impact of the Economic Environment on the Value Weighted
Average Performance and Valuation Characteristics of the Mu¬
tual Fund Holdings 288
6.8 The Impact of Changes of the Economic Environment on the
Value Weighted Average Liquidity Characteristics of the Mutual
Fund Holdings 298
xiii
6.9 The Impact of Changes of the Economic Environment on the
Value Weighted Average Valuation and Performance Charac¬
teristics of the Mutual Fund Holdings 300
6.10 The Impact of Changes of the Economic Environment on the
Changes of the Value Weighted Average Liquidity Characteris¬
tics of the Mutual Fund Holdings 304
6.11 The Impact of Changes of the Economic Environment on the
Changes of the Value Weighted Average Valuation and Perfor¬
mance Characteristics of the Mutual Fund Holdings 306
6.12 The Impact of Unexpected Changes of the Economic Environ¬
ment on the Changes of the Value Weighted Average Liquidity
Characteristics of the Mutual Fund Holdings 311
6.13 The Impact of Unexpected Changes of the Economic Environ¬
ment on the Changes of the Value Weighted Average Valuation
and Performance Characteristics of the Mutual Fund Holdings 313
6.14 Fund Characteristics in the Generated Database 320
xiv
List of Figures
2.1 Relative Volume of Trades Across the Day 25
2.2 Relative Number of Transactions Throughout the Day 28
2.3 Relative Spreads accross the Day 28
3.1 Forecasted Price Impact of High Relative Trade Volumes . . 81
3.2 Average Relative Trade Size and Average Price Impact for Large
Stocks 85
3.3 Average Relative Trade Size and Average Price Impact for Small
Stocks 86
3.4 Volatility of the Regression Residual as Trade Size Increases
Large Companies 93
3.5 Volatility of the Regression Residual as Trade Size Increases
Medium Companies 93
3.6 Volatility of the Regression Residual as Trade Size Increases
Small Companies 94
3.7 Average Relative Trade Size and Average Price Impact for the
No Pennies Drop Sample 107
3.8 Temporary and Permanent Price Effects 130
3.9 Timeline of a Liquidation 130
3.10 Residuals of the Price Impact of Small Companies (Determined
through a regression of price impacts on the transaction size of
the 1000 largest trades) 131
xv
4.1 Timeline of the Crash Identification 142
4.2 Cumulated Mean Returns During a Crash (Crash Indication
Period at t ~ 121) 145
4.3 Mean Relative Turnover During 5 Minute Intervals Around A
Crash (Crash Indication Period at t = 121) 149
4.4 Mean Relative Number of Transactions During 5 Minute Inter¬
vals Around a Crash (Crash Indication Period at £=121) . . . 153
4.5 Median Spread During 5 Minute Intervals Around a Stock Price
Crash (Crash Indication Period at t = 121) 154
4.6 Median Bid and Ask Distances During 5 Minute Intervals Around
a Stock Price Crash (Crash Indication Period at t = 121) . 155
5.1 Time Line of the Event Study 187
5.2 Cumulated Returns for Financial Statement Events Low vs.
HighMV 200
5.3 Cumulated Returns for Financial Statement Events Low vs.
HighMTBV 203
5.4 Cumulated Returns for Corporate Control Events Low vs.
HighMV 212
5.5 Cumulated Returns for Corporate Control Events Low vs.
High MTBV 215
5.6 Cumulated Returns for the Base Case 217
6.1 Quarterly Time Series of Mean Betas of Mutual Fund Holdings
(1993 2004) 251
6.2 Quarterly Time Series of Mean Dividend Yields of Mutual Fund
Holdings (1993 2004) 253
6.3 Quarterly Time Series of Mean Inflation Adjusted Volume of
Mutual Fund Holdings (1993 2004) 254
6.4 Quarterly Time Series of the University of Michigan Consumer
Confidence Index (1993 2004) 255
xvi
6.5 Quarterly Time Series of the Unemployment Rate (1993 2004) 255
xvii |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Kessler, Stephan Markus |
| author_facet | Kessler, Stephan Markus |
| author_role | aut |
| author_sort | Kessler, Stephan Markus |
| author_variant | s m k sm smk |
| building | Verbundindex |
| bvnumber | BV021824322 |
| classification_rvk | QK 620 QK 626 |
| ctrlnum | (OCoLC)76965559 (DE-599)BVBBV021824322 |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| era | Geschichte 1993-2003 gnd |
| era_facet | Geschichte 1993-2003 |
| format | Thesis Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02206nam a2200553 c 4500</leader><controlfield tag="001">BV021824322</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20070829 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">061123s2006 d||| m||| 00||| eng d</controlfield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)76965559</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV021824322</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-19</subfield><subfield code="a">DE-703</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-384</subfield><subfield code="a">DE-188</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 620</subfield><subfield code="0">(DE-625)141668:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 626</subfield><subfield code="0">(DE-625)141670:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Kessler, Stephan Markus</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Liquidity and capital market imperfections</subfield><subfield code="c">by Stephan Markus Kessler</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2006</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XX, 346 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="502" ind1=" " ind2=" "><subfield code="a">St. Gallen, Univ., Diss., 2006</subfield></datafield><datafield tag="648" ind1=" " ind2="7"><subfield code="a">Geschichte 1993-2003</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Liquidität</subfield><subfield code="0">(DE-588)4035908-6</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Tageswert</subfield><subfield code="0">(DE-588)4184355-1</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Unvollkommener Kapitalmarkt</subfield><subfield code="0">(DE-588)4124366-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Aktienkurs</subfield><subfield code="0">(DE-588)4141736-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="651" ind1=" " ind2="7"><subfield code="a">Schweiz</subfield><subfield code="0">(DE-588)4053881-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="651" ind1=" " ind2="7"><subfield code="a">USA</subfield><subfield code="0">(DE-588)4078704-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4113937-9</subfield><subfield code="a">Hochschulschrift</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Schweiz</subfield><subfield code="0">(DE-588)4053881-3</subfield><subfield code="D">g</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Unvollkommener Kapitalmarkt</subfield><subfield code="0">(DE-588)4124366-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Liquidität</subfield><subfield code="0">(DE-588)4035908-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="3"><subfield code="a">Aktienkurs</subfield><subfield code="0">(DE-588)4141736-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="4"><subfield code="a">Tageswert</subfield><subfield code="0">(DE-588)4184355-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="5"><subfield code="a">Geschichte 1993-2003</subfield><subfield code="A">z</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">USA</subfield><subfield code="0">(DE-588)4078704-7</subfield><subfield code="D">g</subfield></datafield><datafield tag="689" ind1="1" ind2="1"><subfield code="a">Unvollkommener Kapitalmarkt</subfield><subfield code="0">(DE-588)4124366-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="2"><subfield code="a">Liquidität</subfield><subfield code="0">(DE-588)4035908-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="3"><subfield code="a">Aktienkurs</subfield><subfield code="0">(DE-588)4141736-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="4"><subfield code="a">Tageswert</subfield><subfield code="0">(DE-588)4184355-1</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2="5"><subfield code="a">Geschichte 1993-2003</subfield><subfield code="A">z</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015036418&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-015036418</subfield></datafield></record></collection> |
| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| geographic | Schweiz (DE-588)4053881-3 gnd USA (DE-588)4078704-7 gnd |
| geographic_facet | Schweiz USA |
| id | DE-604.BV021824322 |
| illustrated | Illustrated |
| index_date | 2024-07-02T15:55:12Z |
| indexdate | 2024-07-09T20:45:29Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-015036418 |
| oclc_num | 76965559 |
| open_access_boolean | |
| owner | DE-19 DE-BY-UBM DE-703 DE-355 DE-BY-UBR DE-384 DE-188 |
| owner_facet | DE-19 DE-BY-UBM DE-703 DE-355 DE-BY-UBR DE-384 DE-188 |
| physical | XX, 346 S. graph. Darst. |
| publishDate | 2006 |
| publishDateSearch | 2006 |
| publishDateSort | 2006 |
| record_format | marc |
| spelling | Kessler, Stephan Markus Verfasser aut Liquidity and capital market imperfections by Stephan Markus Kessler 2006 XX, 346 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2006 Geschichte 1993-2003 gnd rswk-swf Liquidität (DE-588)4035908-6 gnd rswk-swf Tageswert (DE-588)4184355-1 gnd rswk-swf Unvollkommener Kapitalmarkt (DE-588)4124366-3 gnd rswk-swf Aktienkurs (DE-588)4141736-7 gnd rswk-swf Schweiz (DE-588)4053881-3 gnd rswk-swf USA (DE-588)4078704-7 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Schweiz (DE-588)4053881-3 g Unvollkommener Kapitalmarkt (DE-588)4124366-3 s Liquidität (DE-588)4035908-6 s Aktienkurs (DE-588)4141736-7 s Tageswert (DE-588)4184355-1 s Geschichte 1993-2003 z DE-604 USA (DE-588)4078704-7 g HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015036418&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kessler, Stephan Markus Liquidity and capital market imperfections Liquidität (DE-588)4035908-6 gnd Tageswert (DE-588)4184355-1 gnd Unvollkommener Kapitalmarkt (DE-588)4124366-3 gnd Aktienkurs (DE-588)4141736-7 gnd |
| subject_GND | (DE-588)4035908-6 (DE-588)4184355-1 (DE-588)4124366-3 (DE-588)4141736-7 (DE-588)4053881-3 (DE-588)4078704-7 (DE-588)4113937-9 |
| title | Liquidity and capital market imperfections |
| title_auth | Liquidity and capital market imperfections |
| title_exact_search | Liquidity and capital market imperfections |
| title_exact_search_txtP | Liquidity and capital market imperfections |
| title_full | Liquidity and capital market imperfections by Stephan Markus Kessler |
| title_fullStr | Liquidity and capital market imperfections by Stephan Markus Kessler |
| title_full_unstemmed | Liquidity and capital market imperfections by Stephan Markus Kessler |
| title_short | Liquidity and capital market imperfections |
| title_sort | liquidity and capital market imperfections |
| topic | Liquidität (DE-588)4035908-6 gnd Tageswert (DE-588)4184355-1 gnd Unvollkommener Kapitalmarkt (DE-588)4124366-3 gnd Aktienkurs (DE-588)4141736-7 gnd |
| topic_facet | Liquidität Tageswert Unvollkommener Kapitalmarkt Aktienkurs Schweiz USA Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015036418&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT kesslerstephanmarkus liquidityandcapitalmarketimperfections |