Resiliency and Stock Returns: evidence from the London stock exchange

Detalhes bibliográficos
Autor(a) principal: Cachulo, Marcos António Gonçalves
Data de Publicação: 2020
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/105577
Resumo: Literature has provided evidence of liquidity as a predictor of expected returns. However, resiliency, as one of its dimensions, has not been extensively studied. The resiliency measure introduced here assumes that liquidity shocks occur during the trading activity and that, in the opening of the following day, the reversals to the new fundamental value is completed. No significant evidence was found for a measure of resiliency that considers the trading day return and the consecutive overnight return, both for equally-weighted and value-weighted portfolios. Also, even considering a sample without micro-cap stocks, illiquidity premium is not significant. (JEL: G10, G11, G12, G14)
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spelling Resiliency and Stock Returns: evidence from the London stock exchangeResiliencyLiquidityStock returnsIlliquidity premiumDomínio/Área Científica::Ciências Sociais::Economia e GestãoLiterature has provided evidence of liquidity as a predictor of expected returns. However, resiliency, as one of its dimensions, has not been extensively studied. The resiliency measure introduced here assumes that liquidity shocks occur during the trading activity and that, in the opening of the following day, the reversals to the new fundamental value is completed. No significant evidence was found for a measure of resiliency that considers the trading day return and the consecutive overnight return, both for equally-weighted and value-weighted portfolios. Also, even considering a sample without micro-cap stocks, illiquidity premium is not significant. (JEL: G10, G11, G12, G14)Silva, AndréRUNCachulo, Marcos António Gonçalves2020-10-14T13:14:57Z2020-01-222020-01-222020-01-22T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/105577TID:202493601enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:50:49Zoai:run.unl.pt:10362/105577Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:40:31.816630Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Resiliency and Stock Returns: evidence from the London stock exchange
title Resiliency and Stock Returns: evidence from the London stock exchange
spellingShingle Resiliency and Stock Returns: evidence from the London stock exchange
Cachulo, Marcos António Gonçalves
Resiliency
Liquidity
Stock returns
Illiquidity premium
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Resiliency and Stock Returns: evidence from the London stock exchange
title_full Resiliency and Stock Returns: evidence from the London stock exchange
title_fullStr Resiliency and Stock Returns: evidence from the London stock exchange
title_full_unstemmed Resiliency and Stock Returns: evidence from the London stock exchange
title_sort Resiliency and Stock Returns: evidence from the London stock exchange
author Cachulo, Marcos António Gonçalves
author_facet Cachulo, Marcos António Gonçalves
author_role author
dc.contributor.none.fl_str_mv Silva, André
RUN
dc.contributor.author.fl_str_mv Cachulo, Marcos António Gonçalves
dc.subject.por.fl_str_mv Resiliency
Liquidity
Stock returns
Illiquidity premium
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Resiliency
Liquidity
Stock returns
Illiquidity premium
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description Literature has provided evidence of liquidity as a predictor of expected returns. However, resiliency, as one of its dimensions, has not been extensively studied. The resiliency measure introduced here assumes that liquidity shocks occur during the trading activity and that, in the opening of the following day, the reversals to the new fundamental value is completed. No significant evidence was found for a measure of resiliency that considers the trading day return and the consecutive overnight return, both for equally-weighted and value-weighted portfolios. Also, even considering a sample without micro-cap stocks, illiquidity premium is not significant. (JEL: G10, G11, G12, G14)
publishDate 2020
dc.date.none.fl_str_mv 2020-10-14T13:14:57Z
2020-01-22
2020-01-22
2020-01-22T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/105577
TID:202493601
url http://hdl.handle.net/10362/105577
identifier_str_mv TID:202493601
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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