Liquidity and anomalies: study on stock market liquidity and its affect on momentum and value investment returns.

dc.contributorAalto-yliopistofi
dc.contributorAalto Universityen
dc.contributor.authorSaali, Taneli
dc.contributor.departmentRahoituksen laitosfi
dc.contributor.departmentDepartment of Financeen
dc.contributor.schoolKauppakorkeakoulufi
dc.contributor.schoolSchool of Businessen
dc.date.accessioned2014-04-04T05:30:42Z
dc.date.available2014-04-04T05:30:42Z
dc.date.dateaccepted2014-03-06
dc.date.issued2014
dc.description.abstractPurpose of the study: This study focuses on the links between stock market liquidity and two of the most studied stock market anomalies: momentum effect and value effect. The aim is to increase knowledge from this area using daily stock market data and to confirm previous results often made using monthly stock market data. Data: There are two data sets used in this study. The first part is the daily NYSE stock market data obtained from the CRSP database. The second part is the daily Fama French three factors data downloaded from Kenneth French's webpage. The collected data is used to build nine different investment portfolios and six different liquidity factors. Results: First, the findings show no positive alphas for momentum or value investment strategies during the post 2008 financial crisis period. Second, there is a negative relationship between liquidity shocks and value investment returns, and positive relationship between liquidity shocks and momentum investment returns. Third, the unexpected liquidity shocks, rather than the expected changes in stock market liquidity, forecast momentum and value investment returns. And finally, the positive liquidity shocks have stronger effects than the negative shocks, both in statistical significance and in magnitude, when explaining future momentum and value investment returns.en
dc.ethesisid13548
dc.format.extent77
dc.format.mimetypeapplication/pdfen
dc.identifier.urihttps://aaltodoc.aalto.fi/handle/123456789/12840
dc.identifier.urnURN:NBN:fi:aalto-201404041652
dc.language.isoenen
dc.locationP1 Ifi
dc.programme.majorFinanceen
dc.programme.majorRahoitusfi
dc.subject.heleconrahoitus
dc.subject.heleconfinancing
dc.subject.heleconosakemarkkinat
dc.subject.heleconstock markets
dc.subject.heleconsijoitukset
dc.subject.heleconinvestments
dc.subject.helecontuotto
dc.subject.heleconrate of return
dc.subject.heleconlikviditeetti
dc.subject.heleconliquidity
dc.subject.keywordliquidity
dc.subject.keywordmomentum
dc.subject.keywordvalue
dc.subject.keywordmarket anomaly
dc.subject.keywordarbitrage
dc.titleLiquidity and anomalies: study on stock market liquidity and its affect on momentum and value investment returns.en
dc.typeG2 Pro gradu, diplomityöfi
dc.type.dcmitypetexten
dc.type.ontasotMaster's thesisen
dc.type.ontasotPro gradu tutkielmafi
local.aalto.idthes13548
local.aalto.openaccessyes
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