Ownership, corporate governance and liquidity in Caribbean firms

This thesis provides the first evidence on how ownership structure and corporate governance relate to stock liquidity in the Caribbean. Based on panel data of 71 firms from three selected Caribbean markets − Barbados, Jamaica, and Trinidad & Tobago − results show that firms with concentrated ownership are associated with lower liquidity. The identity of the largest shareholder also matters: family firms and firms with foreign holding companies are more liquid than government firms. Although the second largest shareholding does not appear to matter to liquidity, there is some evidence showing that firms with foreign holding companies as the second largest shareholder are less liquid. Caribbean firms suffer from poor corporate governance but this study is unable to establish a significant relationship between corporate governance and liquidity.

Ownership, corporate governance and IPO post-listing liquidity

This thesis investigates how ownership structure and corporate governance relate to the post-listing liquidity of IPO firms. Using a sample of 1,049 Chinese IPOs from 2001 to 2010, the results show firms with a broader shareholder base and higher ownership concentration have greater post-listing liquidity. So do firms with higher state ownership and lower institution ownership. Corporate governance is also important; post-listing liquidity is higher for firms with CEO duality, a larger and more independent board, and more frequent board meetings. The 2005 Split Share Structure Reform, which increased the proportion of tradable shares, has a positive impact on liquidity.

The Relationship Between Liquidity, Trading Activity and Return - Studies of the Finnish and Swedish Stock Markets

Liquidity, or how easy an investment is to buy or sell, is becoming increasingly important for financial market participants. The objective of this dissertation is to contribute to the understanding of how liquidity affects financial markets. The first essays analyze the actions taken by underwriters immediately after listing to improve liquidity of IPO stock. To estimate the impact of underwriter activity on the pricing of the IPOs, the order book during the first weeks of trading in the IPO stock is studied. Evidence of stabilization and liquidity enhancing activities by underwriters is found. The second half of the dissertation is concerned with the daily trading of stocks where liquidity may be impacted by policy issues such as changes in taxes or exchange fees and by opening the access to the markets for foreign investors. The desirability of a transaction tax on securities trading is addressed. An increase in transaction tax is found to cause lower prices and higher volatility. In the last essay the objective is to determine if the liquidity of a security has an impact on the return investors require. The results support the notion that returns are negatively correlated to liquidity.

Swedish Premium Pension Funds: Attributes and Performance

This study investigates the relationship between fund attributes and performance. The focus is on funds available in the Swedish Premium Pension system (PPM-funds). The aim has been to investigate whether administration fees, manager tenure or past performance are of importance for pension savers when they pick their PPM-funds. The results indicate that high fees are a disadvantage to pension savers investing in bond funds but not to those investing in stock funds. Manager tenure has no relationship with performance. There is evidence of performance persistency in most of the investigated fund categories.

Evaluacion del efecto de anabolicos de crecimiento (Zeranol over, Overmax L.A. Premium y Zeranol implante) en novillos de engorde en un periodo de cien dias en la finca El Rastro, El Coral, Chontales

Para el estudio se utilizaron 68 novillos producto del cruce de la raza Pardo Suizo x Brahman con un peso inicial de 230 ± 33 kg, con el objetivo de evaluar el efecto de tres tratamientos anabólicos sobre la ganancia de peso total en pastoreo libre durante un periodo de 100 días, siendo los tratamientos los siguientes: T 1 (Zeranol implante: Zeranol Over®), T2 (Zeranol Over® formulación tixotrópico), T3. (Overmax® LA Premium: Zeranol + ivermectina 3.15%), comparado con el T4 Testigo o Control (Sin implante). A los animales pesados y organizados en tres grupos con características semejantes, se les aplicó los tratamientos y cada grupo estuvo conformado por 17 novillos; de igual manera, fueron desparasitados con Vermectina La Premium 3. 15 %, a razón de 1ml por cada 50 kg de peso vivo (kg p.v), antes de aplicar los agentes anabólicos. Se determinó el incremento en peso a partir del peso final e inicial, y se calculó la Ganancia Media Diaria (GMD) en cada uno de los tratamientos. Para el diseño de dos vías se utilizó el test de Fisher (Análisis de Varianza) y el Test de Friedman, y categorización estadística mediante la Mínima Diferencia Significativa (DMS, P=O.OS). El análisis estadístico determinó efecto altamente significativo (P=O.OOl) en la GMD, en donde la GMD fue de 739, 624, 590 y de 536 gramos para los tratamientos T3 (Overeas® LA Premium: Zeranol + ívermectina), TI (Zeranol implante: Zeranol Over®), T2 (Zeranol Over'l formulación tixotrópica) y el Control, respectivamente. El implante Overmax® LA Premium (Zeranol+ivermectina3.15%) superó en más de 27 % al tratamiento sin implante, siendo este el tratamiento de mayor rentabilidad, con 83.43 dólares en ganancia de peso por animal, y una relación Beneficio/Costo de 1.27 por cada unidad monetaria invertida.

Understanding the ex-ante cost of liquidity in the limit order book: A note

This paper estimates a new measure of liquidity costs in a market driven by orders. It represents thecost of simultaneously buying and selling a given amount of shares, and it is given by a single measure of ex-ante liquidity that aggregates all available information in the limit order book for a given number of shares. The cost of liquidity is an increasing function relating bid-ask spreads with the amounts available for trading. This measure completely characterizes the cost of liquidity of any given asset. It does not suffer from the usual ambiguities related to either the bid-ask spread or depth when they are considered separately. On the contrary, with a single measure, we are able to capture all dimensions of liquidity costs on ex-ante basis.

Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market

Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, this paper empirically analyzes whether Spanish average returns vary cross-sectionally with betas estimated relative to two competing liquidity risk factors. The first one, proposed by Pastor and Stambaugh (2002), is associated with the strength of volume-related return reversals. Our marketwide liquidity factor is defined as the difference between returns highly sensitive to changes in the relative bid-ask spread and returns with low sensitivities to those changes. Our empirical results show that neither of these proxies for systematic liquidity risk seems to be priced in the Spanish stock market. Further international evidence is deserved.

Markov Switching Risk Premium and the term structure of interest rates. Empirical evidence from US post-war interest rates

This paper considers the basic present value model of interest rates under rational expectations with two additional features. First, following McCallum (1994), the model assumes a policy reaction function where changes in the short-term interest rate are determined by the long-short spread. Second, the short-term interest rate and the risk premium processes are characterized by a Markov regime-switching model. Using US post-war interest rate data, this paper finds evidence that a two-regime switching model fits the data better than the basic model. The estimation results also show the presence of two alternative states displaying quite different features.

Skill premium effects on fertility and female labor force supply

Published as an article in: Journal of Population Economics, 2004, vol. 17, issue 1, pages 1-16.