[en] Over the past decades, market liquidity has been a major issue for stock market participants and even becomes one of the most important challenges since the recent financial crisis. In this context, this dissertation is centered on this topic and presents three empirical essays incorporating liquidity considerations in three different subfields of Finance, namely, asset pricing, portfolio allocation and mutual fund timing.
The first essay (Chapter 2) is related to asset pricing and demonstrates that liquidity and quality are priced characteristics in the stock market, but their pricing is conditional on market volatility conditions. The second essay (Chapter 3) is devoted to portfolio allocation and shows that aggregate market liquidity shocks has a significant influence on optimal portfolio allocations. In addition, it emphasizes that liquidity-responsive strategies could be a valuable tool for investors and portfolio managers to actively manage risks and capture return opportunities. The third essay (Chapter 4) focuses rather on mutual fund timing and examines what style liquidity timing skills may mutual fund managers possess. This study highlights that, in anticipation of aggregate market liquidity changes, mutual funds do not switch their investments between stocks and cash but they rather switch between only small and large stocks.
Overall, the main message to take away from this research is that investors and portfolio managers should take into consideration both the liquidity of their individual stocks and the liquidity of the market as a whole.
Author, co-author :
Bazgour, Tarik ; Université de Liège > HEC-Ecole de gestion : UER > Gestion financière et consolidation
Three Essays on Market Liquidity in Equity Markets
Defense date :
13 June 2016
ULiège - Université de Liège
Docteur en Sciences Économiques et de Gestion
Sougné, Danielle ; Université de Liège - ULiège > HEC Liège : UER > UER Finance et Droit : Gestion financière et consolidation
Heuchenne, Cédric ; Université de Liège - ULiège > HEC Recherche > HEC Recherche: Business Analytics & Supply Chain Management
Hübner, Georges ; Université de Liège - ULiège > HEC Recherche > HEC Recherche: Financial Management for the Future