In the stock pricing, liquidity risk has become one of the important factors that affect the stock realizable value. Systematic and unsystematic risk decided a stock's liquidity risk. The author uses the stock price ...In the stock pricing, liquidity risk has become one of the important factors that affect the stock realizable value. Systematic and unsystematic risk decided a stock's liquidity risk. The author uses the stock price index growth rate and net outer disk ratio to describe a systematic and unsystematic risk faced by investors. With the help of correlation and regression analysis in SPSS software, the paper tries to establish the systematic and unsystematic risk-driven stock liquidity risk pricing model. Empirical study shows that systematic and unsystematic risk has significant influence on stock liquidity risk. The bigger circulation stock, the greater the systemic risk influence; the less the circulation stock, the larger the non-system risk influence. Calendar factor on stock returns ratio has no significant effect. Trading volume on the stock returns ratio of small companies had no significant effect. The model has important reference value for the measure of stock liquidity risk value loss.展开更多
In this paper, a tractable solution is proposed to integrate, to a certain extent, market liquidity risk in the portfolio selection process. It is shown how an investor may take advantage of this additional risk sourc...In this paper, a tractable solution is proposed to integrate, to a certain extent, market liquidity risk in the portfolio selection process. It is shown how an investor may take advantage of this additional risk source within the standard mean-variance optimization framework, by in certain circumstances overcoming the pitfalls of illiquidity and in others seizing a liquidity premium. Bid prices appear effective to capture liquidity risk. The efficient frontier conceived with bid prices consists of mean-variance optimal allocations that cover more liquid stocks (large caps) under stressed market conditions and less liquid stocks (small caps) under normal conditions.展开更多
This article addresses the problem of pricing European options when the underlying asset is not perfectly liquid.A liquidity discounting factor as a function of market-wide liquidity governed by a mean-reverting stoch...This article addresses the problem of pricing European options when the underlying asset is not perfectly liquid.A liquidity discounting factor as a function of market-wide liquidity governed by a mean-reverting stochastic process and the sensitivity of the underlying price to market-wide liquidity is firstly introduced,so that the impact of liquidity on the underlying asset can be captured by the option pricing model.The characteristic function is analytically worked out using the Feynman–Kac theorem and a closed-form pricing formula for European options is successfully derived thereafter.Through numerical experiments,the accuracy of the newly derived formula is verified,and the significance of incorporating liquidity risk into option pricing is demonstrated.展开更多
In this paper, we subdivide the sample of manufacturing companies listed in two stock exchanges in China from the year 2000 to 2009 into two categories: the firms which adopted the similar financial models and those ...In this paper, we subdivide the sample of manufacturing companies listed in two stock exchanges in China from the year 2000 to 2009 into two categories: the firms which adopted the similar financial models and those which did not. Then we use t-test and nonparametric test to explore the differences between the two sub-samples in cash management, assets and liabilities structures, assets turnover ratios, profitability, liquidity and growth rates. The results show that the former has shorter Cash Conversion Cycle (CCC), quicker assets turnover, higher Debt Ratio (DR), higher growth rate and thus has better profitability. In addition, the regression analysis results further demonstrate that Return on Invested Capital (ROIC) of similar-financial-model firms are positively related to Net Profit Margin (NPM) (p 〈 0.01), and negatively to CCC (p 〈 0.01), Interest Expense Ratio (IER) (p 〈 0.01), the Ratio of Interest-Bearing Debt to Total Liabilities (IBDR) (p 〈 0.01) and the ratio of Net Receivables to Sales Revenue (NRSR) (p 〈 0.01). Moreover, negative relationship between ROIC and dummy variable GROUP implies that the former has better profitability than the latter.展开更多
The financial crisis undoubtedly exerted a pressure on the companies operating in Poland. Thus, it is important to undertake researches that reveal the paths and strength of the transmission of financial crisis with r...The financial crisis undoubtedly exerted a pressure on the companies operating in Poland. Thus, it is important to undertake researches that reveal the paths and strength of the transmission of financial crisis with regard to the business entities. This paper presents partial results of the researches dedicated to the analysis of the impact of financial crisis on the financial situation of companies operating in Silesian Region in Poland. It analyses and discusses the general changes in the financial ratios that inform about the company's financial liquidity and the level of liquidity risk. As a research paper, it aims at justifying hypotheses about the changes of liquidity and liquidity risk in companies operating in Poland, Silesian Region within the period of 2006-2009. The tested hypotheses generally indicate the decrease of liquidity in the aftermath of crisis and a worse situation in the Silesian Region, as compared to the national level. The study is based on an application of a part of authors' self-developed method--the CFS Watch (Corporate Financial Situation Watch), which consists of five analytical modules. In this study, one module is applied: the FLA Module (Financial Liquidity Analysis) with regard to financial liquidity and the level of liquidity risk. The research is based on the data collected by the Polish Central Statistical Office. The analysis of FLA Module is based on two samples of companies: companies operating in the Silesian Region (denoted as the MEPP sample), and companies operating in Poland (denoted as the MAPP sample). This allows developing a comparative analysis between regional and national dimension. The results of the study represent an interesting starting point for further comparative researches based on the analysis of the changes in the level of liquidity and liquidity risk of companies operating in different countries. It may form a base for finding similarities or differences in their financial situation in the aftermath of the financial crisis. The CFS Watch method in terms of the liquidity can be widely applied to make the results comparable.展开更多
文摘In the stock pricing, liquidity risk has become one of the important factors that affect the stock realizable value. Systematic and unsystematic risk decided a stock's liquidity risk. The author uses the stock price index growth rate and net outer disk ratio to describe a systematic and unsystematic risk faced by investors. With the help of correlation and regression analysis in SPSS software, the paper tries to establish the systematic and unsystematic risk-driven stock liquidity risk pricing model. Empirical study shows that systematic and unsystematic risk has significant influence on stock liquidity risk. The bigger circulation stock, the greater the systemic risk influence; the less the circulation stock, the larger the non-system risk influence. Calendar factor on stock returns ratio has no significant effect. Trading volume on the stock returns ratio of small companies had no significant effect. The model has important reference value for the measure of stock liquidity risk value loss.
文摘In this paper, a tractable solution is proposed to integrate, to a certain extent, market liquidity risk in the portfolio selection process. It is shown how an investor may take advantage of this additional risk source within the standard mean-variance optimization framework, by in certain circumstances overcoming the pitfalls of illiquidity and in others seizing a liquidity premium. Bid prices appear effective to capture liquidity risk. The efficient frontier conceived with bid prices consists of mean-variance optimal allocations that cover more liquid stocks (large caps) under stressed market conditions and less liquid stocks (small caps) under normal conditions.
基金support for a three-year project funded by the ARC(Australian Research Council funding scheme DP170101227)with which first author’s visiting fellowship was provided for his visit to UoW between Jan 2019 and Dec 2019+1 种基金support provided by the National Natural Science Foundation of China(No.12101554)the Fundamental Research Funds for Zhejiang Provincial Universities(No.GB202103001).
文摘This article addresses the problem of pricing European options when the underlying asset is not perfectly liquid.A liquidity discounting factor as a function of market-wide liquidity governed by a mean-reverting stochastic process and the sensitivity of the underlying price to market-wide liquidity is firstly introduced,so that the impact of liquidity on the underlying asset can be captured by the option pricing model.The characteristic function is analytically worked out using the Feynman–Kac theorem and a closed-form pricing formula for European options is successfully derived thereafter.Through numerical experiments,the accuracy of the newly derived formula is verified,and the significance of incorporating liquidity risk into option pricing is demonstrated.
文摘In this paper, we subdivide the sample of manufacturing companies listed in two stock exchanges in China from the year 2000 to 2009 into two categories: the firms which adopted the similar financial models and those which did not. Then we use t-test and nonparametric test to explore the differences between the two sub-samples in cash management, assets and liabilities structures, assets turnover ratios, profitability, liquidity and growth rates. The results show that the former has shorter Cash Conversion Cycle (CCC), quicker assets turnover, higher Debt Ratio (DR), higher growth rate and thus has better profitability. In addition, the regression analysis results further demonstrate that Return on Invested Capital (ROIC) of similar-financial-model firms are positively related to Net Profit Margin (NPM) (p 〈 0.01), and negatively to CCC (p 〈 0.01), Interest Expense Ratio (IER) (p 〈 0.01), the Ratio of Interest-Bearing Debt to Total Liabilities (IBDR) (p 〈 0.01) and the ratio of Net Receivables to Sales Revenue (NRSR) (p 〈 0.01). Moreover, negative relationship between ROIC and dummy variable GROUP implies that the former has better profitability than the latter.
文摘The financial crisis undoubtedly exerted a pressure on the companies operating in Poland. Thus, it is important to undertake researches that reveal the paths and strength of the transmission of financial crisis with regard to the business entities. This paper presents partial results of the researches dedicated to the analysis of the impact of financial crisis on the financial situation of companies operating in Silesian Region in Poland. It analyses and discusses the general changes in the financial ratios that inform about the company's financial liquidity and the level of liquidity risk. As a research paper, it aims at justifying hypotheses about the changes of liquidity and liquidity risk in companies operating in Poland, Silesian Region within the period of 2006-2009. The tested hypotheses generally indicate the decrease of liquidity in the aftermath of crisis and a worse situation in the Silesian Region, as compared to the national level. The study is based on an application of a part of authors' self-developed method--the CFS Watch (Corporate Financial Situation Watch), which consists of five analytical modules. In this study, one module is applied: the FLA Module (Financial Liquidity Analysis) with regard to financial liquidity and the level of liquidity risk. The research is based on the data collected by the Polish Central Statistical Office. The analysis of FLA Module is based on two samples of companies: companies operating in the Silesian Region (denoted as the MEPP sample), and companies operating in Poland (denoted as the MAPP sample). This allows developing a comparative analysis between regional and national dimension. The results of the study represent an interesting starting point for further comparative researches based on the analysis of the changes in the level of liquidity and liquidity risk of companies operating in different countries. It may form a base for finding similarities or differences in their financial situation in the aftermath of the financial crisis. The CFS Watch method in terms of the liquidity can be widely applied to make the results comparable.