Essays on Asset Pricing: The role of liquidity in asset pricing within Stocks and Real Estate Investment Trusts

Sharik Essa

Research output: ThesisDoctoral Thesis

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Original languageEnglish
QualificationPh.D.
Awarding Institution
  • Royal Holloway, University of London
Supervisors/Advisors
  • Giouvris, Evangelos, Supervisor
Award date1 Feb 2024
Publication statusUnpublished - 8 Jan 2024

Keywords

  • Herding
  • Expected and Unexpected Liquidity
  • Real Estate Investment Trusts
  • Factor based Premiums
  • Portfolio Performance
  • Illiquidity Premiums
  • Markov Switching Model
  • Autoregressive Distributed Lag (ARDL) Model
  • Error Correction Model (ECM)
  • Default Risk and Liquidity Crisis
  • OVX and Oil Price
  • VIX Index and Investor Sentiments
  • covid-19

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