This paper presents a simplified single period asset-pricing model that adjusts for illiquidity and tests for the Finnish stock market. The empirical testing for a small yet developed market is motivated by the increased relevance of the illiquidity effect for illiquid assets/markets vastly...

This paper tests the hypothesis that an anticipated information event affects the use of trading venues. Data from the Helsinki Stock Exchange are used where an upstairs market co-exists with a downstairs market. Trades are classified also as in-house trades and externalized trades. This paper...

We estimate historical stock returns for Swedish listed companies in a newly constructed data set of daily stock prices. Stock returns exhibit all familiar characteristics. There is little trading in the past, and we examine the effects on return measurement from missing data. Stock selection...

This paper continues the data collection procedure and analysis set forth in Nyberg and Vaihekoski (2009). A number of new time series that are commonly used in finance literature are collected, created, and analyzed for the first time. These series include, among others, monthly dividend yields...

Stock market indices play a central role in portfolio management and academic research. This paper reviews and discusses the main issues in index construction, especially on thinly traded stock markets and in a historical setting with deficiency of information. The main methods to deal with...

This study aims to explore the extent to which changes in wealth contributes to inflation utilizing a highly flexible non-Gaussian SVAR framework which minimizes the risk of distributional misspecification. We employ narrative sign restrictions to label the asset price shock and leverage the...