| Abstract [eng] |
The main purpose of this master thesis is to assess the impact of liquidity on the performance of healthcare investment funds over the period of 2010-2019. The work consists of three main parts: the analysis of literature, the research and its results, conclusion, and recommendations. Literature analysis presents the main concepts of investment fund and liquidity, presents theoretical review regarding importance of liquidity factor in investment decision making. The main part of theoretical analysis consists of review of liquidity impact on the performance of investment funds, where the theory of liquidity premium is analyzed. Liquidity premium theory says that an investment with a higher liquidity risk is assumed to have a higher return in the future, which would be seen as a compensation for the higher risk taken. The validity of this theory has been demonstrated by the analyses of previous authors, which are reviewed and described in detail in this section: Amihud, (2002); Pastor, Stambaugh, (2003); Acharya, Pedersen, (2005); Keene, Peterson, (2007); Omri, Zayani, Loukil, (2010); Dong, Feng, Sadka, (2011); Idzorek, Xiong, Ibbotson, (2012); Forana, O’Sullivan, (2014); Aramonte, Scotti, Zer, (2019). Evaluation of the impact of liquidity on the performance of healthcare investment funds was carried out using three panel regression models with Beta, Sharpe and Jensen Alfa indicators as dependent variables and liquidity indicators (ILLIQ, LR, Sp) – as independent variables. The performed study revealed that liquidity has a strong impact on the Beta indicator of the healthcare investment funds, while the other performance indicators (Sharpe, Jensen Alpha) do not have a statistically significant relationship with liquidity. The statistically significant Beta model confirmed the literature analysis - liquidity has an impact on the performance of healthcare investment funds and a reduction in liquidity improves fund performance. An additional Granger causality test shows that single period lagged liquidity ratios have no impact on the Beta, but models with more than one lagged period confirm the impact on the current values of the Beta (based on the ILLIQ and the LR ratios). |
