El objetivo de la investigacion es evaluar la relacion del retorno esperado del precio de las acciones de las empresas que cotizan en el mercado integrado latinoamericano (MILA) frente a la divulgacion del dictamen del auditor en un periodo 2011-2017, siguiendo la metodologia de estudio de eventos (i) CAR; (ii) Fama & French; (iii) BHAR, ademas test de ARCH, correlaciones tradicionales y copulas gaussianas. Se identifico que la publicacion del dictamen es significativo, sin embargo, no existe una significancia estadisticamente representativa al momento de hacer un modelo de regresion multivariable y de correlacion para la relacion entre el dictamen y el comportamiento de los precios en los paises participantes del MILA.
调查的目的是评估预期回报的关系的上市公司的股票价格在拉美综合市场(MILA)而在审计员的意见divulgacion 2011-2017继metodologia事件研究(i) CAR;(ii) Fama & French;(iii) BHAR，以及ARCH检验、传统相关性和高斯copula。据事情发表意见是重要的,然而,没有一个意义estadisticamente代表性时做一个多变量regresion和correlacion模式之间的关系和行为的意见价格的国家成员MILA。
{"title":"Informe de auditoría y su relación con el mercado integrado latinoamericano (MILA) (The Audit Report and Its Relationship with the Latin American Integrated Market)","authors":"Belky Esperanza Gutiérrez Castañeda, Carlos Andrés Barrera Montoya, Daniela Pérez Noreña","doi":"10.18601/16577175.n26.07","DOIUrl":"https://doi.org/10.18601/16577175.n26.07","url":null,"abstract":"El objetivo de la investigacion es evaluar la relacion del retorno esperado del precio de las acciones de las empresas que cotizan en el mercado integrado latinoamericano (MILA) frente a la divulgacion del dictamen del auditor en un periodo 2011-2017, siguiendo la metodologia de estudio de eventos (i) CAR; (ii) Fama & French; (iii) BHAR, ademas test de ARCH, correlaciones tradicionales y copulas gaussianas. Se identifico que la publicacion del dictamen es significativo, sin embargo, no existe una significancia estadisticamente representativa al momento de hacer un modelo de regresion multivariable y de correlacion para la relacion entre el dictamen y el comportamiento de los precios en los paises participantes del MILA.","PeriodicalId":246436,"journal":{"name":"ERN: Latin America & the Caribbean (Emerging Markets) (Topic)","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115547103","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In a sample of the Brazilian stock market from 1999 to 2015, this paper shows that the book-to-market and momentum of individual firms capture some of the cross-sectional variation in average stock returns, while the market s and size do not play a role. The positive relation of cross-section of returns with book-to-market is more evident earlier, while the positive relation with momentum is stronger later in the sample. However, because none of these characteristics show explanatory power for all the subsamples studied, we are not fully convinced that they capture fundamental risk factors.
{"title":"The Cross-Section of Expected Stock Returns in Brazil","authors":"G. Varga, Ricardo Brito","doi":"10.2139/ssrn.2800229","DOIUrl":"https://doi.org/10.2139/ssrn.2800229","url":null,"abstract":"In a sample of the Brazilian stock market from 1999 to 2015, this paper shows that the book-to-market and momentum of individual firms capture some of the cross-sectional variation in average stock returns, while the market s and size do not play a role. The positive relation of cross-section of returns with book-to-market is more evident earlier, while the positive relation with momentum is stronger later in the sample. However, because none of these characteristics show explanatory power for all the subsamples studied, we are not fully convinced that they capture fundamental risk factors.","PeriodicalId":246436,"journal":{"name":"ERN: Latin America & the Caribbean (Emerging Markets) (Topic)","volume":"29 4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125962556","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2016-03-01DOI: 10.1590/1807-7692BAR2016150036
A. Ripamonti
This paper tests the validity of the Corwin-Schultz bid-ask spread estimator in the Brazilian stock market. The Corwin-Schultz estimator arises as an easy way to compute asymmetric information throughout daily high and low stock prices for estimating overnight and non-negative adjusted spreads. The sample consisted of Ibovespa firms from 1986 to 2014 and was analysed with time series econometrics. The findings show that the measures of spread have stationarity properties, allowing for forecasting in a period of lagged variables, besides having the property of time-varying cointegration with market-to-book ratio, debt on equity, size and return and also presenting sensibility to different periods, industries and listing segments. Thus, the Corwin-Schultz bid-ask spread estimator seems to be a valid and reliable measure for forecasting aggregate-data variables through the weighted average of firm-level variables.
{"title":"Corwin-Schultz Bid-Ask Spread Estimator in the Brazilian Stock Market","authors":"A. Ripamonti","doi":"10.1590/1807-7692BAR2016150036","DOIUrl":"https://doi.org/10.1590/1807-7692BAR2016150036","url":null,"abstract":"This paper tests the validity of the Corwin-Schultz bid-ask spread estimator in the Brazilian stock market. The Corwin-Schultz estimator arises as an easy way to compute asymmetric information throughout daily high and low stock prices for estimating overnight and non-negative adjusted spreads. The sample consisted of Ibovespa firms from 1986 to 2014 and was analysed with time series econometrics. The findings show that the measures of spread have stationarity properties, allowing for forecasting in a period of lagged variables, besides having the property of time-varying cointegration with market-to-book ratio, debt on equity, size and return and also presenting sensibility to different periods, industries and listing segments. Thus, the Corwin-Schultz bid-ask spread estimator seems to be a valid and reliable measure for forecasting aggregate-data variables through the weighted average of firm-level variables.","PeriodicalId":246436,"journal":{"name":"ERN: Latin America & the Caribbean (Emerging Markets) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133521416","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Laura Cardona, Marcela Gutiérrez, Diego A. Agudelo
We test for volatility transmission between US and the six largest Latin American stock markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru) using MGARCH-BEKK models in daily frequency from March 1993 to March 2013. As expected, we find strong evidence of volatility transmission from US to the Latin American markets but not so in the opposite direction. Besides, we reject the hypothesis of decoupling between US, Brazil and Mexico: the conditional correlations between US and the two emerging markets have steadily increased over the sample period and volatility transmissions have become more significant from 2003 onwards. We also find some evidence on the leadership of Brazil in the region, being the only Latin American stock market consistently transmitting volatility to US. We discuss implications for the financial integration literature.
{"title":"Volatility Transmission between US and Latin American Stock Markets: Testing the Decoupling Hypothesis","authors":"Laura Cardona, Marcela Gutiérrez, Diego A. Agudelo","doi":"10.2139/ssrn.2733342","DOIUrl":"https://doi.org/10.2139/ssrn.2733342","url":null,"abstract":"We test for volatility transmission between US and the six largest Latin American stock markets (Argentina, Brazil, Chile, Colombia, Mexico and Peru) using MGARCH-BEKK models in daily frequency from March 1993 to March 2013. As expected, we find strong evidence of volatility transmission from US to the Latin American markets but not so in the opposite direction. Besides, we reject the hypothesis of decoupling between US, Brazil and Mexico: the conditional correlations between US and the two emerging markets have steadily increased over the sample period and volatility transmissions have become more significant from 2003 onwards. We also find some evidence on the leadership of Brazil in the region, being the only Latin American stock market consistently transmitting volatility to US. We discuss implications for the financial integration literature.","PeriodicalId":246436,"journal":{"name":"ERN: Latin America & the Caribbean (Emerging Markets) (Topic)","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127876826","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Portuguese Abstract: Este presente trabalho consiste em uma revisão bibliográfica da construção de portfólios, com enfoque nos estudos empíricos realizados com base na realidade brasileira, proporcionando ao investidor profissional ou não e também aos pesquisadores acadêmicos fácil acesso aos estudos mais recentes sobre o tema. English Abstract: This paper surveys portfolio construction, focusing on empirical research conducted in Brazil.
{"title":"Revisão Bibliográfica - Construção De Portfólios (Survey - Portfolio Construction in Brazil)","authors":"S. Lee","doi":"10.2139/ssrn.2874757","DOIUrl":"https://doi.org/10.2139/ssrn.2874757","url":null,"abstract":"<b>Portuguese Abstract:</b> Este presente trabalho consiste em uma revisão bibliográfica da construção de portfólios, com enfoque nos estudos empíricos realizados com base na realidade brasileira, proporcionando ao investidor profissional ou não e também aos pesquisadores acadêmicos fácil acesso aos estudos mais recentes sobre o tema. <b>English Abstract:</b> This paper surveys portfolio construction, focusing on empirical research conducted in Brazil.","PeriodicalId":246436,"journal":{"name":"ERN: Latin America & the Caribbean (Emerging Markets) (Topic)","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114478315","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This article reports a study on the performance of mutual equity funds in Brazil from January 2002 to August 2012. For the analyses, Carhart's four-factor model is used as the benchmark for performance, and bootstrap procedures are applied to separate skill from luck. The results show that returns of the best performers are more due to luck than skill of their managers. For the bottom ranked funds, on the contrary, there is statistical evidence that their poor performance is caused mainly by bad management, rather than by bad luck. It is also showed that the largest funds perform better than the small or middle-sized funds.
{"title":"Performance of Mutual Equity Funds in Brazil – A Bootstrap Analysis","authors":"M. Laes, M. Silva","doi":"10.2139/ssrn.2322767","DOIUrl":"https://doi.org/10.2139/ssrn.2322767","url":null,"abstract":"This article reports a study on the performance of mutual equity funds in Brazil from January 2002 to August 2012. For the analyses, Carhart's four-factor model is used as the benchmark for performance, and bootstrap procedures are applied to separate skill from luck. The results show that returns of the best performers are more due to luck than skill of their managers. For the bottom ranked funds, on the contrary, there is statistical evidence that their poor performance is caused mainly by bad management, rather than by bad luck. It is also showed that the largest funds perform better than the small or middle-sized funds.","PeriodicalId":246436,"journal":{"name":"ERN: Latin America & the Caribbean (Emerging Markets) (Topic)","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131025061","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this article we present a circulation network model for the detection of arbitrage opportunities in the currencies and securities markets. As an illustration we present its application to the interest rate of the Mexican and American bond market, the interbank loan rate of both countries, as well as to the deposits rate of US and Canada reported in Bloomberg. Deviations of covered interest rate parity imply that there exist a series of transactions that can be carried out to obtain riskless profits by exploiting arbitrage opportunities. The problem of finding arbitrage opportunities is modeled via a generalized maximum flow problem. The maximum flow over the generalized circulation network represents profits from arbitrage, and it’s obtained through the application of a minimum cost flow algorithm.
{"title":"A Circulation Network Model for the Exchange Rate Arbitrage Problem","authors":"C. Cantú, Edgar Possani","doi":"10.2139/ssrn.2192185","DOIUrl":"https://doi.org/10.2139/ssrn.2192185","url":null,"abstract":"In this article we present a circulation network model for the detection of arbitrage opportunities in the currencies and securities markets. As an illustration we present its application to the interest rate of the Mexican and American bond market, the interbank loan rate of both countries, as well as to the deposits rate of US and Canada reported in Bloomberg. Deviations of covered interest rate parity imply that there exist a series of transactions that can be carried out to obtain riskless profits by exploiting arbitrage opportunities. The problem of finding arbitrage opportunities is modeled via a generalized maximum flow problem. The maximum flow over the generalized circulation network represents profits from arbitrage, and it’s obtained through the application of a minimum cost flow algorithm.","PeriodicalId":246436,"journal":{"name":"ERN: Latin America & the Caribbean (Emerging Markets) (Topic)","volume":"195 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133684285","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Se evalua el rendimiento ex-dividendo en acciones colombianas entre 1999 y 2007, periodo que incluye la conformacion en julio de 2001 de la Bolsa de Valores de Colombia, resultado de la integracion de tres bolsas previamente existentes. Contrario a la hipotesis de eficiencia de mercado, se encontraron rendimientos exdividendo positivos y estadisticamente significativos, similares a los evidenciados en diversos mercados internacionales. Se comprueba que los rendimientos ex-dividendo no son explicados en su totalidad por costos de transaccion ni por efectos impositivos. Una estrategia limitada de captura de dividendos, substrayendo dichos costos, habria entregado rendimientos positivos y economicamente importantes entre 2006 y 2007 en las acciones mas liquidas del mercado. Sin embargo, estos rendimientos tienden a disminuir en el periodo de estudio, consistentes con un avance hacia una mayor eficiencia en el mercado accionario colombiano despues de la integracion. Este estudio pone de relieve la importancia de considerar las fricciones en estudios academicos de eficiencia y de evaluacion de estrategias especulativas. (We study the ex-dividend return in the Colombian stock market between 1999 and 2007, period that includes the merger of the former three Colombian stock exchanges in the Bolsa de Valores de Colombia in July 2001. Contrary to the Efficient Market Hypothesis, we found positive and statistically significant ex-dividend returns in the sampled period, only in part explained by transaction cost and tax effects. Moreover, even subtracting transaction costs and tax effects, a dividend capture strategy would have gotten positive and economically sizable returns between 2006 and 2007 in the most liquid stocks. The decrease of those ex-dividend returns is also reported along the studied period, providing evidence of increasing informational efficiency after the merger of the three stock exchanges. Methodologically, this study highlights the importance of accounting for frictions in both academic efficiency studies and in testing speculative strategies by practitioners.)
{"title":"Rendimiento Ex-Dividendo Como Indicador De Eficiencia En Un Mercado Emergente: Caso Colombiano 1999-2007 (Ex-dividend Return as Indicator of Efficiency in a Emerging Stock Market: The Case of the Colombian Stock Market 1999-2007)","authors":"E. Arroyave, Diego A. Agudelo","doi":"10.2139/SSRN.2400735","DOIUrl":"https://doi.org/10.2139/SSRN.2400735","url":null,"abstract":"Se evalua el rendimiento ex-dividendo en acciones colombianas entre 1999 y 2007, periodo que incluye la conformacion en julio de 2001 de la Bolsa de Valores de Colombia, resultado de la integracion de tres bolsas previamente existentes. Contrario a la hipotesis de eficiencia de mercado, se encontraron rendimientos exdividendo positivos y estadisticamente significativos, similares a los evidenciados en diversos mercados internacionales. Se comprueba que los rendimientos ex-dividendo no son explicados en su totalidad por costos de transaccion ni por efectos impositivos. Una estrategia limitada de captura de dividendos, substrayendo dichos costos, habria entregado rendimientos positivos y economicamente importantes entre 2006 y 2007 en las acciones mas liquidas del mercado. Sin embargo, estos rendimientos tienden a disminuir en el periodo de estudio, consistentes con un avance hacia una mayor eficiencia en el mercado accionario colombiano despues de la integracion. Este estudio pone de relieve la importancia de considerar las fricciones en estudios academicos de eficiencia y de evaluacion de estrategias especulativas. (We study the ex-dividend return in the Colombian stock market between 1999 and 2007, period that includes the merger of the former three Colombian stock exchanges in the Bolsa de Valores de Colombia in July 2001. Contrary to the Efficient Market Hypothesis, we found positive and statistically significant ex-dividend returns in the sampled period, only in part explained by transaction cost and tax effects. Moreover, even subtracting transaction costs and tax effects, a dividend capture strategy would have gotten positive and economically sizable returns between 2006 and 2007 in the most liquid stocks. The decrease of those ex-dividend returns is also reported along the studied period, providing evidence of increasing informational efficiency after the merger of the three stock exchanges. Methodologically, this study highlights the importance of accounting for frictions in both academic efficiency studies and in testing speculative strategies by practitioners.)","PeriodicalId":246436,"journal":{"name":"ERN: Latin America & the Caribbean (Emerging Markets) (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123976433","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Given that Mexican companies holding foreign currency debt are extremely exposed to the volatility in currency exchange rates, we ask if the required returns determined by the Local CAPM model and those determined by the Global CAPM model are significantly different. In our study, which was conducted between 2006 and 2010, we found the two models projected significantly different estimated capital costs. We tracked 19 companies that trade on the Mexican Stock Market and found that the average of the Local CAPM is 13.83% while that of the Global CAPM is 20.38%. Our discovery that the estimated cost of capital for the Mexican firms in the global capital market is significantly higher than in the local — reaching 1000basis points in some cases — suggests the need for further studies to investigate the statistical and economic significance of this difference.
{"title":"A Comparison of Cost of Equity Estimates of Local and Global CAPM: Experience from a Developing Country, Mexico","authors":"C. Villarreal","doi":"10.2139/SSRN.2166297","DOIUrl":"https://doi.org/10.2139/SSRN.2166297","url":null,"abstract":"Given that Mexican companies holding foreign currency debt are extremely exposed to the volatility in currency exchange rates, we ask if the required returns determined by the Local CAPM model and those determined by the Global CAPM model are significantly different. In our study, which was conducted between 2006 and 2010, we found the two models projected significantly different estimated capital costs. We tracked 19 companies that trade on the Mexican Stock Market and found that the average of the Local CAPM is 13.83% while that of the Global CAPM is 20.38%. Our discovery that the estimated cost of capital for the Mexican firms in the global capital market is significantly higher than in the local — reaching 1000basis points in some cases — suggests the need for further studies to investigate the statistical and economic significance of this difference.","PeriodicalId":246436,"journal":{"name":"ERN: Latin America & the Caribbean (Emerging Markets) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130683047","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The purpose of this article is to analyze whether the liquidity effect exists in the Brazilian stock market. In addition to analyzing the liquidity effect, this article evaluated the capacity of CAPM and the Fama-French three-factor model (1993) in explaining it. For such purpose, the companies with shares traded in Bovespa were analyzed, in the period from 1995 to 2008. According to the results obtained, it can be concluded that there is a liquidity premium in the Brazilian market, regardless of the proxy used. The monthly premium varied from 0.83% to 2.19%, not adjusted for risk, and from 1.77% to 2.78%, adjusted for risk pursuant to CAPM, and from 1.24% to 3.04%, adjusted for risk according to the three-factor model, respectively. It was also observed that the liquidity premium was not restricted to the month of January, and that there were no substantial modifications when different periods were used in the analysis. In view of such evidence, the hypothesis of this article, that there is a liquidity premium in the Brazilian market, cannot be rejected. Moreover, it was observed that both CAPM and the three-factor model fail to explain the liquidity effect. The results obtained in this study can instigate the establishment of corporate policies which alleviate the liquidity costs, i.e., which improve the liquidity of the securities negotiated, reducing, as a result, the capital cost. By doing so, a company can increase its market value, improving the liquidity of its securities and shares, since the lower the capital cost, the greater the value of the company.
{"title":"Does the Liquidity Effect Exist in the Brazilian Stock Market?","authors":"M. Machado, Otavio Ribeiro de Medeiros","doi":"10.2139/ssrn.2217941","DOIUrl":"https://doi.org/10.2139/ssrn.2217941","url":null,"abstract":"The purpose of this article is to analyze whether the liquidity effect exists in the Brazilian stock market. In addition to analyzing the liquidity effect, this article evaluated the capacity of CAPM and the Fama-French three-factor model (1993) in explaining it. For such purpose, the companies with shares traded in Bovespa were analyzed, in the period from 1995 to 2008. According to the results obtained, it can be concluded that there is a liquidity premium in the Brazilian market, regardless of the proxy used. The monthly premium varied from 0.83% to 2.19%, not adjusted for risk, and from 1.77% to 2.78%, adjusted for risk pursuant to CAPM, and from 1.24% to 3.04%, adjusted for risk according to the three-factor model, respectively. It was also observed that the liquidity premium was not restricted to the month of January, and that there were no substantial modifications when different periods were used in the analysis. In view of such evidence, the hypothesis of this article, that there is a liquidity premium in the Brazilian market, cannot be rejected. Moreover, it was observed that both CAPM and the three-factor model fail to explain the liquidity effect. The results obtained in this study can instigate the establishment of corporate policies which alleviate the liquidity costs, i.e., which improve the liquidity of the securities negotiated, reducing, as a result, the capital cost. By doing so, a company can increase its market value, improving the liquidity of its securities and shares, since the lower the capital cost, the greater the value of the company.","PeriodicalId":246436,"journal":{"name":"ERN: Latin America & the Caribbean (Emerging Markets) (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123516160","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：