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https://hdl.handle.net/10316.2/24954
Title: | The pricing of systematic liquidity risk in stock markets | Authors: | Miralles Marcelo, José Luis Miralles Quirós, Maria del Mar Miralles Quirós, José Luis |
Issue Date: | 2004 | Publisher: | Faculdade de Economia da Universidade de Coimbra | Abstract: | A questão de a rendabilidade estar ou não
afectada pela liquidez não está ainda
resolvida. A ausência de resultados
concludentes na investigação empírica
sugere que a relação entre a avaliação de
activos e a liquidez não tem sido estudada
adequadamente na literatura habitual.
Considerarmos que os shocks
sistemáticos da liquidez poderiam afectar
o óptimo comportamento dos agentes
nos mercados financeiros. De facto, as
flutuações nas diferentes medições da
liquidez são significativamente
correlacionadas nos activos mais
comuns. Em consequência, propormos a
construção de um factor de liquidez
baseado no rácio de Amihud (2002) e no
procedimento de aproximação ortogonal
de Fama e French (1993) para o incluir
como mais uma variável adicional no seu
modelo de três factores. En le qui concerne la liquidité affectée ou non à la rentabilité des actifs n'est pas encore résolue. L'absence de résultats concluants dans la recherche empirique préalable suggère que la relation évaluation actifs et liquidité adéquatement n'a pas été étudiée dans la littérature standard. Nous considérons que les chocs systématiques de liquidité peuvent affecter le comportement optimal des agents sur les marchés financiers. De fait, des fluctuations dans diverses mesures de liquidité sont significativement reliées entre des actifs. Par conséquent, nous proposons la construction d'un facteur de liquidité basé le rapport d'Amihud (2002) et sur la procédure de rapprochement orthogonal Renommée et de French (1993), pour qu'il puisse être inclus comme une variable additionnelle dans son modele de trois facteurs. The question whether liquidity affects asset returns or not remains unresolved thus far. The absence of conclusive results in previous research suggests that asset pricing and liquidity have not been properly addressed in the standard literature. We consider that systematic liquidity shocks affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks. Accordingly, we propose the construction of a liquidity risk factor based on the ratio of absolute stock returns on euro volume suggested by Amihud (2002) and the approximately orthogonalizing procedure of Fama and French (1993), using it as an augmenting variable in their three-factor model. |
URI: | https://hdl.handle.net/10316.2/24954 | ISSN: | 2183-203X |
Appears in Collections: | Notas Económicas |
Files in This Item:
File | Description | Size | Format | |
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notaseconomicas20_artigo9.pdf | 1.86 MB | Adobe PDF | ![]() |
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