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An empirical analysis of the systematic liquidity risk in the spanish stock market
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Orientador(es)
Resumo(s)
The main object of this study is to construct a liquidity risk factor and analyze its impact on asset pricing for the Spanish stock market over the 1994-2002 period. We generated this factor using the Fama and French (1993) orthogonal approach and analyzed if it must be included as an augmented variable on the stochastic discount factor. Moreover, and because of the absence of consensus in empirical research about the most appropriate liquidity measure, we applied the illiquidity ratio, proposed by Amihud (2002) for the American stock market that computes the price response associated with one currency of trading volume.
Descrição
Palavras-chave
asset pricing systematic liquidity illiquidity ratio
Contexto Educativo
Citação
Miralles Marcelo, José Luis e María del Mar Miralles Quirós (2004). "An empirical analysis of the systematic liquidity risk in the spanish stock market". Estudos de Gestão, IX(2):91-102