IS COMMONALITY IN LIQUIDITY A PRICED RISK FACTOR?
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| Format: | Artículo científico |
| Language: | en |
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Universidade Presbiteriana Mackenzie
2020
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| author | CLÁUDIO P. SILVA JÚNIOR |
| author_facet | CLÁUDIO P. SILVA JÚNIOR |
| contents | IS COMMONALITY IN LIQUIDITY A PRICED RISK FACTOR? CLÁUDIO P. SILVA JÚNIOR MÁRCIO A. V. MACHADO Administración y Contabilidad Risk Return Liquidity Investment Commonality Purpose: Analyze if the commonality in liquidity is priced and its relation with the stock return in the Brazilian stock market.Originality/value: Due to the shortage of papers about the effects of commonality in liquidity in the Brazilian financial literature, this paper provides knowledge development about commonality in liquidity effect for the investor, investigating whether an investment strategy in the most sensitive assets to systematic variations of liquidity is attractive for investors, consistent with the risk-return trade off.Design/methodology/approach: In order to identify the effect of commonality to investors, we opted to use portfolios. Using companies listed on B3 as a sample, we estimated regressions developed in the time series from January 2007 to December 2015.Findings: We found that the commonality is a phenomenon present in the Brazilian stock market and their highest values were concentrated in periods of international financial crises. In addition, using portfolios, we observed a premium of 4.165% per month for the commonality in liquidity, although not statistically significant. Finally, we found that the commonality in liquidity is a priced risk factor and when we exposed it to other risk factors we found that the liquidity risk factor was able to partly capture it. 2020 artículo científico 1518-6776 https://www.redalyc.org/articulo.oa?id=195463513005 https://www.redalyc.org/journal/1954/195463513005/ https://www.redalyc.org/journal/1954/195463513005/html/ https://www.redalyc.org/journal/1954/195463513005/195463513005.epub https://www.redalyc.org/journal/1954/195463513005/movil 10.1590/1678-6971/eRAMF200158 en http://www.redalyc.org/revista.oa?id=1954 RAM. Revista de Administração Mackenzie application/pdf Universidade Presbiteriana Mackenzie RAM. Revista de Administração Mackenzie (Brasil) Num.2 Vol.21 |
| format | Artículo científico |
| id | redalyc_195463513005 |
| institution | Redalyc |
| language | en |
| publishDate | 2020 |
| publisher | Universidade Presbiteriana Mackenzie |
| spellingShingle | IS COMMONALITY IN LIQUIDITY A PRICED RISK FACTOR? CLÁUDIO P. SILVA JÚNIOR Administración y Contabilidad Risk Return Liquidity Investment Commonality IS COMMONALITY IN LIQUIDITY A PRICED RISK FACTOR? CLÁUDIO P. SILVA JÚNIOR MÁRCIO A. V. MACHADO Administración y Contabilidad Risk Return Liquidity Investment Commonality Purpose: Analyze if the commonality in liquidity is priced and its relation with the stock return in the Brazilian stock market.Originality/value: Due to the shortage of papers about the effects of commonality in liquidity in the Brazilian financial literature, this paper provides knowledge development about commonality in liquidity effect for the investor, investigating whether an investment strategy in the most sensitive assets to systematic variations of liquidity is attractive for investors, consistent with the risk-return trade off.Design/methodology/approach: In order to identify the effect of commonality to investors, we opted to use portfolios. Using companies listed on B3 as a sample, we estimated regressions developed in the time series from January 2007 to December 2015.Findings: We found that the commonality is a phenomenon present in the Brazilian stock market and their highest values were concentrated in periods of international financial crises. In addition, using portfolios, we observed a premium of 4.165% per month for the commonality in liquidity, although not statistically significant. Finally, we found that the commonality in liquidity is a priced risk factor and when we exposed it to other risk factors we found that the liquidity risk factor was able to partly capture it. 2020 artículo científico 1518-6776 https://www.redalyc.org/articulo.oa?id=195463513005 https://www.redalyc.org/journal/1954/195463513005/ https://www.redalyc.org/journal/1954/195463513005/html/ https://www.redalyc.org/journal/1954/195463513005/195463513005.epub https://www.redalyc.org/journal/1954/195463513005/movil 10.1590/1678-6971/eRAMF200158 en http://www.redalyc.org/revista.oa?id=1954 RAM. Revista de Administração Mackenzie application/pdf Universidade Presbiteriana Mackenzie RAM. Revista de Administração Mackenzie (Brasil) Num.2 Vol.21 |
| title | IS COMMONALITY IN LIQUIDITY A PRICED RISK FACTOR? |
| topic | Administración y Contabilidad Risk Return Liquidity Investment Commonality |
| url | https://www.redalyc.org/articulo.oa?id=195463513005 https://www.redalyc.org/journal/1954/195463513005/ https://www.redalyc.org/journal/1954/195463513005/html/ https://www.redalyc.org/journal/1954/195463513005/195463513005.epub https://www.redalyc.org/journal/1954/195463513005/movil |