Does the liquidity effect exist in the brazilian stock market?

Detalhes bibliográficos
Autor(a) principal: Machado, Márcio André Veras
Data de Publicação: 2012
Outros Autores: Medeiros, Otavio Ribeiro de
Tipo de documento: Artigo
Idioma: eng
por
Título da fonte: BBR. Brazilian Business Review (English edition. Online)
Texto Completo: http://www.bbronline.com.br/index.php/bbr/article/view/240
Resumo: 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.
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spelling Does the liquidity effect exist in the brazilian stock market?Existe o efeito liquidez no mercado acionário brasileiro?Anomaliesliquidity effectassets pricingAnomaliasefeito liquidezprecificação de ativosThe 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.Este artigo teve por objetivo analisar se existe o efeito liquidez no mercado acionário brasileiro. Além de analisar o efeito liquidez, este artigo avaliou a capacidade do CAPM e do modelo de três fatores de Fama e French (1993) em explicá-lo. Para isso, foram analisadas as empresas com ações negociadas na Bovespa, no período de 1995 a 2008. De acordo com os resultados obtidos, pode-se concluir que existe um prêmio de liquidez no mercado brasileiro, independentemente da proxy utilizada. O prêmio mensal variou de 0,83% a 2,19%, não ajustado ao risco, e de 1,77% a 2,78%, ajustado ao risco conforme CAPM, e de 1,24% a 3,04%, ajustado ao risco conforme modelo de três fatores, respectivamente. Observou-se, ainda, que o prêmio de liquidez não foi restrito ao mês de janeiro e não houve grandes alterações, ao serem utilizados períodos distintos na análise. Diante dessas evidências, a hipótese do presente artigo, de que existe um prêmio de liquidez no mercado brasileiro, não pode ser rejeitada. Ademais, constatou-se que tanto CAPM quanto o modelo de três fatores falham na explicação do efeito liquidez. Os resultados obtidos neste trabalho podem fomentar o estabelecimento de políticas corporativas que suavizem os custos de liquidez, isto é, que melhorem a liquidez dos títulos negociados, reduzindo, por consequência, o custo de capital. Dessa forma, uma empresa pode aumentar seu valor de mercado, melhorando a liquidez dos seus títulos e ações, uma vez que quanto menor o custo de capital, maior o valor da empresa.FUCAPE Business Shool2012-10-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/24010.15728/bbr.2012.9.4.2Brazilian Business Review; Vol. 9 No. 4 (2012): October to December 2012; 27-50Brazilian Business Review; v. 9 n. 4 (2012): Outubro a Dezembro de 2012; 27-501808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/240/361http://www.bbronline.com.br/index.php/bbr/article/view/240/362Machado, Márcio André VerasMedeiros, Otavio Ribeiro deinfo:eu-repo/semantics/openAccess2018-11-06T19:54:29Zoai:ojs.pkp.sfu.ca:article/240Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2018-11-06T19:54:29BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false
dc.title.none.fl_str_mv Does the liquidity effect exist in the brazilian stock market?
Existe o efeito liquidez no mercado acionário brasileiro?
title Does the liquidity effect exist in the brazilian stock market?
spellingShingle Does the liquidity effect exist in the brazilian stock market?
Machado, Márcio André Veras
Anomalies
liquidity effect
assets pricing
Anomalias
efeito liquidez
precificação de ativos
title_short Does the liquidity effect exist in the brazilian stock market?
title_full Does the liquidity effect exist in the brazilian stock market?
title_fullStr Does the liquidity effect exist in the brazilian stock market?
title_full_unstemmed Does the liquidity effect exist in the brazilian stock market?
title_sort Does the liquidity effect exist in the brazilian stock market?
author Machado, Márcio André Veras
author_facet Machado, Márcio André Veras
Medeiros, Otavio Ribeiro de
author_role author
author2 Medeiros, Otavio Ribeiro de
author2_role author
dc.contributor.author.fl_str_mv Machado, Márcio André Veras
Medeiros, Otavio Ribeiro de
dc.subject.por.fl_str_mv Anomalies
liquidity effect
assets pricing
Anomalias
efeito liquidez
precificação de ativos
topic Anomalies
liquidity effect
assets pricing
Anomalias
efeito liquidez
precificação de ativos
description 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.
publishDate 2012
dc.date.none.fl_str_mv 2012-10-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
Artigo revisado pelos pares
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/240
10.15728/bbr.2012.9.4.2
url http://www.bbronline.com.br/index.php/bbr/article/view/240
identifier_str_mv 10.15728/bbr.2012.9.4.2
dc.language.iso.fl_str_mv eng
por
language eng
por
dc.relation.none.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/240/361
http://www.bbronline.com.br/index.php/bbr/article/view/240/362
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv FUCAPE Business Shool
publisher.none.fl_str_mv FUCAPE Business Shool
dc.source.none.fl_str_mv Brazilian Business Review; Vol. 9 No. 4 (2012): October to December 2012; 27-50
Brazilian Business Review; v. 9 n. 4 (2012): Outubro a Dezembro de 2012; 27-50
1808-2386
1807-734X
reponame:BBR. Brazilian Business Review (English edition. Online)
instname:Fucape Business School (FBS)
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instname_str Fucape Business School (FBS)
instacron_str FBS
institution FBS
reponame_str BBR. Brazilian Business Review (English edition. Online)
collection BBR. Brazilian Business Review (English edition. Online)
repository.name.fl_str_mv BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)
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