Influence of variation of liquidity in asset pricing: panel analysis of the brazilian market for the period january 2000 to june 2008

Detalhes bibliográficos
Autor(a) principal: Vieira, Kelmara Mendes
Data de Publicação: 2011
Outros Autores: Ceretta, Paulo Sérgio, Fonseca, Juliara Lopes da
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/295
Resumo: The influence of liquidity on return on assets has been subject of much research in recent years, from the point of view of individual assets as well as considering the liquidity of the market as a whole. This study aims to evaluate the influence of change in liquidity in the pricing of assets. The measures of liquidity consisted of variations in the quantity of securities, in the number of trades and in financial volume, as well as these variables weighted by the Bovespa index and also the same variables lagged. The sample is made up of the shares traded in the São Paulo Stock Exchange. Monthly data were collected for the period of January 2000 through June 2008. The results show that return on assets is positively influenced by the Bovespa index and by variations in liquidity. In general, it is the companies with the lower liquidity levels that show the highest positive variations of their own liquidity, therefore, having higher returns.
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spelling Influence of variation of liquidity in asset pricing: panel analysis of the brazilian market for the period january 2000 to june 2008Influência da variação da liquidez na precificação de ativos: análise em painel do mercado brasileiro no período de janeiro de 2000 a junho de 2008Variations in liquidityreturnpanel dataVariações de liquidezretornodados em painelThe influence of liquidity on return on assets has been subject of much research in recent years, from the point of view of individual assets as well as considering the liquidity of the market as a whole. This study aims to evaluate the influence of change in liquidity in the pricing of assets. The measures of liquidity consisted of variations in the quantity of securities, in the number of trades and in financial volume, as well as these variables weighted by the Bovespa index and also the same variables lagged. The sample is made up of the shares traded in the São Paulo Stock Exchange. Monthly data were collected for the period of January 2000 through June 2008. The results show that return on assets is positively influenced by the Bovespa index and by variations in liquidity. In general, it is the companies with the lower liquidity levels that show the highest positive variations of their own liquidity, therefore, having higher returns.A influência da liquidez para o retorno dos ativos vem sendo amplamente pesquisada nos últimos anos, tanto do ponto de vista dos ativos individuais quanto do ponto de vista da liquidez de mercado. Este trabalho tem por objetivo principal avaliar a influência da variação da liquidez na precificação das ações. Como medidas de liquidez foram utilizadas as variações na quantidade de títulos, na quantidade de negócios e no volume financeiro, bem como estas variáveis ponderadas pelo índice Bovespa e também estas variáveis defasadas. A amostra é composta pelas ações negociadas na Bolsa de Valores de São Paulo. Foram coletados dados mensais para o período de janeiro de 2000 a junho de 2008. Os resultados mostraram que o retorno dos ativos é influenciado positivamente pelo retorno do índice Bovespa e pelas variações de liquidez. Geralmente, são as empresas com menores níveis de liquidez que apresentam as maiores variações positivas da própria liquidez e, consequentemente, terão retornos mais elevados.FUCAPE Business Shool2011-07-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/29510.15728/bbr.2011.8.3.3Brazilian Business Review; Vol. 8 No. 3 (2011): July to September 2011; 40-63Brazilian Business Review; v. 8 n. 3 (2011): Julho a Setembro de 2011; 40-631808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/295/447http://www.bbronline.com.br/index.php/bbr/article/view/295/448Vieira, Kelmara MendesCeretta, Paulo SérgioFonseca, Juliara Lopes dainfo:eu-repo/semantics/openAccess2018-11-06T19:55:51Zoai:ojs.pkp.sfu.ca:article/295Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2018-11-06T19:55:51BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false
dc.title.none.fl_str_mv Influence of variation of liquidity in asset pricing: panel analysis of the brazilian market for the period january 2000 to june 2008
Influência da variação da liquidez na precificação de ativos: análise em painel do mercado brasileiro no período de janeiro de 2000 a junho de 2008
title Influence of variation of liquidity in asset pricing: panel analysis of the brazilian market for the period january 2000 to june 2008
spellingShingle Influence of variation of liquidity in asset pricing: panel analysis of the brazilian market for the period january 2000 to june 2008
Vieira, Kelmara Mendes
Variations in liquidity
return
panel data
Variações de liquidez
retorno
dados em painel
title_short Influence of variation of liquidity in asset pricing: panel analysis of the brazilian market for the period january 2000 to june 2008
title_full Influence of variation of liquidity in asset pricing: panel analysis of the brazilian market for the period january 2000 to june 2008
title_fullStr Influence of variation of liquidity in asset pricing: panel analysis of the brazilian market for the period january 2000 to june 2008
title_full_unstemmed Influence of variation of liquidity in asset pricing: panel analysis of the brazilian market for the period january 2000 to june 2008
title_sort Influence of variation of liquidity in asset pricing: panel analysis of the brazilian market for the period january 2000 to june 2008
author Vieira, Kelmara Mendes
author_facet Vieira, Kelmara Mendes
Ceretta, Paulo Sérgio
Fonseca, Juliara Lopes da
author_role author
author2 Ceretta, Paulo Sérgio
Fonseca, Juliara Lopes da
author2_role author
author
dc.contributor.author.fl_str_mv Vieira, Kelmara Mendes
Ceretta, Paulo Sérgio
Fonseca, Juliara Lopes da
dc.subject.por.fl_str_mv Variations in liquidity
return
panel data
Variações de liquidez
retorno
dados em painel
topic Variations in liquidity
return
panel data
Variações de liquidez
retorno
dados em painel
description The influence of liquidity on return on assets has been subject of much research in recent years, from the point of view of individual assets as well as considering the liquidity of the market as a whole. This study aims to evaluate the influence of change in liquidity in the pricing of assets. The measures of liquidity consisted of variations in the quantity of securities, in the number of trades and in financial volume, as well as these variables weighted by the Bovespa index and also the same variables lagged. The sample is made up of the shares traded in the São Paulo Stock Exchange. Monthly data were collected for the period of January 2000 through June 2008. The results show that return on assets is positively influenced by the Bovespa index and by variations in liquidity. In general, it is the companies with the lower liquidity levels that show the highest positive variations of their own liquidity, therefore, having higher returns.
publishDate 2011
dc.date.none.fl_str_mv 2011-07-01
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/295
10.15728/bbr.2011.8.3.3
url http://www.bbronline.com.br/index.php/bbr/article/view/295
identifier_str_mv 10.15728/bbr.2011.8.3.3
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/295/447
http://www.bbronline.com.br/index.php/bbr/article/view/295/448
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. 8 No. 3 (2011): July to September 2011; 40-63
Brazilian Business Review; v. 8 n. 3 (2011): Julho a Setembro de 2011; 40-63
1808-2386
1807-734X
reponame:BBR. Brazilian Business Review (English edition. Online)
instname:Fucape Business School (FBS)
instacron:FBS
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)
repository.mail.fl_str_mv || bbronline@bbronline.com.br
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