Influence of variation of liquidity in asset pricing: panel analysis of the brazilian market for the period january 2000 to june 2008
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Data de Publicação: | 2011 |
Outros Autores: | , |
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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BBR. Brazilian Business Review (English edition. Online) |
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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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1754732238010843136 |