IS COMMONALITY IN LIQUIDITY A PRICED RISK FACTOR?
Autor(a) principal: | |
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Data de Publicação: | 2020 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | RAM. Revista de Administração Mackenzie |
Texto Completo: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1678-69712020000200402 |
Resumo: | ABSTRACT 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. |
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IS COMMONALITY IN LIQUIDITY A PRICED RISK FACTOR?CommonalityInvestmentLiquidityRiskReturnABSTRACT 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.Editora MackenzieUniversidade Presbiteriana Mackenzie2020-01-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S1678-69712020000200402RAM. Revista de Administração Mackenzie v.21 n.2 2020reponame:RAM. Revista de Administração Mackenzieinstname:Universidade Presbiteriana Mackenzie (UPM)instacron:MACKENZIE10.1590/1678-6971/eramf200158info:eu-repo/semantics/openAccessSILVA JÚNIOR,CLÁUDIO P.MACHADO,MÁRCIO A. V.eng2020-03-12T00:00:00Zoai:scielo:S1678-69712020000200402Revistahttps://www.scielo.br/j/ram/https://old.scielo.br/oai/scielo-oai.phprevista.adm@mackenzie.br1678-69711518-6776opendoar:2020-03-12T00:00RAM. Revista de Administração Mackenzie - Universidade Presbiteriana Mackenzie (UPM)false |
dc.title.none.fl_str_mv |
IS COMMONALITY IN LIQUIDITY A PRICED RISK FACTOR? |
title |
IS COMMONALITY IN LIQUIDITY A PRICED RISK FACTOR? |
spellingShingle |
IS COMMONALITY IN LIQUIDITY A PRICED RISK FACTOR? SILVA JÚNIOR,CLÁUDIO P. Commonality Investment Liquidity Risk Return |
title_short |
IS COMMONALITY IN LIQUIDITY A PRICED RISK FACTOR? |
title_full |
IS COMMONALITY IN LIQUIDITY A PRICED RISK FACTOR? |
title_fullStr |
IS COMMONALITY IN LIQUIDITY A PRICED RISK FACTOR? |
title_full_unstemmed |
IS COMMONALITY IN LIQUIDITY A PRICED RISK FACTOR? |
title_sort |
IS COMMONALITY IN LIQUIDITY A PRICED RISK FACTOR? |
author |
SILVA JÚNIOR,CLÁUDIO P. |
author_facet |
SILVA JÚNIOR,CLÁUDIO P. MACHADO,MÁRCIO A. V. |
author_role |
author |
author2 |
MACHADO,MÁRCIO A. V. |
author2_role |
author |
dc.contributor.author.fl_str_mv |
SILVA JÚNIOR,CLÁUDIO P. MACHADO,MÁRCIO A. V. |
dc.subject.por.fl_str_mv |
Commonality Investment Liquidity Risk Return |
topic |
Commonality Investment Liquidity Risk Return |
description |
ABSTRACT 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. |
publishDate |
2020 |
dc.date.none.fl_str_mv |
2020-01-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1678-69712020000200402 |
url |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1678-69712020000200402 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
10.1590/1678-6971/eramf200158 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
text/html |
dc.publisher.none.fl_str_mv |
Editora Mackenzie Universidade Presbiteriana Mackenzie |
publisher.none.fl_str_mv |
Editora Mackenzie Universidade Presbiteriana Mackenzie |
dc.source.none.fl_str_mv |
RAM. Revista de Administração Mackenzie v.21 n.2 2020 reponame:RAM. Revista de Administração Mackenzie instname:Universidade Presbiteriana Mackenzie (UPM) instacron:MACKENZIE |
instname_str |
Universidade Presbiteriana Mackenzie (UPM) |
instacron_str |
MACKENZIE |
institution |
MACKENZIE |
reponame_str |
RAM. Revista de Administração Mackenzie |
collection |
RAM. Revista de Administração Mackenzie |
repository.name.fl_str_mv |
RAM. Revista de Administração Mackenzie - Universidade Presbiteriana Mackenzie (UPM) |
repository.mail.fl_str_mv |
revista.adm@mackenzie.br |
_version_ |
1752128650482810880 |