An empirical analysis of the systematic liquidity risk in the spanish stock market

Detalhes bibliográficos
Autor(a) principal: Miralles Marcelo, José Luis
Data de Publicação: 2004
Outros Autores: Miralles Quirós, María del Mar
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/9979
Resumo: The main object of this study is to construct a liquidity risk factor and analyze its impact on asset pricing for the Spanish stock market over the 1994-2002 period. We generated this factor using the Fama and French (1993) orthogonal approach and analyzed if it must be included as an augmented variable on the stochastic discount factor. Moreover, and because of the absence of consensus in empirical research about the most appropriate liquidity measure, we applied the illiquidity ratio, proposed by Amihud (2002) for the American stock market that computes the price response associated with one currency of trading volume.
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spelling An empirical analysis of the systematic liquidity risk in the spanish stock marketasset pricingsystematic liquidityilliquidity ratioThe main object of this study is to construct a liquidity risk factor and analyze its impact on asset pricing for the Spanish stock market over the 1994-2002 period. We generated this factor using the Fama and French (1993) orthogonal approach and analyzed if it must be included as an augmented variable on the stochastic discount factor. Moreover, and because of the absence of consensus in empirical research about the most appropriate liquidity measure, we applied the illiquidity ratio, proposed by Amihud (2002) for the American stock market that computes the price response associated with one currency of trading volume.Instituto Superior de Economia e GestãoRepositório da Universidade de LisboaMiralles Marcelo, José LuisMiralles Quirós, María del Mar2015-10-30T14:53:48Z20042004-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/9979engMiralles Marcelo, José Luis e María del Mar Miralles Quirós (2004). "An empirical analysis of the systematic liquidity risk in the spanish stock market". Estudos de Gestão, IX(2):91-102info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:40:22Zoai:www.repository.utl.pt:10400.5/9979Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:56:32.330693Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv An empirical analysis of the systematic liquidity risk in the spanish stock market
title An empirical analysis of the systematic liquidity risk in the spanish stock market
spellingShingle An empirical analysis of the systematic liquidity risk in the spanish stock market
Miralles Marcelo, José Luis
asset pricing
systematic liquidity
illiquidity ratio
title_short An empirical analysis of the systematic liquidity risk in the spanish stock market
title_full An empirical analysis of the systematic liquidity risk in the spanish stock market
title_fullStr An empirical analysis of the systematic liquidity risk in the spanish stock market
title_full_unstemmed An empirical analysis of the systematic liquidity risk in the spanish stock market
title_sort An empirical analysis of the systematic liquidity risk in the spanish stock market
author Miralles Marcelo, José Luis
author_facet Miralles Marcelo, José Luis
Miralles Quirós, María del Mar
author_role author
author2 Miralles Quirós, María del Mar
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Miralles Marcelo, José Luis
Miralles Quirós, María del Mar
dc.subject.por.fl_str_mv asset pricing
systematic liquidity
illiquidity ratio
topic asset pricing
systematic liquidity
illiquidity ratio
description The main object of this study is to construct a liquidity risk factor and analyze its impact on asset pricing for the Spanish stock market over the 1994-2002 period. We generated this factor using the Fama and French (1993) orthogonal approach and analyzed if it must be included as an augmented variable on the stochastic discount factor. Moreover, and because of the absence of consensus in empirical research about the most appropriate liquidity measure, we applied the illiquidity ratio, proposed by Amihud (2002) for the American stock market that computes the price response associated with one currency of trading volume.
publishDate 2004
dc.date.none.fl_str_mv 2004
2004-01-01T00:00:00Z
2015-10-30T14:53:48Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/9979
url http://hdl.handle.net/10400.5/9979
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Miralles Marcelo, José Luis e María del Mar Miralles Quirós (2004). "An empirical analysis of the systematic liquidity risk in the spanish stock market". Estudos de Gestão, IX(2):91-102
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Instituto Superior de Economia e Gestão
publisher.none.fl_str_mv Instituto Superior de Economia e Gestão
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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