O papel da liquidez/iliquidez no retorno das ações: análise do mercado brasileiro no período entre 1995 e 2010
Autor(a) principal: | |
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Data de Publicação: | 2012 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Manancial - Repositório Digital da UFSM |
Texto Completo: | http://repositorio.ufsm.br/handle/1/4604 |
Resumo: | The influence of liquidity / illiquidity on the return on assets has been widely researched in last years, from both individual assets and market perspectives.Given the evidence that the liquidity / illiquidity is a multidimensional measure and that a single proxy is not sufficient to assess it, this study, aiming for greater robustness, seek to evaluate the role of same using different measures, making sure that its use influence the results. This paper analyzes the influence of liquidity / illiquidity in stock returns in the Brazilian market, using the measures proposed by Amihud (2002) and Liu (2006) beyond traditional measures such as trading volume, number of trades, spread and turnover. To that we use data from December, 1994 to April 2010 of the stocks traded on the Bolsa de Valores, Mercadorias e Futuros de São Paulo (BOVESPA). The results obtained through the estimation of the model using the measure of illiquidity for the actions allow to concluding that the expected illiquidity has positive impact on the monthly return, supporting the first hypothesis of the original study by Amihud (2002), which suggests that the expected stock return is an increasing function of expected illiquidity. Regarding the second hypothesis tested, the unexpected illiquidity (residual) showed negative impact on return, confirming the hypothesis that unexpected illiquidity has a negative effect on the stock price, that is, the illiquidity is priced in the Brazilian market. In another way, the estimation results of the model that used the measure of Liu (2006) for the actions, demonstrated that the variables expected liquidity and unexpected liquidity were not significant in explaining returns. As to the model that has used variables of market liquidity the estimation with the measure of Amihud (2002) did not present significance for the variables expected market iliquidity and unexpected market illiquidity. Differently, the model estimated using the variables of market liquidity for the stock returns presented positive impact to the variable expected market liquidity. In turn, the variable unexpected market liquidity showed negative impact on monthly returns. It can be inferred that in Brazil, a country with great heterogeneity in the liquidity, the market liquidity risk of lose space for the individual liquidity risk. |
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O papel da liquidez/iliquidez no retorno das ações: análise do mercado brasileiro no período entre 1995 e 2010The role of liquidity/iliquidity in stock returns: the brazilian market analysis in the period between 1995 and 2010Liquidez/iliquidezRetorno das açõesAnálise de dados em painelLiquidity/illiquidityStock returnsAnalysis of panel dataCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOThe influence of liquidity / illiquidity on the return on assets has been widely researched in last years, from both individual assets and market perspectives.Given the evidence that the liquidity / illiquidity is a multidimensional measure and that a single proxy is not sufficient to assess it, this study, aiming for greater robustness, seek to evaluate the role of same using different measures, making sure that its use influence the results. This paper analyzes the influence of liquidity / illiquidity in stock returns in the Brazilian market, using the measures proposed by Amihud (2002) and Liu (2006) beyond traditional measures such as trading volume, number of trades, spread and turnover. To that we use data from December, 1994 to April 2010 of the stocks traded on the Bolsa de Valores, Mercadorias e Futuros de São Paulo (BOVESPA). The results obtained through the estimation of the model using the measure of illiquidity for the actions allow to concluding that the expected illiquidity has positive impact on the monthly return, supporting the first hypothesis of the original study by Amihud (2002), which suggests that the expected stock return is an increasing function of expected illiquidity. Regarding the second hypothesis tested, the unexpected illiquidity (residual) showed negative impact on return, confirming the hypothesis that unexpected illiquidity has a negative effect on the stock price, that is, the illiquidity is priced in the Brazilian market. In another way, the estimation results of the model that used the measure of Liu (2006) for the actions, demonstrated that the variables expected liquidity and unexpected liquidity were not significant in explaining returns. As to the model that has used variables of market liquidity the estimation with the measure of Amihud (2002) did not present significance for the variables expected market iliquidity and unexpected market illiquidity. Differently, the model estimated using the variables of market liquidity for the stock returns presented positive impact to the variable expected market liquidity. In turn, the variable unexpected market liquidity showed negative impact on monthly returns. It can be inferred that in Brazil, a country with great heterogeneity in the liquidity, the market liquidity risk of lose space for the individual liquidity risk.A influência da liquidez/iliquidez sobre o retorno dos ativos vem sendo vastamente pesquisada nos últimos anos, tanto da perspectiva individual quanto do mercado. Tendo em vista as evidências de que a liquidez/iliquidez seja uma medida multidimensional e que uma única proxy não é suficiente para avaliá-la, este estudo, na busca de maior robustez, se propôs a avaliar o papel da mesma a partir de diferentes medidas, verificando se o seu uso influencia os resultados. O presente trabalho analisa a influência da liquidez/iliquidez no retorno das ações no mercado brasileiro, empregando as medidas propostas por Amihud (2002) e Liu (2006), além das medidas tradicionais como o volume financeiro, quantidade de negócios, spread e turnover. Para tanto são utilizados dados de dezembro de 1994 a abril de 2010 de ações negociadas na Bolsa de Valores, Mercadorias e Futuros de São Paulo (BM&FBOVESPA). Os resultados obtidos por meio da estimação do modelo utilizando a medida de iliquidez para as ações permitem concluir que a iliquidez esperada apresentou impacto positivo no retorno mensal, corroborando a primeira hipótese do estudo original de Amihud (2002), a qual sugere que o retorno esperado de ações é uma função crescente da iliquidez esperada. No que diz respeito à segunda hipótese testada, a iliquidez inesperada (residual) mostrou impacto negativo no retorno, confirmando a hipótese de que a iliquidez inesperada tem um efeito negativo sobre o preço das ações, ou seja, que a iliquidez é precificada no mercado brasileiro. De outra forma, os resultados da estimação do modelo que empregou a medida de Liu (2006) para as ações, demonstraram que as variáveis liquidez esperada e liquidez inesperada não foram significativas para a explicação dos retornos. Quanto ao modelo que utilizou as variáveis de liquidez de mercado a estimação com a medida de Amihud (2002) não apresentou significância para as variáveis iliquidez esperada-mercado e iliquidez inesperada-mercado. De modo diferente, o modelo estimado empregando as variáveis de liquidez de mercado para o retorno das ações apresentou impacto positivo para a variável liquidez esperada-mercado. Por sua vez, a variável liquidez inesperada-mercado mostrou impacto negativo nos retornos mensais. Pode-se inferir que no Brasil, um país que apresenta grande heterogeneidade na liquidez, o risco da liquidez de mercado perde espaço para o risco de liquidez individual.Universidade Federal de Santa MariaBRAdministraçãoUFSMPrograma de Pós-Graduação em AdministraçãoVieira, Kelmara Mendeshttp://lattes.cnpq.br/4786960732238120Souza, Adriano Mendonçahttp://lattes.cnpq.br/5271075797851198Lopes, Luis Felipe Diashttp://lattes.cnpq.br/1074372911061770Justen Junior, Ari Aloisio2017-04-072017-04-072012-05-15info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfapplication/pdfJUSTEN JUNIOR, Ari Aloisio. The role of liquidity/iliquidity in stock returns: the brazilian market analysis in the period between 1995 and 2010. 2012. 84 f. Dissertação (Mestrado em Administração) - Universidade Federal de Santa Maria, Santa Maria, 2012.http://repositorio.ufsm.br/handle/1/4604porinfo:eu-repo/semantics/openAccessreponame:Manancial - Repositório Digital da UFSMinstname:Universidade Federal de Santa Maria (UFSM)instacron:UFSM2023-05-30T18:07:28Zoai:repositorio.ufsm.br:1/4604Biblioteca Digital de Teses e Dissertaçõeshttps://repositorio.ufsm.br/ONGhttps://repositorio.ufsm.br/oai/requestatendimento.sib@ufsm.br||tedebc@gmail.comopendoar:2023-05-30T18:07:28Manancial - Repositório Digital da UFSM - Universidade Federal de Santa Maria (UFSM)false |
dc.title.none.fl_str_mv |
O papel da liquidez/iliquidez no retorno das ações: análise do mercado brasileiro no período entre 1995 e 2010 The role of liquidity/iliquidity in stock returns: the brazilian market analysis in the period between 1995 and 2010 |
title |
O papel da liquidez/iliquidez no retorno das ações: análise do mercado brasileiro no período entre 1995 e 2010 |
spellingShingle |
O papel da liquidez/iliquidez no retorno das ações: análise do mercado brasileiro no período entre 1995 e 2010 Justen Junior, Ari Aloisio Liquidez/iliquidez Retorno das ações Análise de dados em painel Liquidity/illiquidity Stock returns Analysis of panel data CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
title_short |
O papel da liquidez/iliquidez no retorno das ações: análise do mercado brasileiro no período entre 1995 e 2010 |
title_full |
O papel da liquidez/iliquidez no retorno das ações: análise do mercado brasileiro no período entre 1995 e 2010 |
title_fullStr |
O papel da liquidez/iliquidez no retorno das ações: análise do mercado brasileiro no período entre 1995 e 2010 |
title_full_unstemmed |
O papel da liquidez/iliquidez no retorno das ações: análise do mercado brasileiro no período entre 1995 e 2010 |
title_sort |
O papel da liquidez/iliquidez no retorno das ações: análise do mercado brasileiro no período entre 1995 e 2010 |
author |
Justen Junior, Ari Aloisio |
author_facet |
Justen Junior, Ari Aloisio |
author_role |
author |
dc.contributor.none.fl_str_mv |
Vieira, Kelmara Mendes http://lattes.cnpq.br/4786960732238120 Souza, Adriano Mendonça http://lattes.cnpq.br/5271075797851198 Lopes, Luis Felipe Dias http://lattes.cnpq.br/1074372911061770 |
dc.contributor.author.fl_str_mv |
Justen Junior, Ari Aloisio |
dc.subject.por.fl_str_mv |
Liquidez/iliquidez Retorno das ações Análise de dados em painel Liquidity/illiquidity Stock returns Analysis of panel data CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
topic |
Liquidez/iliquidez Retorno das ações Análise de dados em painel Liquidity/illiquidity Stock returns Analysis of panel data CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
description |
The influence of liquidity / illiquidity on the return on assets has been widely researched in last years, from both individual assets and market perspectives.Given the evidence that the liquidity / illiquidity is a multidimensional measure and that a single proxy is not sufficient to assess it, this study, aiming for greater robustness, seek to evaluate the role of same using different measures, making sure that its use influence the results. This paper analyzes the influence of liquidity / illiquidity in stock returns in the Brazilian market, using the measures proposed by Amihud (2002) and Liu (2006) beyond traditional measures such as trading volume, number of trades, spread and turnover. To that we use data from December, 1994 to April 2010 of the stocks traded on the Bolsa de Valores, Mercadorias e Futuros de São Paulo (BOVESPA). The results obtained through the estimation of the model using the measure of illiquidity for the actions allow to concluding that the expected illiquidity has positive impact on the monthly return, supporting the first hypothesis of the original study by Amihud (2002), which suggests that the expected stock return is an increasing function of expected illiquidity. Regarding the second hypothesis tested, the unexpected illiquidity (residual) showed negative impact on return, confirming the hypothesis that unexpected illiquidity has a negative effect on the stock price, that is, the illiquidity is priced in the Brazilian market. In another way, the estimation results of the model that used the measure of Liu (2006) for the actions, demonstrated that the variables expected liquidity and unexpected liquidity were not significant in explaining returns. As to the model that has used variables of market liquidity the estimation with the measure of Amihud (2002) did not present significance for the variables expected market iliquidity and unexpected market illiquidity. Differently, the model estimated using the variables of market liquidity for the stock returns presented positive impact to the variable expected market liquidity. In turn, the variable unexpected market liquidity showed negative impact on monthly returns. It can be inferred that in Brazil, a country with great heterogeneity in the liquidity, the market liquidity risk of lose space for the individual liquidity risk. |
publishDate |
2012 |
dc.date.none.fl_str_mv |
2012-05-15 2017-04-07 2017-04-07 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
JUSTEN JUNIOR, Ari Aloisio. The role of liquidity/iliquidity in stock returns: the brazilian market analysis in the period between 1995 and 2010. 2012. 84 f. Dissertação (Mestrado em Administração) - Universidade Federal de Santa Maria, Santa Maria, 2012. http://repositorio.ufsm.br/handle/1/4604 |
identifier_str_mv |
JUSTEN JUNIOR, Ari Aloisio. The role of liquidity/iliquidity in stock returns: the brazilian market analysis in the period between 1995 and 2010. 2012. 84 f. Dissertação (Mestrado em Administração) - Universidade Federal de Santa Maria, Santa Maria, 2012. |
url |
http://repositorio.ufsm.br/handle/1/4604 |
dc.language.iso.fl_str_mv |
por |
language |
por |
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 |
Universidade Federal de Santa Maria BR Administração UFSM Programa de Pós-Graduação em Administração |
publisher.none.fl_str_mv |
Universidade Federal de Santa Maria BR Administração UFSM Programa de Pós-Graduação em Administração |
dc.source.none.fl_str_mv |
reponame:Manancial - Repositório Digital da UFSM instname:Universidade Federal de Santa Maria (UFSM) instacron:UFSM |
instname_str |
Universidade Federal de Santa Maria (UFSM) |
instacron_str |
UFSM |
institution |
UFSM |
reponame_str |
Manancial - Repositório Digital da UFSM |
collection |
Manancial - Repositório Digital da UFSM |
repository.name.fl_str_mv |
Manancial - Repositório Digital da UFSM - Universidade Federal de Santa Maria (UFSM) |
repository.mail.fl_str_mv |
atendimento.sib@ufsm.br||tedebc@gmail.com |
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1805922144325992448 |