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The role of an illiquidity factor in the Portuguese stock market

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Resumo:This study examines the role of illiquidity (proxied by the proportion of zero returns) as an additional risk factor in asset pricing. We use Portuguese monthly data, covering the period between January 1988 and December 2008. We compute an illiquidity factor using the Fama and French [Fama, E. F., and K. R. French (1993), "Common risk factors in the returns on stocks and bonds", Journal of Financial Economics, Vol. 33, Nº. 1, pp. 3-56] procedure and analyze the performance of CAPM, Fama-French three-factor model and illiquidity-augmented versions of these models in explaining both the time-series and the cross-section of returns. Our results reveal that the effect of characteristic liquidity is subsumed by the models considered, but the risk of illiquidity is not priced in the Portuguese stock market.
Autores principais:Miralles-Marcelo, Jose Luis
Outros Autores:Miralles-Quiros, Maria Del Mar; Oliveira, Célia
Assunto:Asset pricing Liquidity Portugal
Ano:2011
País:Portugal
Tipo de documento:documento de conferência
Tipo de acesso:acesso aberto
Instituição associada:Instituto Politécnico de Lisboa
Idioma:inglês
Origem:Repositório Científico do Instituto Politécnico de Lisboa

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