dc.contributorVieira, Kelmara Mendes
dc.contributorhttp://lattes.cnpq.br/4786960732238120
dc.contributorSouza, Adriano Mendonça
dc.contributorhttp://lattes.cnpq.br/5271075797851198
dc.contributorLopes, Luis Felipe Dias
dc.contributorhttp://lattes.cnpq.br/1074372911061770
dc.creatorJusten Junior, Ari Aloisio
dc.date.accessioned2017-04-07
dc.date.available2017-04-07
dc.date.created2017-04-07
dc.date.issued2012-05-15
dc.identifierJUSTEN 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.
dc.identifierhttp://repositorio.ufsm.br/handle/1/4604
dc.description.abstractThe 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.
dc.publisherUniversidade Federal de Santa Maria
dc.publisherBR
dc.publisherAdministração
dc.publisherUFSM
dc.publisherPrograma de Pós-Graduação em Administração
dc.rightsAcesso Aberto
dc.subjectLiquidez/iliquidez
dc.subjectRetorno das ações
dc.subjectAnálise de dados em painel
dc.subjectLiquidity/illiquidity
dc.subjectStock returns
dc.subjectAnalysis of panel data
dc.titleO papel da liquidez/iliquidez no retorno das ações: análise do mercado brasileiro no período entre 1995 e 2010
dc.typeDissertação


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