Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.21/1427
Título: The role of an illiquidity factor in the Portuguese stock market
Autor: Miralles Marcelo, José Luis
Miralles Quirós, María del Mar
Oliveira, Célia
Palavras-chave: Asset pricing
Data: Jul-2011
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.
Peer review: yes
URI: http://hdl.handle.net/10400.21/1427
Aparece nas colecções:ISCAL - Comunicações

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