Asset Pricing and liquidity risk in the Chilean Stock Market

• Autores: Prosper Lamothe Fernández, Francisco Javier Vásquez Tejos
• Localización: Aestimatio: The IEB International Journal of Finance, ISSN 2173-0164, Nº. 3, 2011, págs. 126-149
• Idioma: inglés
• Enlaces
  • Texto completo (pdf)
• Dialnet Métricas: 2 Citas
• Resumen

  • This paper studies whether or not a premium exists for the risk of liquidity in the Chilean stock market. Using the methodology in Fama and French (1993), liquidity risk factors are constructed on the basis of 4 indexes which evaluate various models.

    The results show the existence of a premium for liquidity risk, but this is captured by more than a liquidity risk factor