Prêmio de liquidez no Brasil: um estudo sobre sua existência e seus impactos
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2012-05-31
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Simonsen, Axel André
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This study aims to investigate the existence of a liquidity premium in Brazilian stocks. By building portfolios sorted by various measures of liquidity is possible to test the differential expected return and risk incurred. The expected return of the portfolio built with less liquid stocks is significantly higher than the return of the portfolio built with the most liquids stocks. Conventional measures of risk (market and Fama-French factors) do not explain this excess of return. We tested different liquidity measures and the methodology proposed by Hwang and Lu (2007) was the one that the effect was more considerable. Taken together, the evidences show the presence of a liquidity premium in Brazil.