Student Number : 0300191P - PhD thesis - School of Accountancy - Faculty of Commerce, Law and Management / The main objective of the study has been to provide new insights into ongoing recent studies examining the impact of stock market liberalization at both macro and micro (firm) levels. The study focused on a single country, South Africa, whose exchange, the Johannesburg Stock Exchange (JSE), liberalized in the 1990s. Consistent with empirical evidence from other studies the study finds support at market, firm and sectoral level for the prediction by international asset pricing models that stock market liberalization reduces the cost of capital. More important, the study makes five major contributions to the literature on the impact of stock market liberalization in emerging markets. First, it demonstrates that some emerging market specific risks such as political and economic risks can act stronger binding constraints to foreign investment than direct legal barriers which foreign investors are frequently able to circumvent. The second contribution is the observation that there are some firms (in the minority however) that will experience a significant increase in the cost of capital following liberalization, a situation where the local price of risk is higher than the global price of risk, contrary to international asset pricing theory. The third contribution is that it has been empirically proved that the reduction in firms’ cost of capital following stock market liberalization is permanent. It is not a transitory phenomenon. The fourth contribution of the study highlights the influence of firm specific characteristics such as size of the firm, book-to-market ratios and leverage ratios on firms’ response to impact of stock market liberalization. The preference for large firms by foreign investors is supported, contrary to Merton’s (1987) recognition hypothesis, and hence highlights the inconclusiveness of the debate on whether stock market liberalization benefits both large firms and small firms. The fifth contribution is the observation that the effective liberalization date is not the same for all firms but varies from firm to firm.

Securities legislation in Canada and around the world does not mandate firms to fulfill announced share repurchase programs. As such, a firms repurchase program completion rate can be interpreted as a measure of the firms voluntary compliance, which communicates to investors the degree to which the firm is responsible, reliable and makes good faith efforts to fulfill its announced programs. We therefore expect that the voluntary compliance may reduce the riskiness of a firm and thus its cost of capital. In a sample of Canadian repurchase programs announced between 1995 and 2004, surprisingly, we find little evidence to suggest that a significant relationship exists between the firms repurchase program completion rate and the cost of equity. We present a number of explanations for this result.

Securities legislation in Canada and around the world does not mandate firms to fulfill announced share repurchase programs. As such, a firms repurchase program completion rate can be interpreted as a measure of the firms voluntary compliance, which communicates to investors the degree to which the firm is responsible, reliable and makes good faith efforts to fulfill its announced programs. We therefore expect that the voluntary compliance may reduce the riskiness of a firm and thus its cost of capital. In a sample of Canadian repurchase programs announced between 1995 and 2004, surprisingly, we find little evidence to suggest that a significant relationship exists between the firms repurchase program completion rate and the cost of equity. We present a number of explanations for this result.

It was an age of pursuing customer satisfaction since 1980, and moreover chasing customers` value in 21century. But how can customer satisfaction improve firm`s value? This article combines marketing and finance together through analyzing interaction between customer, systematic risk and cost of capital. The empirical evidence presented in this article implies that customer satisfaction can surely lower systematic risk and there is nonlinear relationship between CSI and systematic risk. Comparing the results for the service and nonservice industry sectors, we observe that, customer satisfaction has a greater effect on systematic risk of service sectors. In addition to satisfaction, the analysis also include advertising expense as another explanatory variable and reveals that when putting satisfaction and advertising expense into model together, systematic risk will be the lowest. When using lisrel model, it shows that customer satisfaction can lower cost of capital through cost of debt and equity together then maximize shareholder`s value.

A growing number of studies suggest that accounting information risk, primarily idiosyncratic in nature, can be diversified away in the capital market. In this dissertation, I show that accounting information risk, proxied by accruals quality, is priced even if it is entirely idiosyncratic. In particular, building on a model from the ambiguity literature, I demonstrate that (1) in an under-diversified market, idiosyncratic information risk is priced even if it is diversifiable, and (2) in a well-diversified market, idiosyncratic information risk is priced when information is subject to managers' discretion and thus ambiguous. The empirical results corroborate the predictions from the model. Specifically, although an association is observed between (unambiguous if risky) innate accruals quality and cost of capital, the association can be largely mitigated through diversification. However, diversification has little impact on the association between (ambiguous) discretionary accruals quality and cost of capital. Taken together, these findings strengthen our understanding of the fundamental role of accounting information as a basis for capital allocation.

A growing number of studies suggest that accounting information risk, primarily idiosyncratic in nature, can be diversified away in the capital market. In this dissertation, I show that accounting information risk, proxied by accruals quality, is priced even if it is entirely idiosyncratic. In particular, building on a model from the ambiguity literature, I demonstrate that (1) in an under-diversified market, idiosyncratic information risk is priced even if it is diversifiable, and (2) in a well-diversified market, idiosyncratic information risk is priced when information is subject to managers' discretion and thus ambiguous. The empirical results corroborate the predictions from the model. Specifically, although an association is observed between (unambiguous if risky) innate accruals quality and cost of capital, the association can be largely mitigated through diversification. However, diversification has little impact on the association between (ambiguous) discretionary accruals quality and cost of capital. Taken together, these findings strengthen our understanding of the fundamental role of accounting information as a basis for capital allocation.

A teoria sobre o custo de capital das empresas estudada desde a década de 1950 trouxe amplas contribuições aos estudos de finanças corporativas, alocação de carteiras de investimento, fusões e aquisições, ciências contábeis, entre outras aplicações. Os modelos clássicos de custo de capital compreendem modelos como o CAPM (Capital Asset Pricing Model), de Sharpe, Lintner e Mossin; o APT (Arbitrage Pricing Theory), de Ross; o modelo de 3-fatores, de Fama e French, e de 4-fatores, de Carhart, entre outros. Em virtude das diversas críticas feitas aos modelos clássicos (ELTON, 1999; FAMA; FRENCH, 2004; GRINBLATT; TITMAN, 2005; ASHTON; WANG, 2012; HOU et al., 2012), há então espaço para o surgimento de uma metodologia alternativa para estimativa do custo de capital das empresas, contexto em que surgem os modelos de Custo de Capital Implícito (ICC - Implied Cost of Capital). São cinco os principais modelos de ICC estudados e testados na literatura: Gordon e Gordon, modelo FHERM (1997), Claus e Thomas, modelo CT (2001), Gebhardt, Lee e Swaminathan, modelo GLS (2001), Ohlson e Juettner-Nauroth, modelo OJ (2005) e Easton, modelo de EASTON (2004). Todos se baseiam em expectativas sobre resultados futuros projetados, e as pesquisas que os aplicam fundamentam-se majoritariamente em projeções de analistas. Há, no entanto, diversos problemas levantados pela literatura quanto ao uso de dados produzidos por analistas (GUAY et al., 2011; HOU et al., 2012; KARAMANOU, 2012). Hou et al. (2012) propõem então uma metodologia cross-sectional de projeções de resultados das empresas, com base em dados contábeis, alternativa às projeções dos analistas e aplicável aos modelos de ICC, a qual se mostrou eficiente para os testes desenvolvidos. O objetivo desta tese foi verificar se a metodologia de projeção de lucros proposta por Hou et al. (2012), com as devidas considerações e ajustes, é válida para aplicação no mercado brasileiro e, em caso positivo, verificar qual a magnitude do Custo de Capital Implícito esperado pelos investidores para aplicação de recursos no Brasil, através da aplicação dos cinco principais modelos de ICC. Analisou-se também se os modelos de ICC podem ser considerados eficientes como ferramenta para prever os ativos que terão maiores ou menores retornos futuros e, por fim, verificou-se como o prêmio pelo risco implícito se compara com o prêmio pelo risco do CAPM, e qual das duas abordagens é mais eficiente como ferramenta de precificação de ativos. Para tanto, foi analisada uma janela de dados de 1994 a 2014. As principais conclusões obtidas foram: (i) o modelo de Hou et al. (2012) ajustado tem desempenho muito positivo para fins de projeção de lucros no Brasil, com capacidade de prever 69,8% dos lucros futuros; (ii) o prêmio pelo risco implícito apurado para o Brasil para o período de 1994 a 2014 é da magnitude de 7,5% a.a., em linha com a literatura internacional e nacional; (iii) identificou-se a importância de se efetuarem ajustes e controles inflacionários, em especial, para aplicar os modelos GLS e CT, sob risco de subestimar o ICC nesses modelos; (iv) verificou-se que o único modelo, entre os testados, contraindicado para aplicação no Brasil é o FHERM, cujas simplificações teóricas e de premissas levam a resultados muito voláteis e pouco capazes de prever os retornos futuros das ações; e (v) na análise comparativa entre os modelos de ICC e os modelos clássicos de custo de capital, concluiu-se que as metodologias de ICC testadas são eficientes como ferramenta para previsão da performance futura dos ativos, diferentemente do CAPM tradicional que apresentou resultados inferiores e não conclusivos para tais fins. Por fim, salienta-se a potencial contribuição dos modelos de ICC para análises relacionadas às finanças comportamentais e prêmios de liquidez. / The theory on companies\' cost of capital has been studied since the 1960s, bringing forward extensive contributions to the study of corporate finance, allocation of investment portfolios, mergers and acquisitions, accounting, among other several applications. The classical models of cost of capital include, for example, the CAPM (Capital Asset Pricing Model) of Shrape, Lintnet and Mossin, the APT (Arbitrage Pricing Theory) of Ross, the 3-factor model of Fama and French and the 4-factor model of Carhart. Due to the several criticisms directed at the classical models and its limitations (ELTON, 1999; FAMA; FRENCH, 2004; GRINBLATT; TITMAN, 2005; ASHTON; WANG, 2012; HOU et al., 2012), this context made room for the emergence of an alternative methodology for estimating the firms\' cost of capital, represented by the Implied Cost of Capital models (ICC). There are five main models of ICC studied and tested in the literature: Gordon and Gordon, FHERM Model (1997), Claus and Thomas, CT Model (2001), Gebhardt Lee and Swaminathan, GLS Model (2001), Ohlson and Juettner-Nauroth, OJ Model (2005) and Easton, EASTON Model (2004). All such models are based on expectations about projected future earnings, and studies that apply these methods are predominantly based on analysts\' estimates. There are, however, several problems raised by the literature regarding the use of analysts projections (GUAY et al., 2011; HOU et al., 2012; KARAMANOU, 2012). Hou et al. (2012) then proposed a cross-sectional approach to estimate the firms\' future earnings, as an alternative methodology to apply in the ICC models, which was proved very efficient. Given this context, the objective of this thesis is to verify whether the cross-sectional methodology proposed by Hou et al. (2012) to estimate future earnings, with due adjustments to the local market\'s characteristics, is valid for application in Brazil. If so, we should then verify what the magnitude of the ICC expected by investors in Brazil is, estimated using the five main ICC models. Also, this thesis should analyse if the ICC models can be considered efficient as a tool to predict which assets should have larger or smaller future returns. Finally, we should compare the risk premium estimated by the ICC models and risk premium estimated by the CAPM, and identify which of the two approaches is more efficient for asset pricing. In order to achieve such goals, a window of data from 1994 to 2014 was analysed. The main results achieved were: (i) the adjusted model of Hou et al. (2012) has shown very positive performance for projecting earnings in Brasil, with power to predict 69,8% of future earnings; (ii) the implicit risk premium for the Brazilian market from 1994 to 2014 is of 7,5% per year, which corroborates the national and international literature; (iii) it was identified the need of controlling for inflation effects, specially when implementing the GLS and CT models, at risk of underestimating the ICC if not taking the due precautions; (iv) the only model, among the tested, which was identified as unfit for applying to the Brazilian market was FHERM, since its theorical simplifications lead to too volatile results, which are poorly capable of predicting future returns; and (v) when comparing the ICC to the classical models, it was concluded that the ICC methodologies are efficient as a tool to infer future asstes\' performance, while the traditional CAPM presents poor and unconclusuve results for such purpose. At last, we stress the potencial contribution of the ICC models to the study of behavioral finance and liquidity premiums.

A teoria sobre o custo de capital das empresas estudada desde a década de 1950 trouxe amplas contribuições aos estudos de finanças corporativas, alocação de carteiras de investimento, fusões e aquisições, ciências contábeis, entre outras aplicações. Os modelos clássicos de custo de capital compreendem modelos como o CAPM (Capital Asset Pricing Model), de Sharpe, Lintner e Mossin; o APT (Arbitrage Pricing Theory), de Ross; o modelo de 3-fatores, de Fama e French, e de 4-fatores, de Carhart, entre outros. Em virtude das diversas críticas feitas aos modelos clássicos (ELTON, 1999; FAMA; FRENCH, 2004; GRINBLATT; TITMAN, 2005; ASHTON; WANG, 2012; HOU et al., 2012), há então espaço para o surgimento de uma metodologia alternativa para estimativa do custo de capital das empresas, contexto em que surgem os modelos de Custo de Capital Implícito (ICC - Implied Cost of Capital). São cinco os principais modelos de ICC estudados e testados na literatura: Gordon e Gordon, modelo FHERM (1997), Claus e Thomas, modelo CT (2001), Gebhardt, Lee e Swaminathan, modelo GLS (2001), Ohlson e Juettner-Nauroth, modelo OJ (2005) e Easton, modelo de EASTON (2004). Todos se baseiam em expectativas sobre resultados futuros projetados, e as pesquisas que os aplicam fundamentam-se majoritariamente em projeções de analistas. Há, no entanto, diversos problemas levantados pela literatura quanto ao uso de dados produzidos por analistas (GUAY et al., 2011; HOU et al., 2012; KARAMANOU, 2012). Hou et al. (2012) propõem então uma metodologia cross-sectional de projeções de resultados das empresas, com base em dados contábeis, alternativa às projeções dos analistas e aplicável aos modelos de ICC, a qual se mostrou eficiente para os testes desenvolvidos. O objetivo desta tese foi verificar se a metodologia de projeção de lucros proposta por Hou et al. (2012), com as devidas considerações e ajustes, é válida para aplicação no mercado brasileiro e, em caso positivo, verificar qual a magnitude do Custo de Capital Implícito esperado pelos investidores para aplicação de recursos no Brasil, através da aplicação dos cinco principais modelos de ICC. Analisou-se também se os modelos de ICC podem ser considerados eficientes como ferramenta para prever os ativos que terão maiores ou menores retornos futuros e, por fim, verificou-se como o prêmio pelo risco implícito se compara com o prêmio pelo risco do CAPM, e qual das duas abordagens é mais eficiente como ferramenta de precificação de ativos. Para tanto, foi analisada uma janela de dados de 1994 a 2014. As principais conclusões obtidas foram: (i) o modelo de Hou et al. (2012) ajustado tem desempenho muito positivo para fins de projeção de lucros no Brasil, com capacidade de prever 69,8% dos lucros futuros; (ii) o prêmio pelo risco implícito apurado para o Brasil para o período de 1994 a 2014 é da magnitude de 7,5% a.a., em linha com a literatura internacional e nacional; (iii) identificou-se a importância de se efetuarem ajustes e controles inflacionários, em especial, para aplicar os modelos GLS e CT, sob risco de subestimar o ICC nesses modelos; (iv) verificou-se que o único modelo, entre os testados, contraindicado para aplicação no Brasil é o FHERM, cujas simplificações teóricas e de premissas levam a resultados muito voláteis e pouco capazes de prever os retornos futuros das ações; e (v) na análise comparativa entre os modelos de ICC e os modelos clássicos de custo de capital, concluiu-se que as metodologias de ICC testadas são eficientes como ferramenta para previsão da performance futura dos ativos, diferentemente do CAPM tradicional que apresentou resultados inferiores e não conclusivos para tais fins. Por fim, salienta-se a potencial contribuição dos modelos de ICC para análises relacionadas às finanças comportamentais e prêmios de liquidez. / The theory on companies\' cost of capital has been studied since the 1960s, bringing forward extensive contributions to the study of corporate finance, allocation of investment portfolios, mergers and acquisitions, accounting, among other several applications. The classical models of cost of capital include, for example, the CAPM (Capital Asset Pricing Model) of Shrape, Lintnet and Mossin, the APT (Arbitrage Pricing Theory) of Ross, the 3-factor model of Fama and French and the 4-factor model of Carhart. Due to the several criticisms directed at the classical models and its limitations (ELTON, 1999; FAMA; FRENCH, 2004; GRINBLATT; TITMAN, 2005; ASHTON; WANG, 2012; HOU et al., 2012), this context made room for the emergence of an alternative methodology for estimating the firms\' cost of capital, represented by the Implied Cost of Capital models (ICC). There are five main models of ICC studied and tested in the literature: Gordon and Gordon, FHERM Model (1997), Claus and Thomas, CT Model (2001), Gebhardt Lee and Swaminathan, GLS Model (2001), Ohlson and Juettner-Nauroth, OJ Model (2005) and Easton, EASTON Model (2004). All such models are based on expectations about projected future earnings, and studies that apply these methods are predominantly based on analysts\' estimates. There are, however, several problems raised by the literature regarding the use of analysts projections (GUAY et al., 2011; HOU et al., 2012; KARAMANOU, 2012). Hou et al. (2012) then proposed a cross-sectional approach to estimate the firms\' future earnings, as an alternative methodology to apply in the ICC models, which was proved very efficient. Given this context, the objective of this thesis is to verify whether the cross-sectional methodology proposed by Hou et al. (2012) to estimate future earnings, with due adjustments to the local market\'s characteristics, is valid for application in Brazil. If so, we should then verify what the magnitude of the ICC expected by investors in Brazil is, estimated using the five main ICC models. Also, this thesis should analyse if the ICC models can be considered efficient as a tool to predict which assets should have larger or smaller future returns. Finally, we should compare the risk premium estimated by the ICC models and risk premium estimated by the CAPM, and identify which of the two approaches is more efficient for asset pricing. In order to achieve such goals, a window of data from 1994 to 2014 was analysed. The main results achieved were: (i) the adjusted model of Hou et al. (2012) has shown very positive performance for projecting earnings in Brasil, with power to predict 69,8% of future earnings; (ii) the implicit risk premium for the Brazilian market from 1994 to 2014 is of 7,5% per year, which corroborates the national and international literature; (iii) it was identified the need of controlling for inflation effects, specially when implementing the GLS and CT models, at risk of underestimating the ICC if not taking the due precautions; (iv) the only model, among the tested, which was identified as unfit for applying to the Brazilian market was FHERM, since its theorical simplifications lead to too volatile results, which are poorly capable of predicting future returns; and (v) when comparing the ICC to the classical models, it was concluded that the ICC methodologies are efficient as a tool to infer future asstes\' performance, while the traditional CAPM presents poor and unconclusuve results for such purpose. At last, we stress the potencial contribution of the ICC models to the study of behavioral finance and liquidity premiums.

För att kommunicera med intressenter använder sig företag bland annat utav finansiella rapporter. Rådande lag reglerar stora delar av hur dessa rapporter ser ut, men samtidigt lämnas utrymme för företagen att själva avgöra hur omfattande rapporterna skall vara. Variationen i omfattningen av information i företagens rapporter väcker således intresset att undersöka varför företagen väljer att redovisa olika mycket information. En del forskare menar att det finns ett samband mellan mängden utgiven information och företagens kapitalkostnad. Beaktande av tidigare forskning blir syftet med studien att identifiera sambandet mellan avkastningskravet på eget kapital och upplysningsnivån i årsredovisningar samt delårsrapporter hos industriföretag noterade på Nasdaq OMX Stockholm. Vidare skall studien även ge en inblick i huruvida informationskällan påverkar sambandet, det vill säga om det finns eventuella skillnader mellan hur upplysningsnivåerna i årsredovisningar respektive delårsrapporter påverkar kapitalkostnaden. Studien avgränsas till perioden 1 januari 2015 till den 31 december 2015. Vidare avgränsas studien även till industriföretag noterade på OMX Nasdaq Stockholm. Studien omfattar 64 stycken företag, vilket inneburit att 128 stycken rapporter har använts. Samtliga rapporter har bedömts utifrån ett egenkonstruerat upplysningsindex. Vid de statistiska testerna för sambandet har variablerna Upplysningsnivå, Sidor samt Marknadsvärde testats gentemot Kapitalkostnad i korrelations- respektive regressionsanalyser. Ett negativt samband mellan upplysningsnivå och kapitalkostnad har uppvisats bland de utvalda företagen. Ett statistiskt signifikant samband mellan variablernas påverkan på kapitalkostnaden kunde inte fastslås. Det gick inte heller att se någon betydande skillnad mellan årsredovisningarnas påverkan på kapitalkostnaden jämfört med kvartalsrapporterna. / This paper examines if the level of voluntary disclosure in financial reports affects the cost of equity capital for industrial companies listed on Nasdaq OMX Stockholm. Furthermore, the paper aims to answer if there's a difference in how annual reports and more timely reports affect the cost of equity capital for the companies. We use a quantitative approach where we analyze the selected companies and their financial reports in correlation and regression tests. The study includes 64 companies whose reports are assessed by a self-constructed disclosure index. Our results indicate that voluntary disclosures in annual and more timely reports are associated with our proxy for companies cost of capital. Although our correlation tests show us that there is a negative association between the voluntary disclosures and our proxy for cost of capital, our regression models can’t identify any association. Furthermore, we can’t find a statistically significant difference in association between the voluntary disclosures in the annual reports or in the more timely reports and the proxy for cost of capital.The study is written in Swedish.

O trabalho seminal de Amihud e Mendelson (1986) abriu caminho para uma grande quantidade de pesquisas no âmbito internacional sugerindo que a liquidez poderia ser um fator relevante na explicação dos retornos das ações. A premissa central é que ativos menos líquidos devem apresentar taxas de retornos superiores a dos ativos mais líquidos, por representarem mais riscos a seus detentores. Assim, o objetivo principal da presente tese consistiu em verificar se há prêmios pela liquidez no mercado acionário brasileiro com o uso de uma vasta quantidade de medidas de liquidez, formas de cálculo e períodos de retenção das carteiras, bem como se o modelo de precificação de ativos de 2-fatores de Liu (2006) - formado pelo beta de mercado e pelo fator liquidez - é válido para o mercado acionário brasileiro e, em caso positivo, se é superior ao CAPM, ao modelo dos 3-fatores de Fama e French (1993) e ao modelo dos 4-fatores de Carhart (1997), na explicação das variações dos retornos cross-section das carteiras de ações. Para isso, foram usadas todas as ações listadas na BM&FBOVESPA, de 1995 a 2011. Os procedimentos metodológicos para obtenção das variáveis e testes para verificação da existência de prêmios pela liquidez seguiram, essencialmente, o estudo de Liu (2006). Os procedimentos para validação e comparação dos modelos de precificação de ativos foram efetuados seguindo o modelo de testes preditivo de Fama e MacBeth (1973). Foram testadas doze medidas de liquidez, dentre as mais recorrentes adotadas na literatura internacional. Os resultados encontrados evidenciaram fortes coeficientes de correlação entre muitas medidas, o que levou à manutenção dos testes com as medidas menos correlacionadas entre si: Índice de Negociabilidade da BM&FBOVESPA, Turnover, Return-to-Volume e Coeficiente de Variação do Volume Financeiro. Dentre estas, observou-se a existência de prêmio pela liquidez estatisticamente significante no mercado acionário brasileiro, na maioria das estratégias testadas, com o uso do Índice de Negociabilidade da BM&FBOVESPA e com o Coeficiente de Variação do Volume Financeiro. Estes resultados indicaram a existência de relação consistente e negativa entre o retorno das carteiras e a liquidez das ações e relação positiva entre a volatilidade da liquidez e o retorno das carteiras. Os prêmios encontrados com o uso do Índice de Negociabilidade da BM&FBOVESPA se mostraram robustos aos testes de subamostras, subperíodos e efeitos sazonais. Em relação aos testes empíricos dos modelos de precificação de ativos, o modelo dos 2-fatores se mostrou válido para explicação das variações dos retornos cross-section das ações no mercado brasileiro. O fator liquidez se mostrou complementar ao fator beta de mercado, aumentando o poder de explicação do modelo quando comparado ao CAPM, especialmente nas carteiras compostas por ações de baixa liquidez. O modelo de 2-fatores se mostrou também superior aos modelos 3-fatores e 4-fatores. Os resultados se mostraram robustos aos testes efetuados quanto a possíveis vieses de seleção do período amostral. Assim, mesmo que nenhum dos modelos tenha se mostrado suficiente na explicação das variações cross-section dos retornos no mercado acionário brasileiro, os resultados parecem indicar que a liquidez é uma direção especialmente promissora para a continuidade das pesquisas sobre o tema. / The seminal study of Amihud and Mendelson (1986) opened the way to a large quantity of researches in international environment suggesting that liquidity may be a important risk factor to explain stock returns. The central premise is that less liquid assets should present rates of return higher than the most liquid assets, because they represent more risk to their owners. Thus, the main objective of this thesis is to check if there is liquidity premium in the Brazilian stock market through the use of a vast amount of liquidity measures, forms of calculation and portfolios retention periods, as well as if the 2-factor pricing model developed by Liu (2006) - formed by the market beta and the liquidity factor - is valid for the Brazilian stock market and, if so, whether it is superior to the CAPM, the 3-factor model of Fama and French (1993) and the 4-factor model of Carhart (1997), in explaining the cross-section variations of assets portfolio returns. For this, this study used all shares listed on the BM&FBOVESPA from 1995 to 2011. The methodological procedures for the variables construction and tests to verify the existence of liquidity premiums followed the study of Liu (2006). The procedures for validation and comparison of asset pricing models were made following the model of predictive tests of Fama and MacBeth (1973). This thesis tested 12 liquidity measures, among the most recurrent adopted in the international literature. The results showed strong correlations between many measures, which led to the maintenance of the tests with measures less correlated: BM&FBOVESPA Negotiability Index, Turnover, Return-to-Volume and Coefficient of Variation of Financial Volume. Among these, were observed the existence of a statistically significant premium for liquidity in the Brazilian stock market, in most of the strategies tested, using the BM&FBOVESPA Negotiability Index and the Coefficient of Variation of Financial Volume. These results indicated that there is consistent and negative relationship between portfolio returns and shares liquidity and positive relationship between liquidity and volatility of portfolio returns. Prizes found using the BM&FBOVESPA Negotiability Index were robust to tests of subsamples, subperiods and seasonal effects. Regarding the asset pricing models empirical testing, the 2-factors model proved valid explanation for the cross-section variations of returns of the shares in the Brazilian market. The liquidity factor proved to complement the market beta, increasing the explanatory power of the model when compared to the CAPM, especially in portfolios composed of stocks with low liquidity. The 2-factor model was even superior to 3-factor and 4-factor models. The results have not changed even after the robustness tests regarding possible sample period selection biases. So even though none of the models has been shown enough in explaining the cross-section variations of stock returns in the Brazilian market, the results seem to indicate that liquidity is a particularly promising direction for continued research on the topic.