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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Prêmio de liquidez no Brasil: um estudo sobre sua existência e seus impactos

Gomes, Eduardo da Silveira 31 May 2012 (has links)
Submitted by Eduardo Gomes (esgomes@gmail.com) on 2013-01-15T17:32:40Z No. of bitstreams: 1 FGV MFEE Eduardo Gomes.pdf: 846321 bytes, checksum: 06db422e930bdce11432937d05e9e9c3 (MD5) / Approved for entry into archive by Vitor Souza (vitor.souza@fgv.br) on 2013-01-15T19:37:25Z (GMT) No. of bitstreams: 1 FGV MFEE Eduardo Gomes.pdf: 846321 bytes, checksum: 06db422e930bdce11432937d05e9e9c3 (MD5) / Made available in DSpace on 2013-02-04T17:28:56Z (GMT). No. of bitstreams: 1 FGV MFEE Eduardo Gomes.pdf: 846321 bytes, checksum: 06db422e930bdce11432937d05e9e9c3 (MD5) Previous issue date: 2012-05-31 / 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. / Esse trabalho tem como objetivo investigar a existência de um prêmio de liquidez nas ações brasileiras. Através da construção de portfólios classificados por diferentes medidas de liquidez é possível testar o diferencial esperado de retorno e o risco incorrido. O retorno esperado do portfólio construído com ações menos líquidas é significantemente superior ao retorno do portfólio construído com as mais líquidas e as medidas convencionais de risco (mercado e fatores Fama-French) não explicam este excesso de retorno. Foram testadas diferentes medidas de liquidez sendo a metodologia proposta por Hwang e Lu (2007) aquela onde o efeito é mais considerável. Em conjunto, as evidências mostram a existência de um prêmio de liquidez no Brasil.

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