THE ROLE OF LIQUIDITY AND ITS MULTIPLE DIMENSIONS IN STOCK RETURNS: A STUDY WITH PANEL DATA OF THE BRAZILIAN MARKET
DOI:
https://doi.org/10.19094/contextus.v13i2.451Keywords:
Liquidity. Multidimensionality. Return. Brazilian market. Panel data.Abstract
Considering that the liquidity is a multidimensional measure, this study aims to evaluate the role of the said liquidity, using different measures and verifying if its use influences the results. The paper analyzes the influence of liquidity in stock returns in the Brazilian’s financial market, using the measure proposed by Amihud (2002), as well as the traditional measures, such as financial volume, number of trades, the spread and the turnover. Therefore, we used data from December 1994 to April 2010 of the stocks traded on the Securities, Commodities and Futures Exchange (BM&FBOVESPA). We concluded that the expected market illiquidity, as well as the spread has positive and statistically significant impact on stock returns. Meanwhile, the unexpected market illiquidity, just like the number of trades has a negative and statistically significant impact on the stock returns.
References
ACHARYA, V. V.; PEDERSEN, L. H. Asset pricing with liquidity risk. Journal of Financial Economics, v.77, n.2, p.375-410,2004.
AMIHUD, Y.; MENDELSON, H. Asset pricing and the bid-ask spread. Journal of Financial Economics, v.17, p.223-249, 1986.
AMIHUD, Y.; MENDELSON, H. Liquidity and asset price: financial management
implications. Financial Management, v.17, n.1, p. 5-15, 1988.
AMIHUD, Y.; MENDELSON, H. The effects of beta, bid-ask spread, residual risk, and size on stock returns. Journal of Finance, v.44, n.2, p.479-486, 1989.
AMIHUD, Y.; MENDELSON, H.. Liquidity, assets prices and financial policy. Financial
Analysts Journal, v.47, n.6, p. 56-66, 1991.
AMIHUD, Y. Illiquidity and stock returns: cross-section and time series effects. Journal of Financial Markets, v.5, p.31-56, 2002.
AMIHUD, Y. et al. Liquidity and Asset Prices. . Foundations and Trends in Finance. v. 1. n. 4. p. 269-364.2005.
AMIHUD, Y.; MENDELSON, H. Stock and bond liquidity and its effect on prices and
financial policies. Financial Market Portfolio Management, v. 20, n.1, p. 19-32, 2006.
ARELLANO, M. Panel Data Econometrics, Oxford: Oxford University Press, 2003.
BEKAERT, G.; HARVEY, C. R.; LUNDBLAD, C. Liquidity and expected returns: lessons from emerging markets. 2006. Disponível em: . Acesso em: 17 nov. 2010.
BRENNAN, M. J.; SUBRAHMANYAM, A. Market microstructure and asset pricing: on the compensation for illiquidy in stock returns. Journal of Financial Economics, v.41, p.441-464, 1996.
BRENNAN, M. J.; CHORDIA, T.; SUBRAHMANYAM, A. Alternative factor specifications, security characteristics, and the cross-section of expected stock returns. Journal of Financial Economics, v.49, p.345-373, 1998.
BREUSCH, T.S.; PAGAN, A. R. Simple test for heteroscedasticity and random coefficient variation. Econometrica, v.47 (5), p.1287–1294, 1979.
BRUNI, A. L.; FAMÁ, RÚBENS. Liquidez e avaliação de ativos financeiros: evidências empíricas na BOBESPA (1988-1996). In: XXI I Encontro da ANPAD. Foz do Iguaçu: Anais do XXII Encontro da ANPAD, 1998.
CHERIAN, J. et al. Trading Agents and Liquidity Risk. Journal of Investment management Conference Series, Primavera 2009.
CHORDIA, T., ROLL R. e SUBRAHMANYAM, A. Commonality in liquidity, Journal of
Financial Economics, Vol. 56, 2000.
CHORDIA, T.; ROLL, R.; SUBRAHMANYAM, A. Market liquidity and trading activity. Journal of Finance, v.56, n.2, p. 501-530, 2001.
CORREIA, L. F.; AMARAL, H. F.; BRESSAN, A. A. O efeito da liquidez sobre a rentabilidade de mercado de ações negociadas no mercado acionário brasileiro. BASE – Revista de Administração e Contabilidade da Unisinos, v. 5, n. 2, p. 109-119, 2008.
CORREIA, L. F.; AMARAL, H. F. Determinantes da liquidez de mercado das ações negociadas na BOVESPA. In: XII Encontro Brasileiro de Finanças. São Paulo. Anais do XII Encontro Brasileiro de Finanças da Sociedade Brasileira de Finanças, 2012a.
CORREIA, L. F.; AMARAL, H. F. A influência da liquidez das ações sobre o retorno no mercado acionário brasileiro. In: XII Encontro Brasileiro de Finanças. São Paulo. Anais do XII Encontro Brasileiro de Finanças da Sociedade Brasileira de Finanças, 2012b.
COSTA JR., N.C.A. da NEVES, M.B.E. Variáveis fundamentalistas e retornos de ações.
Revista Brasileira de Economia, FGV, 54 (1), p. 123-137, jan./mar., 2000.
DATAR, V. T.; NAIK, N. Y.; RADCLIFFE, R. Liquidity and stock returns: an alternative test. Journal of Financial Markets, v.1,n.2, p.203-219, 1998.
EASLEY, D. et al. Is information risk a determinant of asset returns? The Journal of Finance, v. 57, n. 5, p. 2185-2221, 2002.
FAMA, E. F.; FRENCH, K. R. The cross sectiom of expected stock returns. Journal of Finance, v.47,n.2, p.427-465, 1992.
FAMA, E. F.; FRENCH, K. R. Common risk faCtors in the returns on stocks and bonds. Journal of Financial Economics, v.33,n.1, p.3-56, 1993.
FAMA, E.; MACBETH, J. Risk, return and equilibrium: emprical tests. Journal of Political Economy, v.71,n.3, p.607-636, 1973.
FRENCH, K. R.; SCHWERT, G. W.; STAMBAUGH, R. F. Expected stock returns and volatility. Journal of Financial Economics, v.19, n.1, p.3-29, 1987.
GIBSON, R.; MOUGEOT, N. The pricing of systematic liquidity risk: empirical evidence from the US stock market. Journal of Banking and Finance, v.28, n.1, p.157-178, 2004.
GLOSTEN, L. R.; HARRIS, L. Estimating the components os the bid-ask spread. Journal of Financial Economics, v.21, n.1, p.123-142, 1988.
HASBROUCK, J.; SEPPI, D. Common factors in prices, order flows, and liquidity. Journal of Financial Economics, v.59, n.3, p.383-411, 2001.
HAUSMAN, J. A. Specification tests in econometrics. Econometrica, v.46, n.6, p.1251–1271, 1978.
HODRICK L. S. e MOULTON P. C. Liquidity: Considerations of a portfolio manager. Financial Management, v. 38, n.1, p.59-74, 2009.
HUBERMAN, G.; HALKA, D. Systematic liquidity. Journal of Financial Research, v.24,n.2, p.161-178, 2001.
HWANG, S.; LU, C. Cross-sectional stock returns in the UK market: the role of liquidity risk. 2009. Disponível em: . Acesso em 28 out. 2010.
JUN, S.; MARATHE, A., SHAWKY, H.A. 2003. Liquidity and stock returnsin emerging markets. Emerging Markets Review, 4(1) :p.1-24.
KENDALL, M.G., 1954. Note on bias in the estimation of autocorrelation. Biometrika v41,n.(3-4) p 403–404.
KYLE, A. S. Continuous auctions and insider trading. Econometrica, v.53, n.6, p.1315-1335, 1985.
LIU, W. A liquidity-augmented capital asset pricing model. Journal of Financial
Economics, v.82, n.3, p.631-671, 2006.
LIU, W. The liquidity-augmented CAPM over 1926 to 1963. 2008. Disponível em: . Acesso em: 10 nov. 2010.
MACHADO, M. A. V.; MEDEIROS, O. R. Modelos de Precificação de Ativos e o Efeito Liquidez: Evidências Empíricas no Mercado Acionário Brasileiro. Revista Brasileira de Finanças, v. 9, n.3, p. 383-412, 2011.
MARSHALL, B. R.; YOUNG, M. Liquidity and stock returns in pure order-driven markets: evidence from Australian stock market. International Review of Financial Analysis, v. 12, n.2, p.173-188, 2003.
MARTÍNEZ, M. A.; NIETO, B.; RUBIO, G.; TAPIA, M. Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market. International Review of Economics and Finance, v. 14,n.1, p.81-103, 2005.
MERTON, R. C. A simple model of capital market equilibrium with incomplete information. Journal of Finance, v.42, n.3, p.483-511, 1987.
MINARDI, A. M.; SANVICENTE, A. Z.; MONTEIRO, R. Spread de compra e venda no mercado acionário brasileiro, liquidez, assimetria de informação e prêmio por liquidez. In: V Encontro Brasileiro de Finanças. Rio de Janeiro. Anais do V Encontro Brasileiro de Finanças da Sociedade Brasileira de Finanças. Rio de Janeiro 2005.
NAGANO, M.S.; MERLO, E.M; da SILVA, M.C. As variáveis fundamentalistas e seus impactos na taxa de retorno de ações no Brasil. Revista FAE, Curitiba, vol. 6,n.2, p. 13-28, 2003.
O’HARA, M. Market microstructure theory, Malden : Blackwell Publishers Ltd.1999
PASTOR, L.; STAMBAUGH, R. F. Liquidity risk and expected stock returns. Journal of Political Economy, v.111,n.3, p. 642-685, 2003.
REDDING, L.S.. Firm size and dividend payouts. Journal of Financial Intermediation, v. 6, n.3, p224–248,1977.
SANVICENTE, A.Z.; MINARDI, A.M.F. A liquidez é relevante no mercado de ações? Resenha BM&F, n. 128, p. 35-55, 1998.
SCHOLES, M., WILLIAMS, J.Estimating betas from non-synchronous data. Journal of Financial Economics v.5, n.3, p.309–327, 1977.
SCHOR, A; BONOMO, M. A; PEREIRA, P. L. V. Arbitrage Pricing Theory (APT) e Variáveis Macroeconômicas: Um Estudo Empírico Sobre o Mercado Acionário Brasileiro. Revista de Economia e Administração, v. 1, n. 1, p. 38-63, 2002.
SHARPE, W. F., ALEXANDER, G. J.; BAILEY, J. V. Investments. 5ª ed., New Jersey, Prentice Hall, 1998.
VIEIRA, K. M.; MILACH, F. T. Liquidez/iliquidez no mercado brasileiro: comportamento no período 1995-2005 e suas relações com o retorno. Revista de Administração e Contabilidade da Unisinos, v.5,n.1, p.5-16, 2008.
XAVIER, C., N. A precificação da liquidez no mercado brasileiro de ações. Dissertação de Mestrado apresentada ao curso de Mestrado Profissionalizante em Economia. 2007. Disponível em <http://tede.ibmecsp.edu.br/tde_busca/arquivo. php?codArquivo=19>. Acesso em: 16 nov. 2010.
ZHANG, F.; TIAN, Y.; WIRJANTO, T. S. Empirical tests of the float-adjusted return model. Finance Research Letters, v.6,n.4, p. 219-229, 2009.
Downloads
Published
How to Cite
Issue
Section
License
The authors, while doing the submission, accept the notice below:
We authors hold the copyright related to our paper and transfer Contextus journal the right for the first publication with a Creative Commons’ international license of the modality Attribution – Non-commercial 4.0, which in turn allows the paper to be shared providing that both the authorship and the journal’s right for initial release are acknowledged.
Furthermore, we are aware of our permission to take part in additional contracts independently for non-exclusive distribution of the version of our work published in this journal (e.g. publishing it in an institutional repository or as a book chapter), while acknowledging both the authorship and the journal’s initial publication.
We also certify that the paper is original and up to this date has not been released in any other journal, Brazilian or of another nationality, either in Portuguese or another language, as well as it has not been sent for simultaneous publication in other journals.
Last, we not only know that plagiarism is not tolerated by Contextus but also certify the paper presents the sources of passages from cited works, including those authored by ourselves.
3.png)
1.jpg)
1.jpg){kind=small}
1.jpg)
1.jpg)
.jpg)
1.jpg)
1.jpg)
1.jpg)
1.jpg)
1.jpg)
2.png)
1.jpg)
2.jpg)
1.jpg)
1.jpg)
1.jpg)
1.jpg)
