ABSTRACT

This paper aims to analyze whether the liquidity risk is priced in Latin-American emerging stock markets. For that, we test the performance of the liquidity augmented version of Fama-French three and five factor models and Carhart four factor model since there is not yet a consensus about their suitability for these markets. Two versions of a liquidity factor were constructed based on two proxies that consider different dimensions of liquidity and are more appropriate for low frequency data. The GRS statistics showed Latin American average returns are better explained by the liquidity augmented Fama-French five-factor model. When estimated by GMM-IV_d, due to the possible endogenous problems caused by liquidity, the results of the models did not significantly change. The results were robust to the January Effect. Furthermore, when the sample period was divided into two subperiods, both were statistically significant, although the explanatory power was greater in the second subperiod.

摘要

本文旨在分析拉丁美洲新兴股票市场的流动性风险是否被定价。为此，我们测试了 Fama-French 三、五因子模型和 Carhart 四因子模型的流动性增强版本的性能，因为尚未就它们对这些市场的适用性达成共识。基于两个代理构建了两个版本的流动性因子，这些代理考虑了流动性的不同维度并且更适合低频数据。GRS 统计数据显示，流动性增强的 Fama-French 五因子模型可以更好地解释拉丁美洲的平均回报。当通过 GMM-IV _d估计时_，由于流动性可能引起的内生性问题，模型结果没有发生显着变化。结果对一月效应是稳健的。此外，当样本期被分为两个子期时，两者都具有统计显着性，尽管第二个子期的解释力更大。