Asset Pricing and liquidity risk in the Chilean Stock Market

被引：0
|
作者：
Lamothe Fernandez, Prosper [1 ]
Vasquez Tejos, Francisco Javier [2 ]
机构：
[1] Univ Autonoma Madrid, Catedratico Econ Financiera, 5 Carretera Colmenar Viejo Km 15,5, Madrid 28049, Spain
[2] Univ Autonoma Madrid, Ciencias Empresari, Madrid 28049, Spain
来源：
AESTIMATIO-THE IEB INTERNATIONAL JOURNAL OF FINANCE | 2011年 / 03期
关键词：
Liquidity risk; Liquidity; Asset valuation;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper studies whether or not a premium exists for the risk of liquidity in the Chilean stock market. Using the methodology in Fama and French (1993), liquidity risk factors are constructed on the basis of 4 indexes which evaluate various models. The results show the existence of a premium for liquidity risk, but this is captured by more than a liquidity risk factor.
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页数：23
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