Banca de DEFESA: Gabriel Augusto de Carvalho

Uma banca de DEFESA de MESTRADO foi cadastrada pelo programa.
DISCENTE : Gabriel Augusto de Carvalho
DATA : 31/05/2019
HORA: 14:00
LOCAL: Sala 201, prédio 20, 2º andar, Campus II, Av. Amazonas, 7675, Belo Horizonte – MG
TÍTULO:

 Liquidity Risk Pricing in Emerging Markets

PALAVRAS-CHAVES:

Liquidity effect. Asset pricing. Pricing factors. Emerging markets. Latin America

PÁGINAS: 120
GRANDE ÁREA: Ciências Sociais Aplicadas
ÁREA: Administração
RESUMO:

The relationship between stock liquidity and its return is a theme widely explored in the literature since the seminal work of Amihud and Mendelson (1986). Among the studies developed with this theme, we highlight the divergence of results among the works developed in the context of emerging markets. Jun, Marathe and Shawky (2003) and Correia, Amaral and Bressan (2008) are examples of authors who find a positive relationship between liquidity and returns, while Machado and Medeiros (2011) and Amihud et al. (2015) find a negative association between these variables in the context of emerging markets. Thus, this dissertation had as general objective to verify if the stock liquidity is a systematic risk factor priced in the capital markets of the emerging countries of Latin America. The initial sample of the study consisted of all stocks traded between June 1, 1999 and June 30, 2017 in the markets of the Latin American countries that were part of the Emerging Markets Index of Morgan Stanley Capital International in August 2018. To measure liquidity were considered two alternative proxies, namely: the Adjusted Illiquidity of Kang and Zhang (2014) and the standardized turnover index proposed by Liu (2006). After calculating these proxies, we tested the inclusion of a liquidity factor for each measure of liquidity in the three-, four-, and five-factor models. By using the Gibbons, Ross and Shanken (1989) test to evaluate the model results, it was observed that, in general, the models that had a liquidity factor presented a better predictive power, and the models with the constructed factor from the standardized turnover presented a greater power of explanation in comparison to the models with the addition of a factor for the liquidity based on adjusted iliquidity. The results of these models were robust in relation to the January effect and, when the sample was considered segmented in two equal periods, it was evidenced that liquidity became a more significant factor in the second half of the time window. When estimating the cross-section regressions, or models of the second step, the results pointed out that no model was able to explain the average return excess of the LHS portfolios. In addition, the highest coefficient of determination obtained for these models was related to the five-factor model with the addition of the factor constructed from the Adjusted Illiquidity.

MEMBROS DA BANCA:
Externo à Instituição - ANTÔNIO ARTUR DE SOUZA - UFMG
Interno - FELIPE DIAS PAIVA
Presidente - HUDSON FERNANDES AMARAL - UFMG
Interno - JULIANO LIMA PINHEIRO - UFMG
Interna - LAISE FERRAZ CORREIA