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

Detalhes bibliográficos
Ano de defesa: 2012
Autor(a) principal: Gomes, Eduardo da Silveira
Orientador(a): Simonsen, Axel André
Banca de defesa: Não Informado pela instituição
Tipo de documento: Dissertação
Tipo de acesso: Acesso aberto
Idioma: por
Instituição de defesa: Não Informado pela instituição
Programa de Pós-Graduação: Não Informado pela instituição
Departamento: Não Informado pela instituição
País: Não Informado pela instituição
Palavras-chave em Português:
Palavras-chave em Inglês:
Link de acesso: https://hdl.handle.net/10438/10460
Resumo: 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.
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spelling Gomes, Eduardo da SilveiraEscolas::EPGEFGVPessoa, Marcelo de SalesAlmeida, Caio Ibsen Rodrigues deSimonsen, Axel André2013-02-04T17:28:56Z2013-02-04T17:28:56Z2012-05-31GOMES, Eduardo da Silveira. Prêmio de liquidez no Brasil: um estudo sobre sua existência e seus impactos. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2012.https://hdl.handle.net/10438/10460This 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.porPorfólioRanqueamentoRiscoRetornoPrêmio de liquidezLiquidity premiumPorfolioRankingRiskReturnEconomiaLiquidez (Economia)Ações (Finanças)Fundos de investimentoPrêmio de liquidez no Brasil: um estudo sobre sua existência e seus impactosinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALFGV MFEE Eduardo Gomes.pdfFGV MFEE Eduardo Gomes.pdfPDFapplication/pdf846321https://repositorio.fgv.br/bitstreams/10446ec8-1058-45ef-b201-25e292e2ad9f/download06db422e930bdce11432937d05e9e9c3MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/f1cc69f0-05a0-48f8-a43e-ecabfe4950e5/downloaddfb340242cced38a6cca06c627998fa1MD52TEXTFGV MFEE Eduardo Gomes.pdf.txtFGV MFEE Eduardo Gomes.pdf.txtExtracted 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dc.title.por.fl_str_mv Prêmio de liquidez no Brasil: um estudo sobre sua existência e seus impactos
title Prêmio de liquidez no Brasil: um estudo sobre sua existência e seus impactos
spellingShingle Prêmio de liquidez no Brasil: um estudo sobre sua existência e seus impactos
Gomes, Eduardo da Silveira
Porfólio
Ranqueamento
Risco
Retorno
Prêmio de liquidez
Liquidity premium
Porfolio
Ranking
Risk
Return
Economia
Liquidez (Economia)
Ações (Finanças)
Fundos de investimento
title_short Prêmio de liquidez no Brasil: um estudo sobre sua existência e seus impactos
title_full Prêmio de liquidez no Brasil: um estudo sobre sua existência e seus impactos
title_fullStr Prêmio de liquidez no Brasil: um estudo sobre sua existência e seus impactos
title_full_unstemmed Prêmio de liquidez no Brasil: um estudo sobre sua existência e seus impactos
title_sort Prêmio de liquidez no Brasil: um estudo sobre sua existência e seus impactos
author Gomes, Eduardo da Silveira
author_facet Gomes, Eduardo da Silveira
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.member.none.fl_str_mv Pessoa, Marcelo de Sales
Almeida, Caio Ibsen Rodrigues de
dc.contributor.author.fl_str_mv Gomes, Eduardo da Silveira
dc.contributor.advisor1.fl_str_mv Simonsen, Axel André
contributor_str_mv Simonsen, Axel André
dc.subject.por.fl_str_mv Porfólio
Ranqueamento
Risco
Retorno
Prêmio de liquidez
topic Porfólio
Ranqueamento
Risco
Retorno
Prêmio de liquidez
Liquidity premium
Porfolio
Ranking
Risk
Return
Economia
Liquidez (Economia)
Ações (Finanças)
Fundos de investimento
dc.subject.eng.fl_str_mv Liquidity premium
Porfolio
Ranking
Risk
Return
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Liquidez (Economia)
Ações (Finanças)
Fundos de investimento
description 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.
publishDate 2012
dc.date.issued.fl_str_mv 2012-05-31
dc.date.accessioned.fl_str_mv 2013-02-04T17:28:56Z
dc.date.available.fl_str_mv 2013-02-04T17:28:56Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
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dc.identifier.citation.fl_str_mv GOMES, Eduardo da Silveira. Prêmio de liquidez no Brasil: um estudo sobre sua existência e seus impactos. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2012.
dc.identifier.uri.fl_str_mv https://hdl.handle.net/10438/10460
identifier_str_mv GOMES, Eduardo da Silveira. Prêmio de liquidez no Brasil: um estudo sobre sua existência e seus impactos. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2012.
url https://hdl.handle.net/10438/10460
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