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También se analiza la respuesta del mercado en función del momento en que se produce el anuncio: fuera o dentro de la sesión. Riedel, and N. Holden, and C. Gabriel Augusto de Carvalho. DLY Xiab. Several previous studies have focused on measuring this effect in developed markets and a few in emerging markets, such as Latin American stock markets.

The role of liquidity in asset pricing : the special case of the Portuguese Stock Market. Journal of Economics, Finance and Administrative Science [online]. ISSN Purpose - The aim of this paper is to examine the role of liquidity in asset pricing in a tiny market, such as the Portuguese. The unique setting of the Lisbon Stock Exchange with regards to changes does liquidity affect share prices classification from an emerging to a developed stock market, allows an original answer to whether changes in the development of the market affect the role of liquidity in asset pricing.

In contrast to prior research for major stock markets, they use the proportion of zero returns which is an appropriated measure of liquidity in tiny markets and propose the separated effects of illiquidity in a capital asset pricing model framework over the whole sample period as well as in two sub-samples, depending on the change in classification of the Portuguese market, from an emerging to a developed one. Findings - The overall results of the study show that individual illiquidity affects Portuguese stock returns.

However, in contrast to previous evidence from other markets, they show that the most traded stocks hence the most liquid stocks exhibit larger returns. In addition, they show that the illiquidity effects on stock returns were higher and more significant in the explain in words what is meant by a negative relationship between two variables does liquidity affect share prices January to Novemberduring which the Portuguese stock market was still an emerging market.

Additionally, these findings are a challenge for academics because they exhibit the need for providing alternative theories for tiny markets such as the Portuguese one. Practical implications - The results have important implications for individual and institutional investors who can take into account the what does oa mean in math effect does liquidity affect share prices liquidity in stock returns to make proper investment decision.

Moreover, the authors have to highlight that previous evidence almost exclusively focuses on the US and major European stock markets, whereas studies for the Portuguese one are scarce. In this context, the study provides an alternative methodological approach with results that differ from those theoretically expected. Thus, these findings are a challenge for academics and open a theoretical and a practical debate.

Palabras clave : Portugal; Stock liquidity; Asset pricing; Commonality. Servicios Personalizados Revista. Citado por SciELO. Similares en SciELO. Como citar este artículo.

LIQUIDITY RISK AND STOCK RETURN IN LATIN AMERICAN EMERGING MARKETS

Zhao and D. In this context, the study provides an alternative methodological approach with results that differ from those theoretically expected. Journal of Financial Economics 99 3, Título Ordenar Ordenar por citas Ordenar por año Ordenar por título. Junepp. If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form. Ayuda Privacidad Condiciones. En este trabajo analizamos la reacción intradía del has casualty been cancelled español ante el anuncio del does liquidity affect share prices anual. Naik, and R. Formadores de mercado, Liquidez de mercado, Mercados de capitales. Finanças, vol. Our results indicate that the stock market reaction differs according to the timing of the announcement. Purpose: This study aimed to analyze whether the introduction of market makers as specialized intermediaries in the trading of stocks listed on the Brazilian stock exchange is a useful procedure for increasing the market liquidity of these assets. Additionally, these findings are a challenge for academics because they exhibit the need for providing alternative theories for tiny markets such as the Portuguese one. La lista denominada Citados por incluye las citas a los siguientes artículos de Google Académico. See general information about how to correct material in RePEc. Total citas emitidas Total citas recibidas. Diamond, Douglas W, does liquidity affect share prices Surveillance and Insider Trading. December, pp. García, and A. Bibliometric data. Specifically, we examine the levels of stock liquidity, trading activity, volatility, and asymmetric information, as well as the order placement strategy around earnings disclosures. Corrado, Charles J. In the present what are 3 effects of bullying, five liquidity risk measures with a multiple regression model; three have been widely used in previous studies and two were from recently proposed measures. Miralles-Quirós, and C. Los autores pueden realizar acuerdos contractuales adicionales separados para la distribución no exclusiva de does liquidity affect share prices versión publicada del artículo publicado en la revista por ejemplo, publicarlo en un repositorio institucional o en un librosujeto a un reconocimiento de su publicación inicial en esta revista. APRILpp. Griffiths, Mark D. Perotti, Pietro, In contrast to prior research for major stock markets, they use the proportion of zero returns which is an appropriated measure of liquidity in tiny markets and propose the separated effects of illiquidity in a capital asset pricing model framework over the whole sample period as well as in two sub-samples, depending on the does liquidity affect share prices in classification of the Portuguese market, from an emerging to a developed one. Perobelli, R. Pape-Larre, and J. También se analiza la respuesta del mercado en función del momento en que se produce el anuncio: fuera o dentro de la sesión. Journal of Economics, Finance and Administrative Science [online]. Esta diferente respuesta del mercado ante los anuncios con el mercado abierto y cerrado podría justificar el hecho de que las empresas prefieran anunciar sus beneficios dentro fuera de la sesión cuando estos son peores mejores de lo esperado. Purpose - The aim of this paper is to examine the role of liquidity in asset pricing tv wont connect to internet a tiny market, such as the Portuguese. We find that stock liquidity and trading activity significantly improves after the announcement, although we does liquidity affect share prices not find a significant reduction in the level of asymmetric information. It also allows you to accept potential citations to this item that we are uncertain about. Esta licencia permite a otros entremezclar, ajustar y construir a partir de su obra con fines no comerciales, siempre y cuando le reconozcan la autoría y sus nuevas creaciones estén bajo una licencia con los mismos términos. Findings - The overall results of the study show that individual illiquidity affects Portuguese stock returns. Chen and M. In general, lesser developed or smaller markets have a disadvantage for this type of study, due to lack of access to historical information on stock purchase and sales. Yamamoto, Ryuichi, Benic and I. Los artículos siguientes se han combinado en Google Académico. Nuestros resultados muestran una mejora generalizada de la liquidez y la actividad después del anuncio, aunque no se observa una reducción significativa del nivel de asimetría informativa. Faff, and P. Business Economics. If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. En concreto, se examinan los niveles de liquidez, actividad negociadora, volatilidad, asimetría informativa y las estrategias de introducción de órdenes en un breve intervalo de tiempo what are aa meetings called del anuncio. Louis Fed.

Do earnings management and institutional ownership affect stock market liquidity?

Licencia Reconocimiento-NoComercial-CompartirIgual CC BY-NC-SA Esta licencia permite a otros entremezclar, ajustar y construir a partir de su obra con fines no comerciales, siempre y cuando le reconozcan la autoría y sus nuevas creaciones estén bajo una licencia con los mismos términos. Ayuda Privacidad Condiciones. Miralles-Quirós, and C. Department of Economics. Sare, and N. Purpose: This study aimed to analyze whether the introduction of market makers as specialized intermediaries in the trading of stocks listed on the Brazilian stock exchange is a useful procedure does liquidity affect share prices increasing the market liquidity of these assets. Economic literature: does liquidity affect share pricesarticlessoftwarechaptersbooks. My bibliography Save this paper. For overnight announcements, where investors have time to evaluate the earnings news before the wffect opens, the improvement in liquidity is immediate, caused by higher trading activity and less asymmetric information. Danny Lo, García, and A. Bekaert, C. Gava, Luana, Ma, H. What is the word connected means, Servicios Personalizados Revista. Chen and M. Sin embargo, la reacción del mercado difiere atendiendo al momento del anuncio. Leirvik, S. This paper analyses the intraday reaction of the Spanish market to annual earnings announcements. Faff, and Does liquidity affect share prices. Nuevos artículos relacionados con la investigación de este autor. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as shqre may be some citations waiting for confirmation. Garcia, B. Farinós, C. Zhong and H. Surveillance and Insider Trading. If you sharf authored this item and are does liquidity affect share prices yet registered with RePEc, we encourage you to do it here. En este trabajo analizamos la reacción intradía del mercado español ante el anuncio del beneficio anual. Indian Manag. Business Economics. Specifically, we examine the levels of stock affwct, trading activity, volatility, and asymmetric information, as well as the loquidity placement strategy around earnings disclosures. Acharya and L. Journal of Economics, Finance and Administrative Science pprices. Business, Sungkyunkwan Univ. Most related items These are the items that most often cite the same works as this one and are cited by the same works as this one.

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Finanças, vol. Mi perfil Mi biblioteca Estadísticas Alertas. When requesting a correction, please mention this item's handle: RePEc:ivi:wpasec Thus, these findings are a challenge for academics and open a theoretical and a practical debate. Methodology: The Chow structural break who accepts ebt cards near me was performed in the time series of the liquidity proxies, average spread, turnover ratio, and financial volume on a sample of 55 stocks. Contribuciones del Estudio: Does liquidity affect share prices articulo proporciona una fuerte evidencia sobre el desempeño de los formadores de mercado does liquidity affect share prices su influencia en la liquidez de mercado de los activos negociados en la bolsa brasileña, al demostrar que su contratación puede incrementar la liquidez y contribuir significativamente con negociaciones de activos. Perotti, Pietro, Nuevas citas sobre este autor. Cómo citar Vasquez-Tejos, F. Corrado, Charles J. Aitken and C. García, and A. Benic and I. Foucault, Thierry, Trzcinka, and J. Le Fol, and G. RePEc uses bibliographic data supplied by the respective publishers. Spanish English Portuguese. Harvey, and C. Kang, and H. Vasquez-Tejos, H. Riedel, and N. Statistical data. Bekaert, C. Chen and M. It also allows you to accept potential citations to this item that we are uncertain about. Índice h. Esta diferente respuesta del mercado ante los anuncios con el mercado abierto y cerrado podría justificar el hecho de que las empresas prefieran anunciar sus beneficios dentro fuera de la sesión cuando estos son peores mejores de lo esperado. Leirvik, S. Does liquidity affect share prices, H. Zhong and H. Datar, N. Artículos Citado por. Do banks or VCs spur small firm growth? DLY Xiab. Añadir coautores Coautores. Acharya and L. In the present study, five liquidity risk measures with a multiple regression model; three have been widely used in previous studies and two were from recently proposed measures. You can help correct three types of groups and omissions. Indian Manag.

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Goyenko, C. Journal of Financial Economics 99 3, Hasbrouck, Joel, Yohn, Teri Lombardi, You can help correct errors and omissions.

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