Disentangling the relationship between liquidity and returns in Latin America

We dissect the impact of liquidity on returns of Latin American firms using a detailed dataset of firm characteristics over various market cycles. We find that firm-level liquidity (illiquidity) is positively (negatively) associated with returns. Further analysis reveals that global illiquidity and...

Full description

Autores:
French, Joseph J.
Taborda Ríos, Rodrigo
Tipo de recurso:
Work document
Fecha de publicación:
2017
Institución:
Universidad de los Andes
Repositorio:
Séneca: repositorio Uniandes
Idioma:
eng
OAI Identifier:
oai:repositorio.uniandes.edu.co:1992/8719
Acceso en línea:
http://hdl.handle.net/1992/8719
Palabra clave:
Liquidity
Illiquidity
Latin America
VIX
Financial crisis
Ciclos económicos - América Latina
Liquidez internacional - América Latina
Crisis financiera - América Latina
Rentabilidad - América Latina
G01, G15, G02, F30
Rights
openAccess
License
http://creativecommons.org/licenses/by-nc-nd/4.0/
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spelling Al consultar y hacer uso de este recurso, está aceptando las condiciones de uso establecidas por los autores.http://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2French, Joseph J.ff328275-34e6-438f-979a-5734d41f3fd1500Taborda Ríos, Rodrigo106586002018-09-27T16:56:19Z2018-09-27T16:56:19Z20171657-5334http://hdl.handle.net/1992/87191657-719110.57784/1992/8719instname:Universidad de los Andesreponame:Repositorio Institucional Sénecarepourl:https://repositorio.uniandes.edu.co/We dissect the impact of liquidity on returns of Latin American firms using a detailed dataset of firm characteristics over various market cycles. We find that firm-level liquidity (illiquidity) is positively (negatively) associated with returns. Further analysis reveals that global illiquidity and endogenously determined crisis periods are negatively associated with returns. Our results are in contrast to the majority of the literature on developed markets and indicate that liquidity is less of an important risk factor in Latin America. Our results suggest that improvements in firm-level liquidity will enhance returns and reduce the vulnerability of returns to global illiquidity.27 páginasapplication/pdfengUniversidad de los Andes, Facultad de Economía, CEDEDocumentos CEDE No. 32 Abril de 2017https://ideas.repec.org/p/col/000089/015606.htmlDisentangling the relationship between liquidity and returns in Latin AmericaDocumento de trabajoinfo:eu-repo/semantics/workingPaperhttp://purl.org/coar/resource_type/c_8042http://purl.org/coar/version/c_970fb48d4fbd8a85Texthttps://purl.org/redcol/resource_type/WPLiquidityIlliquidityLatin AmericaVIXFinancial crisisCiclos económicos - América LatinaLiquidez internacional - América LatinaCrisis financiera - América LatinaRentabilidad - América LatinaG01, G15, G02, F30Facultad de EconomíaPublicationTEXTdcede2017-32.pdf.txtdcede2017-32.pdf.txtExtracted texttext/plain71850https://repositorio.uniandes.edu.co/bitstreams/b5820768-2b20-4454-9a3e-3c8ea5aa7c2d/downloadb0439ae0833a9c64e1635d0409726decMD54ORIGINALdcede2017-32.pdfdcede2017-32.pdfapplication/pdf527708https://repositorio.uniandes.edu.co/bitstreams/d7ea7b1d-c98f-4871-bebc-cad0994dc52e/download391401dd62de5ee3090d8dc044d97008MD51THUMBNAILdcede2017-32.pdf.jpgdcede2017-32.pdf.jpgIM Thumbnailimage/jpeg10414https://repositorio.uniandes.edu.co/bitstreams/c32df054-89fb-472f-8573-4a367c934967/downloadea593479f098d9e00efe46b114f0ca8bMD551992/8719oai:repositorio.uniandes.edu.co:1992/87192024-06-04 15:25:37.367http://creativecommons.org/licenses/by-nc-nd/4.0/open.accesshttps://repositorio.uniandes.edu.coRepositorio institucional Sénecaadminrepositorio@uniandes.edu.co
dc.title.none.fl_str_mv Disentangling the relationship between liquidity and returns in Latin America
title Disentangling the relationship between liquidity and returns in Latin America
spellingShingle Disentangling the relationship between liquidity and returns in Latin America
Liquidity
Illiquidity
Latin America
VIX
Financial crisis
Ciclos económicos - América Latina
Liquidez internacional - América Latina
Crisis financiera - América Latina
Rentabilidad - América Latina
G01, G15, G02, F30
title_short Disentangling the relationship between liquidity and returns in Latin America
title_full Disentangling the relationship between liquidity and returns in Latin America
title_fullStr Disentangling the relationship between liquidity and returns in Latin America
title_full_unstemmed Disentangling the relationship between liquidity and returns in Latin America
title_sort Disentangling the relationship between liquidity and returns in Latin America
dc.creator.fl_str_mv French, Joseph J.
Taborda Ríos, Rodrigo
dc.contributor.author.none.fl_str_mv French, Joseph J.
Taborda Ríos, Rodrigo
dc.subject.keyword.none.fl_str_mv Liquidity
Illiquidity
Latin America
VIX
Financial crisis
topic Liquidity
Illiquidity
Latin America
VIX
Financial crisis
Ciclos económicos - América Latina
Liquidez internacional - América Latina
Crisis financiera - América Latina
Rentabilidad - América Latina
G01, G15, G02, F30
dc.subject.armarc.none.fl_str_mv Ciclos económicos - América Latina
Liquidez internacional - América Latina
Crisis financiera - América Latina
Rentabilidad - América Latina
dc.subject.jel.none.fl_str_mv G01, G15, G02, F30
description We dissect the impact of liquidity on returns of Latin American firms using a detailed dataset of firm characteristics over various market cycles. We find that firm-level liquidity (illiquidity) is positively (negatively) associated with returns. Further analysis reveals that global illiquidity and endogenously determined crisis periods are negatively associated with returns. Our results are in contrast to the majority of the literature on developed markets and indicate that liquidity is less of an important risk factor in Latin America. Our results suggest that improvements in firm-level liquidity will enhance returns and reduce the vulnerability of returns to global illiquidity.
publishDate 2017
dc.date.issued.none.fl_str_mv 2017
dc.date.accessioned.none.fl_str_mv 2018-09-27T16:56:19Z
dc.date.available.none.fl_str_mv 2018-09-27T16:56:19Z
dc.type.spa.fl_str_mv Documento de trabajo
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dc.type.driver.spa.fl_str_mv info:eu-repo/semantics/workingPaper
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dc.type.content.spa.fl_str_mv Text
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format http://purl.org/coar/resource_type/c_8042
dc.identifier.issn.none.fl_str_mv 1657-5334
dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/1992/8719
dc.identifier.eissn.none.fl_str_mv 1657-7191
dc.identifier.doi.none.fl_str_mv 10.57784/1992/8719
dc.identifier.instname.spa.fl_str_mv instname:Universidad de los Andes
dc.identifier.reponame.spa.fl_str_mv reponame:Repositorio Institucional Séneca
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identifier_str_mv 1657-5334
1657-7191
10.57784/1992/8719
instname:Universidad de los Andes
reponame:Repositorio Institucional Séneca
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url http://hdl.handle.net/1992/8719
dc.language.iso.none.fl_str_mv eng
language eng
dc.relation.ispartofseries.none.fl_str_mv Documentos CEDE No. 32 Abril de 2017
dc.relation.repec.spa.fl_str_mv https://ideas.repec.org/p/col/000089/015606.html
dc.rights.uri.*.fl_str_mv http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.rights.accessrights.spa.fl_str_mv info:eu-repo/semantics/openAccess
dc.rights.coar.spa.fl_str_mv http://purl.org/coar/access_right/c_abf2
rights_invalid_str_mv http://creativecommons.org/licenses/by-nc-nd/4.0/
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.extent.none.fl_str_mv 27 páginas
dc.format.mimetype.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidad de los Andes, Facultad de Economía, CEDE
publisher.none.fl_str_mv Universidad de los Andes, Facultad de Economía, CEDE
institution Universidad de los Andes
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