The pricing of liquidity risk in the colombian stock market

El documento analiza el impacto del riesgo de liquidez en la determinación de los precios de los activos financieros en el mercado de valores de Colombia.

Autores:: Machuca Acevedo, Daniel

Tipo de recurso:

Fecha de publicación:: 2021

Institución:: Universidad de los Andes

Repositorio:: Séneca: repositorio Uniandes

Idioma:: eng

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dc.title.none.fl_str_mv	The pricing of liquidity risk in the colombian stock market
title	The pricing of liquidity risk in the colombian stock market
spellingShingle	The pricing of liquidity risk in the colombian stock market Liquidez Mercado de capitales CAPM Finanzas Factores de riesgo Riesgo de liquidez Mercado de capitales Finanzas Riesgo (Economía) Liquidez (Economía) Colombia Modelo de tasación de activo fijo Economía
title_short	The pricing of liquidity risk in the colombian stock market
title_full	The pricing of liquidity risk in the colombian stock market
title_fullStr	The pricing of liquidity risk in the colombian stock market
title_full_unstemmed	The pricing of liquidity risk in the colombian stock market
title_sort	The pricing of liquidity risk in the colombian stock market
dc.creator.fl_str_mv	Machuca Acevedo, Daniel
dc.contributor.advisor.none.fl_str_mv	Melguizo Uribe, Jorge Hernán
dc.contributor.author.none.fl_str_mv	Machuca Acevedo, Daniel
dc.contributor.jury.none.fl_str_mv	Riascos Villegas, Álvaro José Jara Pinzón, Diego
dc.subject.keyword.none.fl_str_mv	Liquidez Mercado de capitales CAPM Finanzas Factores de riesgo Riesgo de liquidez
topic	Liquidez Mercado de capitales CAPM Finanzas Factores de riesgo Riesgo de liquidez Mercado de capitales Finanzas Riesgo (Economía) Liquidez (Economía) Colombia Modelo de tasación de activo fijo Economía
dc.subject.armarc.none.fl_str_mv	Mercado de capitales Finanzas Riesgo (Economía) Liquidez (Economía) Colombia Modelo de tasación de activo fijo
dc.subject.themes.es_CO.fl_str_mv	Economía
description	El documento analiza el impacto del riesgo de liquidez en la determinación de los precios de los activos financieros en el mercado de valores de Colombia.
publishDate	2021
dc.date.issued.none.fl_str_mv	2021-12-06
dc.date.accessioned.none.fl_str_mv	2022-04-20T13:18:01Z
dc.date.available.none.fl_str_mv	2022-04-20T13:18:01Z
dc.type.spa.fl_str_mv	Trabajo de grado - Maestría
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dc.language.iso.es_CO.fl_str_mv	eng
language	eng
dc.relation.references.es_CO.fl_str_mv	Acharya, V. V., & Pedersen, L. (2005). Asset pricing with liquidity risk. Journal of Financial Economics. Agudelo, D. (2010). Liquidez en los mercados accionarios colombianos: cuánto hemos avanzado en los últimos 10 años. Documentos de trabajo Economía y Finanzas. Centro de investigaciones económicas y financieras. Universidad EAFIT. Aitken, M. and Comerton-Forde, C. (2003) How Should Liquidity Be Measured? Pacific-Basin Finance Journal, 11, 45-59. Altay, E. & Calgici, S. (2019) Liquidity adjusted capital asset pricing model in an emerging market: Liquidity risk in Borsa Istanbul. Borsa Istanbul Review. Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets. Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics. Amihud, Y., & Mendelson, H. (1991). Liquidity, Asset Prices, and Financial Policy. Financial Analyst Journal, 47, 56-66. Amihud, Y., & Mendelson, H. (2008). Liquidity, the value of the firm, and corporate finance. Journal of Applied Corporate Finance, 20(2), pp 32-45. Ang, A., Liu, J., & Schwarz, K. (2008). Using Stocks or Portfolios in Test of Factor Models. Batten, J.A., and Vo, X.V. (2014) Liquidity and Return Relationships in an Emerging Market. Emerging Markets Finance and Trade, 50, 5-21. Bekaert, G., Harvey, C. & Lundbland, C. (2007) Liquidity and expected returns: Lessons from emerging markets. Review of Financial Studies. Burkart, M., Gromb, D. and Panunzi, F. (1997) Large Shareholders, Monitoring, and the Value of the Firm. The Quarterly Journal of Economics, 112, 693-728 Burbano, A. (1997) El modelo CAPM en Colombia. Bogotá, Colombia. Universidad de los Andes. Banz, R. W. (1981). The relative efficiency of various portfolios: Some further evidence: Discussion. The Journal of Finance. Cheriyan, N. K. & Lazar, D. (2017). Liquidity-adjusted Capital Asset Pricing Model in Indian Stock Market. SCMS Journal of Indian Management. Chordia, T., Roll, R., & Subrahmanyam, A. (2000). Commonality in liquidity. Journal of Financial Economics, 73, 3-28. Cooper, S. K., Groth, J. C., & Avera, W. E. (1985). Liquidity, Exchange Listing, and Common Stock Performance. Journal of Economics and Business, 37, 19-33. Estrada, J. (2003) Mean-Semivariance Behavior II: The D-CAPM. Research paper. IESE Business school. Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. The Journal of Finance. Fama, E. F., & French, K. R. (2004). The Capital Asset Pricing Model: Theory and Evidence. The Journal of Finance. Fama, E. F., & MacBeth, J. D. (1973). Risk, return and equilibrium: Empirical tests. Journal of Political Economy. Fernández, P. y Vásquez-Tejos, F. (2020) Liquidity risk and stock return in latin American emerging markets. Revista SCIELO French, J & Taborda R. (2018). Disentangling the relationship between liquidity and returns in Latin America. Global Finance Journal. Goyenko, R. Y., Holden, C. W., & Trzcinka, C. A. (2009). Do liquidity measures measure liquidity? Journal of Financial Economics, 92, 153-181. Hernández-Barros, R. (2015) Los riesgos de las entidades aseguradoras en el marco del Enterprise Risk Management (ERM) y el control interno. Karolyi, Andrew. (2004) The role of American Depositary Receipts in Development of Emerging Equity Markets. The review of Economics and statistics. The MIT Press. Korajczyk, R. A., & Sadka, R. (2008). Pricing the commonality across alternative measures of liquidty. Journal of Financial Economics, 87, 45-72. Kurman, G. & Kurman, A. (2019) Liquidity-adjusted CAPM ¿ An empirical analysis of Indian stock market. Cogent Economics & Finance. Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica. Lee, K. H. (2011). The world price of liquidity risk. Journal of Financial Economics, 99(1), 136¿161. Leirvik, Fiskerstrand y Fjellvikas (2017). Market liquidity and stock returns in the Norwegian stock market. Finance Research Letters. Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics. Vol 47, pp. 13-37. Liu, W. (2006). A liquidity-augmented capital asset pricing model. Journal of Financial Economics. Martínez, C. (2001) Las modernas teorías financieras. Examen de sus aplicaciones a la valoración de sociedades anónimas que cotizan en bolsa. Investigaciones Europeas de Dirección y Economía de la Empresa. Miralles-Quiros, M., Miralles-Quiros, J. L., & Oliveira, C. (2017). The role of liquidity in asset pricing: The special case of the Portuguese stock market. Journal of Economics, Finance & Administrative Science. Röttger, D.W. (2013). The pricing of liquidity risk around the world. Tilburg School of Economics and Management. Pástor, L., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111, 642-685. Perold, André F. (2004) ¿The Capital Asset Pricing Model¿ Journal of economic perspectives, Volume 18, Número 3. Pritsker, M. (2003). Large investors: Implications for equilibrium asset returns, Shock absorption and liquidity, mimeo, Board of Governors of the federal reserve System. Sadka, R. (2006). Momentum and Post-Earnings Announcement Drift Anomalies: The Role of Liquidity Risk. Journal of Financial Economics, 80, 309-349. Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance. Zorrilla, J. P. (2005) Globalización, incertidumbre y riesgo. Intangible Capital, 1(9), 1-17.
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dc.publisher.es_CO.fl_str_mv	Universidad de los Andes
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dc.publisher.faculty.es_CO.fl_str_mv	Facultad de Economía
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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_abf2Melguizo Uribe, Jorge Hernánd8db0ea9-e7a4-4abc-9b15-d793c8b31c7d600Machuca Acevedo, Daniel1e6a8810-c637-4fde-b87b-5e4862c95339600Riascos Villegas, Álvaro JoséJara Pinzón, Diego2022-04-20T13:18:01Z2022-04-20T13:18:01Z2021-12-06http://hdl.handle.net/1992/56881instname:Universidad de los Andesreponame:Repositorio Institucional Sénecarepourl:https://repositorio.uniandes.edu.co/El documento analiza el impacto del riesgo de liquidez en la determinación de los precios de los activos financieros en el mercado de valores de Colombia.This document seeks to assess how liquidity risk impacts the return of assets in the Colombian financial market. For this, an extension of the CAPM ("Capital Asset Pricing Model") known as LCAPM ("Liquidity Adjusted Capital Asset Pricing Model") was used. This model includes different dimensions of liquidity. According to the results, liquidity risk is not a determining factor for pricing financial assets in Colombia. This is in line with some empirical work showing a relationship between liquidity and asset return only in developed financial markets. In contrast, it was found that market risk is a relevant variable for investors, which implies that the CAPM model is valid in the Colombian financial market. Some possible explanations for the results found are (i) the small number of shares available to invest in the Colombian market, (ii) the excessive monitoring of investors over companies, especially institutional investors, and (iii) the fact that the most relevant shares of the local stock market are traded in more than one market.Este documento busca evaluar cómo el riesgo de liquidez impacta el retorno de los activos en el mercado financiero colombiano. Para lo anterior, se utilizó una extensión del modelo CAPM (¿Capital Asset Pricing Model¿) conocida como LCAPM (¿Liquidity Adjusted Capital Asset Pricing Model¿), la cual incluye distintas dimensiones de liquidez. Con series de tiempo entre 2010 y 2019, se encontró que no es posible afirmar que el riesgo de liquidez sea un factor determinante para la fijación de precios de los activos financieros en Colombia. Lo anterior está en línea con algunos trabajos empíricos que muestran que la relación entre liquidez y retorno solo se puede evidenciar en mercados financieros desarrollados. En contraste, se encontró que el riesgo de mercado sí es una variable relevante para los inversionistas, lo cual implica que el modelo CAPM sí es válido en el mercado financiero colombiano. Algunas posibles explicaciones para los resultados encontrados son (i) el reducido número de acciones disponibles para invertir en el mercado colombiano, (ii) el excesivo monitoreo de los inversionistas sobre las compañías, especialmente de los inversionistas institucionales y, (iii) el hecho de que las acciones más relevantes del mercado bursátil local se transen en más de un mercado.Magíster en EconomíaMaestría34engUniversidad de los AndesMaestría en EconomíaFacultad de EconomíaThe pricing of liquidity risk in the colombian stock marketTrabajo de grado - Maestríainfo:eu-repo/semantics/masterThesishttp://purl.org/coar/version/c_970fb48d4fbd8a85Texthttp://purl.org/redcol/resource_type/TMLiquidezMercado de capitalesCAPMFinanzasFactores de riesgoRiesgo de liquidezMercado de capitalesFinanzasRiesgo (Economía)Liquidez (Economía)ColombiaModelo de tasación de activo fijoEconomíaAcharya, V. V., & Pedersen, L. (2005). Asset pricing with liquidity risk. Journal of Financial Economics.Agudelo, D. (2010). Liquidez en los mercados accionarios colombianos: cuánto hemos avanzado en los últimos 10 años. Documentos de trabajo Economía y Finanzas. Centro de investigaciones económicas y financieras. Universidad EAFIT.Aitken, M. and Comerton-Forde, C. (2003) How Should Liquidity Be Measured? Pacific-Basin Finance Journal, 11, 45-59.Altay, E. & Calgici, S. (2019) Liquidity adjusted capital asset pricing model in an emerging market: Liquidity risk in Borsa Istanbul. Borsa Istanbul Review.Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets.Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics.Amihud, Y., & Mendelson, H. (1991). Liquidity, Asset Prices, and Financial Policy. Financial Analyst Journal, 47, 56-66.Amihud, Y., & Mendelson, H. (2008). Liquidity, the value of the firm, and corporate finance. Journal of Applied Corporate Finance, 20(2), pp 32-45.Ang, A., Liu, J., & Schwarz, K. (2008). Using Stocks or Portfolios in Test of Factor Models.Batten, J.A., and Vo, X.V. (2014) Liquidity and Return Relationships in an Emerging Market. Emerging Markets Finance and Trade, 50, 5-21.Bekaert, G., Harvey, C. & Lundbland, C. (2007) Liquidity and expected returns: Lessons from emerging markets. Review of Financial Studies.Burkart, M., Gromb, D. and Panunzi, F. (1997) Large Shareholders, Monitoring, and the Value of the Firm. The Quarterly Journal of Economics, 112, 693-728Burbano, A. (1997) El modelo CAPM en Colombia. Bogotá, Colombia. Universidad de los Andes.Banz, R. W. (1981). The relative efficiency of various portfolios: Some further evidence: Discussion. The Journal of Finance.Cheriyan, N. K. & Lazar, D. (2017). Liquidity-adjusted Capital Asset Pricing Model in Indian Stock Market. SCMS Journal of Indian Management.Chordia, T., Roll, R., & Subrahmanyam, A. (2000). Commonality in liquidity. Journal of Financial Economics, 73, 3-28.Cooper, S. K., Groth, J. C., & Avera, W. E. (1985). Liquidity, Exchange Listing, and Common Stock Performance. Journal of Economics and Business, 37, 19-33.Estrada, J. (2003) Mean-Semivariance Behavior II: The D-CAPM. Research paper. IESE Business school.Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. The Journal of Finance.Fama, E. F., & French, K. R. (2004). The Capital Asset Pricing Model: Theory and Evidence. The Journal of Finance.Fama, E. F., & MacBeth, J. D. (1973). Risk, return and equilibrium: Empirical tests. Journal of Political Economy.Fernández, P. y Vásquez-Tejos, F. (2020) Liquidity risk and stock return in latin American emerging markets. Revista SCIELOFrench, J & Taborda R. (2018). Disentangling the relationship between liquidity and returns in Latin America. Global Finance Journal.Goyenko, R. Y., Holden, C. W., & Trzcinka, C. A. (2009). Do liquidity measures measure liquidity? Journal of Financial Economics, 92, 153-181.Hernández-Barros, R. (2015) Los riesgos de las entidades aseguradoras en el marco del Enterprise Risk Management (ERM) y el control interno.Karolyi, Andrew. (2004) The role of American Depositary Receipts in Development of Emerging Equity Markets. The review of Economics and statistics. The MIT Press.Korajczyk, R. A., & Sadka, R. (2008). Pricing the commonality across alternative measures of liquidty. Journal of Financial Economics, 87, 45-72.Kurman, G. & Kurman, A. (2019) Liquidity-adjusted CAPM ¿ An empirical analysis of Indian stock market. Cogent Economics & Finance.Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica.Lee, K. H. (2011). The world price of liquidity risk. Journal of Financial Economics, 99(1), 136¿161.Leirvik, Fiskerstrand y Fjellvikas (2017). Market liquidity and stock returns in the Norwegian stock market. Finance Research Letters.Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics. Vol 47, pp. 13-37.Liu, W. (2006). A liquidity-augmented capital asset pricing model. Journal of Financial Economics.Martínez, C. (2001) Las modernas teorías financieras. Examen de sus aplicaciones a la valoración de sociedades anónimas que cotizan en bolsa. Investigaciones Europeas de Dirección y Economía de la Empresa.Miralles-Quiros, M., Miralles-Quiros, J. L., & Oliveira, C. (2017). The role of liquidity in asset pricing: The special case of the Portuguese stock market. Journal of Economics, Finance & Administrative Science.Röttger, D.W. (2013). The pricing of liquidity risk around the world. Tilburg School of Economics and Management.Pástor, L., & Stambaugh, R. F. (2003). Liquidity risk and expected stock returns. Journal of Political Economy, 111, 642-685.Perold, André F. (2004) ¿The Capital Asset Pricing Model¿ Journal of economic perspectives, Volume 18, Número 3.Pritsker, M. (2003). Large investors: Implications for equilibrium asset returns, Shock absorption and liquidity, mimeo, Board of Governors of the federal reserve System.Sadka, R. (2006). Momentum and Post-Earnings Announcement Drift Anomalies: The Role of Liquidity Risk. Journal of Financial Economics, 80, 309-349.Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance.Zorrilla, J. P. (2005) Globalización, incertidumbre y riesgo. 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The pricing of liquidity risk in the colombian stock market

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