RIESGO DE LIQUIDEZ Y RENTABILIDAD DE LAS ACCIONES EN LOS MERCADOS EMERGENTES DE AMÉRICA LATINA
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Abstract
Este estudio analiza el impacto del riesgo de liquidez y la rentabilidad de las acciones en cuatro mercados latinoamericanos (Chile, Colombia, México y Perú), entre enero de 1998 y julio de 2018. Varios estudios anteriores se han centrado en la medición de este efecto en los mercados desarrollados y unos pocos en los mercados emergentes, como lo son mercados de valores de América Latina. En el presente estudio se utiliza un modelo de regresión, el cual incorpora cinco medidas de riesgo de liquidez; tres se han utilizado ampliamente en estudios anteriores y dos proceden de medidas propuestas recientemente. Se encontraron pruebas de una relación inversa entre el riesgo de liquidez y el rendimiento de las acciones, lo que indica que existen recompensas por invertir en posiciones menos líquidas y por tanto originar nuevas estrategias de inversión. En general, los mercados menos desarrollados o más pequeños tienen una desventaja para este tipo de estudio, debido a la falta de acceso a la información histórica sobre la compra y venta de acciones.
This study analyzes the impact of liquidity risk on stock returns in four Latin American markets (Chile, Columbia, Mexico, and Peru) between January 1998 and July 2018. Several previous studies have focused on measuring this effect in developed markets and a few in emerging markets, such as Latin American stock markets. 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. We found evidence of an inverse relationship between liquidity risk and stock performance, which indicates that there exist rewards for investing in less liquid positions and therefore originate new investment strategies. 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.
This study analyzes the impact of liquidity risk on stock returns in four Latin American markets (Chile, Columbia, Mexico, and Peru) between January 1998 and July 2018. Several previous studies have focused on measuring this effect in developed markets and a few in emerging markets, such as Latin American stock markets. 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. We found evidence of an inverse relationship between liquidity risk and stock performance, which indicates that there exist rewards for investing in less liquid positions and therefore originate new investment strategies. 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.
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Vol. 20, No. 2