Liquidity premium in emerging markets during the international credit financial crisis: the Mexico and Chile cases

• Humberto Valencia Herrera ^[1]
  1. [1] Instituto Tecnológico y de Estudios Superiores de Monterrey

     Instituto Tecnológico y de Estudios Superiores de Monterrey

     México

     
• Localización: Contaduría y administración, ISSN 0186-1042, ISSN-e 2448-8410, Vol. 60, Nº. Extra 2, 2015, págs. 9-23
• Idioma: inglés
• DOI: 10.1016/j.cya.2015.05.006
• Títulos paralelos:
  • Prima por liquidez en mercados emergentes durante la crisis financiera internacional: los casos de México y Chile
• Enlaces
  • Texto completo (pdf)
• Resumen
  • español

    El factor de descuento estocástico tiene una prima de riesgo en forma persistente para los activos más negociados en los años de la crisis crediticia financiera internacional 2007-2008, efecto que persiste durante 2009 en México y Chile. Este efecto no es persistente en el período 2010-2012, cuando es solo estadísticamente observable en algunos años, pero desaparece en otros

  • English

    The stochastic discount factor persistently has a liquidity premium for the most traded stocks in the years of the international financial credit crises 2007-2008, effect that persists during 2009 in Mexico and Chile. This effect it is not persistent in the period 2010 to 2012, when it is only statistically observable in some years, but it disappears in others.

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