Resumen de Asset Pricing and liquidity risk in the Chilean Stock Market

Prosper Lamothe Fernández , Francisco Javier Vásquez Tejos

• This paper studies whether or not a premium exists for the risk of liquidity in the Chilean stock market. Using the methodology in Fama and French (1993), liquidity risk factors are constructed on the basis of 4 indexes which evaluate various models.

  The results show the existence of a premium for liquidity risk, but this is captured by more than a liquidity risk factor