El papel de la liquidez en la valoración de activos financierosel caso portugués

Résumé

With the aim of extend the previous empirical evidence and contribute to provide a unified and consistent knowledge on the subject of liquidity, this thesis analyzes liquidity in the Portuguese stock market in the period between January 1988 and December 2011. Based on a broad set of liquidity measures, three complimentary studies are conducted: first, we investigate whether there are common factors in the variation of liquidity; then we study the relationship between liquidity, profitability and risk either over the sample period or in cross-section, in order to assess the role that liquidity plays in Portuguese asset pricing; and, finally, we analyze the factors that can explain the temporal variations in liquidity. The results of this research show that there are common factors in liquidity movements. This study also reveals that pursuing a strategy based on liquidity allows investors to benefit from a reduction in market risk exposure. Additionally, we verify that illiquidity is stock characteristic that acts as a friction in the Portuguese stock market and the most illiquid stocks are penalized in terms of returns. Finally, the factors that can explain the variations of systematic liquidity in Portugal are variations in stock market return and volatility, interest rates and changes in the growth rate of a monetary aggregate.