Liquidity in Asset Pricing: Evidence from the Brazil Market
This study investigates the role of liquidity in pricing stock returns in the Brazil stock market using a sample of listed stocks in Brazil market from January 2001 to December 2011. The key finding of this study is that liquidity is an important factor for pricing returns in Brazil market even aft...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2012
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| Online Access: | https://eprints.nottingham.ac.uk/25920/ |
| _version_ | 1848793078948691968 |
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| author | Yang, Yuanyu |
| author_facet | Yang, Yuanyu |
| author_sort | Yang, Yuanyu |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This study investigates the role of liquidity in pricing stock returns in the Brazil stock market using a sample of listed stocks in Brazil market from January 2001 to December 2011. The key finding of this study is that liquidity is an important factor for pricing returns in Brazil market even after controlling for size and book-to-market and the liquidity effect is not restricted to the month of January alone. The results are also not influenced by the financial crisis. |
| first_indexed | 2025-11-14T18:54:35Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-25920 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:54:35Z |
| publishDate | 2012 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-259202017-10-19T13:13:11Z https://eprints.nottingham.ac.uk/25920/ Liquidity in Asset Pricing: Evidence from the Brazil Market Yang, Yuanyu This study investigates the role of liquidity in pricing stock returns in the Brazil stock market using a sample of listed stocks in Brazil market from January 2001 to December 2011. The key finding of this study is that liquidity is an important factor for pricing returns in Brazil market even after controlling for size and book-to-market and the liquidity effect is not restricted to the month of January alone. The results are also not influenced by the financial crisis. 2012-09-21 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/25920/1/Liquidity_in_Asset_Pricing_Evidence_from_the_Brazil_Market_%28final_ed%29.pdf Yang, Yuanyu (2012) Liquidity in Asset Pricing: Evidence from the Brazil Market. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Yang, Yuanyu Liquidity in Asset Pricing: Evidence from the Brazil Market |
| title | Liquidity in Asset Pricing: Evidence from the Brazil Market |
| title_full | Liquidity in Asset Pricing: Evidence from the Brazil Market |
| title_fullStr | Liquidity in Asset Pricing: Evidence from the Brazil Market |
| title_full_unstemmed | Liquidity in Asset Pricing: Evidence from the Brazil Market |
| title_short | Liquidity in Asset Pricing: Evidence from the Brazil Market |
| title_sort | liquidity in asset pricing: evidence from the brazil market |
| url | https://eprints.nottingham.ac.uk/25920/ |