IS COMMONALITY IN LIQUIDITY A PRICED RISK FACTOR?

ABSTRACT Purpose: Analyze if the commonality in liquidity is priced and its relation with the stock return in the Brazilian stock market. Originality/value: Due to the shortage of papers about the effects of commonality in liquidity in the Brazilian financial literature, this paper provides knowledge development about commonality in liquidity effect for the investor, investigating whether an investment strategy in the most sensitive assets to systematic variations of liquidity is attractive for investors, consistent with the risk-return trade off. Design/methodology/approach: In order to identify the effect of commonality to investors, we opted to use portfolios. Using companies listed on B3 as a sample, we estimated regressions developed in the time series from January 2007 to December 2015. Findings: We found that the commonality is a phenomenon present in the Brazilian stock market and their highest values were concentrated in periods of international financial crises. In addition, using portfolios, we observed a premium of 4.165% per month for the commonality in liquidity, although not statistically significant. Finally, we found that the commonality in liquidity is a priced risk factor and when we exposed it to other risk factors we found that the liquidity risk factor was able to partly capture it.

摘要
研究目的：分析巴西股票市场中流动性共性（commonality in liquidity）是否被定价，及其与股票收益率的关联。
创新点/研究价值：鉴于巴西金融领域中关于流动性共性效应的研究文献较为匮乏，本文为投资者提供了有关流动性共性效应的认知拓展，通过探究针对对流动性系统性波动最为敏感的资产构建的投资策略是否符合风险-收益权衡原则、对投资者具备吸引力，展开相关研究。
研究设计与方法：为向投资者阐明流动性共性效应，本文选择采用投资组合分析法。研究样本选取巴西证券交易所（B3）上市企业，以2007年1月至2015年12月为时间区间，开展时间序列回归分析。
研究发现：本文证实流动性共性是巴西股票市场中存在的现象，且其峰值集中于国际金融危机时期。此外，通过投资组合分析可知，流动性共性的月度溢价可达4.165%，但该结果未达到统计显著性水平。最后，本文发现流动性共性属于被定价的风险因子；当将其纳入其他风险因子框架时，流动性风险因子可部分解释该效应。