Resumo

VALENCIA HERRERA, Humberto. Liquidity premium in emerging markets during the International Credit Financial Crisis: The Mexico and Chile cases. Contad. Adm [online]. 2015, vol.60, suppl.2, pp.9-23. ISSN 0186-1042.  https://doi.org/10.1016/j.cya.2015.05.006.

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 2010-2012, when it is only statistically observable in some years, but it disappears in others.

Palavras-chave : Stochastic discount factor; Mexico; Chile; Liquidity premium.

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