Liquidity premium in emerging markets during the International Credit Financial Crisis: The Mexico and Chile cases
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1 décembre 2015
- handle: 10670/1.zmmbu5
Ce document est lié à :
10.1016/j.cya.2015.05.006
info:eu-repo/semantics/openAccess
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Bank discount Discount rate BorrowingCiter ce document
Humberto Valencia Herrera, « Liquidity premium in emerging markets during the International Credit Financial Crisis: The Mexico and Chile cases », Contaduría y administración, ID : 10670/1.zmmbu5
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Résumé
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.