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Liquidity premium in emerging markets during the international credit financial crisis: the Mexico and Chile cases

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  • Humberto Valencia Herrera

    (Instituto Tecnológico y de Estudios Superiores de Monterrey, México)

Abstract

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

Suggested Citation

  • Humberto Valencia Herrera, 2015. "Liquidity premium in emerging markets during the international credit financial crisis: the Mexico and Chile cases," Contaduría y Administración, Accounting and Management, vol. 60(6), pages 9-23, Octubre-D.
    • Handle: RePEc:nax:conyad:v:60:y:2015:i:6:p:9-23
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