BibTeX
@MISC{Valencia-herrera_thestochastic,
author = {Humberto Valencia-herrera},
title = {The Stochastic Discount Factor and Liquidity},
year = {}
}
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Abstract
The stochastic discount factor differs whether it is estimated with only the most liquid stocks from the one estimated with the whole sample in some years in Mexico and Chile in the period 2006 to 2012. This is evidence that there is a liquidity premium associated with stocks in these countries, which is not permanent. The liquidity premium is more permanent in Mexico than in Chile in the period of study.
