文章基本信息

标题：Liquidity premium in emerging markets during the international credit financial crisis: the Mexico and Chile cases
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作者：Humberto Valencia Herrera
期刊名称：Contaduría y Administración
印刷版ISSN：0186-1042
出版年度：2015
卷号：60
期号：2
页码：9-23
语种：English
出版社：Universidad Nacional Autónoma de México
摘要：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. All Rights Reserved © 2015 Universidad Nacional Autónoma de México, Facultad de Contaduría y Administración. This is an open access item distributed under the Creative Commons CC License BY-NC- ND 4.0.
关键词：Stochastic discount factor; Mexico; Chile; Liquidity premium Factor de descuento estocástico; México; Chile; Prima por liquidez