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György Varga

has a B.S. in Economics (UFRJ), an M.S. in Economy from EPGE/Fundação Getúlio Vargas and a PhD in Economics from EPGE/Fundação Getúlio Vargas. Mr. Varga is currently a Partner at FCE Consultoria, where he conducts research and provides consulting and training in Applied Finances. His experience includes Brazilian and multinational banks and teaching at many Brazilian institutions. He has several articles published in scientific magazines. His interests include topics related to fixed income, derivatives, equity, and mutual funds.

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Equity Liquidity Premium in Brazil

In this article, we have investigated several aspects of the stock market liquidity in Brazil. This is one of the largest emerging market country with a well developed stock market, although with low liquidity and recent integration with global markets. The investigation is done on individual stocks and the market as a whole. The individual liquidity tests evaluate four well know results: Amihud (2002) hypothesis on illiquidity premium; the illiquidity premium significance on a four factor model; the ability to forecast returns; and its economic significance. Seven different liquidity measures were used. On the aggregate stock market liquidity, it is evaluated the time varying liquidity risk premium and the flight to quality phenomenon. In general, the results are similar to what is found in developed markets.

Last modified: 2018.11.30.