Modelos de Precificação de Ativos e o Efeito Liquidez: Evidências Empíricas no Mercado Acionário Brasileiro

This paper is aims to analyze whether a liquidity premium exists in theBrazilian stock market. As a second goal, we include liquidity as an extrarisk factor in asset pricing models and test whether this factor is pricedand whether stock returns were explained not only by systematic risk, asproposed by the CAPM, by Fama and French’s (1993) three-factor model, and byCarhart’s (1997) momentum-factor model, but also by liquidity, as suggestedby Amihud and Mendelson (1986). To achieve this, we used stock portfoliosand five measures of liquidity. Among the asset pricing models tested, theCAPM was the least capable of explaining returns. We found that theinclusion of size and book-to-market factors in the CAPM, a momentum factorin the three-factor model, and a liquidity factor in the four-factor modelimprove their explanatory power of portfolio returns. In addition, we foundthat the five-factor model is marginally superior to the other asset pricingmodels tested.