Available online at www.sciencedirect.com
www.cya.unam.mx/index.php/cya
%QPVCFWTÈC[#FOKPKUVTCEKÎP
5
Accounting & Management
www.contaduriayadministracionunam.mx/
Liquidity premium in emerging markets during the
KPVGTPCVKQPCNETGFKVſPCPEKCNETKUKUVJG/GZKEQ
and Chile cases
Prima por liquidez en mercados emergentes
FWTCPVGNCETKUKUſPCPEKGTCKPVGTPCEKQPCN
crediticia: los casos de México y Chile
Humberto Valencia Herrera
Instituto Tecnológico y de Estudios Superiores de Monterrey, México
Received 13 december 2014; accepted 15 january 2015
Available online 20 november 2015
Abstract
The stochastic discount factor persistently has a liquidity premium for the most traded
UVQEMUKPVJG[GCTUQHVJGKPVGTPCVKQPCNſPCPEKCNETGFKVETKUGUGHHGEVVJCVRGTUKUVU
FWTKPIKP/GZKEQCPF%JKNG6JKUGHHGEVKVKUPQVRGTUKUVGPVKPVJGRGTKQFVQ
YJGPKVKUQPN[UVCVKUVKECNN[QDUGTXCDNGKPUQOG[GCTUDWVKVFKUCRRGCTUKPQVJGTU
#NN 4KIJVU 4GUGTXGF l 7PKXGTUKFCF 0CEKQPCN #WVÎPQOC FG /ÃZKEQ (CEWNVCF FG
%QPVCFWTÈC[#FOKPKUVTCEKÎP
6JKUKUCPQRGPCEEGUUKVGOFKUVTKDWVGFWPFGTVJG%TGCVKXG%QOOQPU%%.KEGPUG$;0%
0&
Keyword5VQEJCUVKEFKUEQWPVHCEVQT/GZKEQ%JKNG.KSWKFKV[RTGOKWO
E-mail address: *WODGTVQXCNGPEKC"KVGUOOZ
2GGT4GXKGYWPFGTVJGTGURQPUKDKNKV[QH7PKXGTUKFCF0CEKQPCN#WVÎPQOCFG/ÃZKEQ
JVVRFZFQKQTILE[C
#NN4KIJVU4GUGTXGFl7PKXGTUKFCF0CEKQPCN#WVÎPQOCFG/ÃZKEQ(CEWNVCFFG%QPVC
FWTÈC[#FOKPKUVTCEKÎP6JKUKUCPQRGPCEEGUUKVGOFKUVTKDWVGFWPFGTVJG%TGCVKXG%QOOQPU%%.KEGPUG
$;0%0&
10
H. Valencia Herrera / Contaduría y Administración 60 (S2) 9-23
Resumen
El factor de descuento estocástico tiene una prima de riesgo en forma persistente para
NQUCEVKXQUO¶UPGIQEKCFQUGPNQUCÌQUFGNCETKUKUETGFKVKEKCſPCPEKGTCKPVGTPCEKQPCN
GHGEVQSWGRGTUKUVGFWTCPVGGP/ÃZKEQ[%JKNG'UVGGHGEVQPQGURGTUKUVGPVGGP
GNRGTÈQFQEWCPFQGUUQNQGUVCFÈUVKECOGPVGQDUGTXCDNGGPCNIWPQUCÌQURGTQ
FGUCRCTGEGGPQVTQU
&GTGEJQU 4GUGTXCFQUl 7PKXGTUKFCF 0CEKQPCN #WVÎPQOC FG /ÃZKEQ (CEWNVCF FG
%QPVCFWTÈC[#FOKPKUVTCEKÎP
'UVGGUWPCTVÈEWNQFGCEEGUQCDKGTVQFKUVTKDWKFQDCLQNQUVÃTOKPQUFGNC.KEGPEKC%TGCVKXG
%QOOQPU%%$;0%0&
Palabras clave(CEVQTFGFGUEWGPVQGUVQE¶UVKEQ/ÃZKEQ%JKNG2TKOCRQTNKSWKFG\
Introduction
+PGOGTIKPIOCTMGVUUWEJCU/GZKEQCPF%JKNGVJGRTQDNGOUVJCVOC[JCXG
OCTMGVNKSWKFKV[KPVKOGUQHKPVGTPCVKQPCNſPCPEKCNETKUKUJCXGPQVDGGPCPCN[\GF
KPUWHſEKGPVFGRVJ/GZKEQCPF%JKNGCTGVYQTGNCVKXGN[QRGPGOGTIKPIOCTMGVUKP
.CVKP#OGTKEC6JKURCRGTCPCN[\GUVJGGHHGEVUQPVJGUVQEJCUVKEFKUEQWPVHCEVQTQH
EJCPIGUKPNKSWKFKV[KPVKOGUQHCPKPVGTPCVKQPCNſPCPEKCNETKUKU
During times of crisis the problems associated with the systematic market li
SWKFKV[DGEQOGUVTQPIGTDGECWUGNKSWKFKV[KUNQUVCPFVJGPVJGNGUUNKSWKFCUUGVU
JCXGJKIJGTRTKEGU5[UVGOCVKEOCTMGVNKSWKFKV[TGHGTUVQEQUVUCPFVKOGTGSWKTGF
VQVTCPUHQTOOCP[QHVJGCUUGVUKPVQECUJQTXKEGXGTUC5[UVGOKEOCTMGVNKSWKFKV[
FGETGCUGUUVTQPIN[KPVKOGUQHCETKUKU
GI#UKC.QPI6GTO%CRKVCN/C
PCIGOGPV .%6/ CPF 5WDRTKOG DGECWUG VJGTG CTG HGYGT DW[GTU
YKNNKPIVQDW[EGTVCKPCUUGVUVJCVYGECNNKNNKSWKF6JGTGHQTGVJQUGCUUGVUJCXGNQYGT
RTKEGUCPFJKIJGTTGSWKTGFTCVGUQHTGVWTP2CUVQTCPF5VCODCWIJ
CPF)KD
UQPCPF/QWIGQV
.KSWKFKV[RTQDNGOUOC[TGHGTVQVYQUKVWCVKQPUVJGTG
CTGPQVGPQWIJDW[GTUQHVJGIQQFQTVJCVDW[GTUYJQCTGKPVJGOCTMGVYQWNF
DW[QPN[YKVJCJKIJFKUEQWPV
&KFGTKEJR#PQVJGTYC[VQQDUGTXGVJCV
RTQDNGOQHNKSWKFKV[KPVJGOCTMGVKUVJCVDKFCPFCUMRTKEGUUGRCTCVG
&KFGTKEJ
R
6JKUYQTMKUFKXKFGFCUHQNNQYU6JKUUGEVKQPKUCPKPVTQFWEVKQP5GEVKQPFKU
EWUUGUVJGVJGQTGVKECNHTCOGYQTM5GEVKQPKPVTQFWEGUVJGHQTOCNOQFGN5GEVKQP
FKUEWUUGU OGVJQFQNQIKECN KUUWGU 5GEVKQP FKUEWUUGU VJG CPCN[UKU CPF TGUWNVU
(KPCNN[VJGEQPENWUKQPUCPFTGEQOOGPFCVKQPUUGEVKQPHQNNQYU
H. Valencia Herrera / Contaduría y Administración 60 (S2) 9-23
11
Theoretical Framework
5CFMC UVWFKGU YJGVJGT U[UVGOCVKE NKSWKFKV[ TKUM KU RTKEGF KP VJG ETQUU
UGEVKQPQHJGFIGHWPFGZRGEVGFTGVWTPU5CFMC
UJQYUVJCVVJGJKIJNKSWK
FKV[TKUMGZRQUWTGJGFIGHWPFRQTVHQNKQ
VQRFGEKNGJCUCUVCVKUVKECNN[UKIPKſECPV
RGTEGPVJKIJGTCPPWCNTGVWTPQPCXGTCIGVJCPVJGNQYNKSWKFKV[TKUMGZRQUWTG
JGFIG HWPF RQTVHQNKQ DQVVQO FGEKNG FWTKPI VJG Ō RGTKQF +P EQPVTCUV
#XTCOQXGVCN
CUUWOGVJCVCPKPFKXKFWCNJGFIGHWPFTGVWTPRTQEGUU
KUIGPGTCVGFD[CUKPINGGSWKV[TKUMHCEVQTVJCVKUKPXCTKQWUYC[UCPFVQUQOGFG
ITGGRTGFKEVCDNG
CNRJCDGVCCPFTGVWTP6JG[GZRNQKVVJKURTGFKEVCDKNKV[VQQDVCKP
JGFIGHWPFRQTVHQNKQUVJCVFGNKXGTUKIPKſECPVN[RQUKVKXGCNRJCU
TGNCVKXGVQVJG(*
(WPI CPF *UKGJ DGPEJOCTM 5CFMC RQKPVU QWV VJCV VJG CNRJCU KP
#XTCOQX-QUQYUMKGVCNOC[DGU[UVGOCVKENKSWKFKV[TKUMRTGOKC1PVJGQVJGT
JCPF#XTCOQX-QUQYUMKGVCNRTGFKEVKPFKXKFWCNJGFIGHWPFCNRJCDGVCCPF
TGVWTPYKVJXCTKCDNGUWPTGNCVGFVQNKSWKFKV[
$TCPFQPCPF9CPI
UJQYUVJCVNKSWKFKV[TKUMECPGZRNCKPVJGRGTHQTOCP
EGQHGSWKV[JGFIGHWPFRQTVHQNKQU6JG[QDUGTXGFUKOKNCTN[VQ#XTCOQXGVCN
VJCVDGHQTGEQPUKFGTKPIVJGGHHGEVQHNKSWKFKV[TKUMJGFIGHWPFRQTV
folios that incorporate predictability in managerial skills generate superior perfor
OCPEG6JKUQWVRGTHQTOCPEGYGCMGPUQTFKUCRRGCTUUWDUVCPVKCNN[HQTOQUVGOGT
IKPI OCTMGVU GXGPVFTKXGP RQTVHQNKQU CPF NQPIUJQTV JGFIG HWPFU CPF QPEG VJG
NKSWKFKV[TKUMKUCEEQWPVGFHQT/QTGQXGTVJG[UJQYVJCVVJGGSWKV[OCTMGVPGWVTCN
CPFNQPIUJQTVJGFIGHWPFRQTVHQNKQUŏőCNRJCUŒCNUQGPVCKNTGVWTPUHQTVJGKTUGTXKEG
CUNKSWKFKV[RTQXKFGTU6JGUGTGUWNVUJQNFWPFGTXCTKQWUTQDWUVPGUUVGUVU$TCPFQP
CPF9CPI
EQPEGPVTCVGUQPNKSWKFKV[TKUMUVGOOKPIHTQOVJGHCEVVJCVGSWKV[
JGFIGHWPFTGVWTPUOC[EQXCT[YKVJCOCTMGVYKFGU[UVGOCVKENKSWKFKV[TKUMHCEVQT
6JCVKUFKHHGTGPVHTQO)GVOCPUM[.QCPF/CMCTQX
CPF#TCIQP
which focus primarily on illiquidity as a cost factor that induces serial correlation
KPKPFKXKFWCNJGFIGHWPFTGVWTPUCPFVJCVOC[CNUQRTQXKFGCPGZRNCPCVKQPHQTVJGKT
JKIJGTGZRGEVGFTGVWTPU
%CQGVCN
CUKP#XTCOQXGVCN
WUGUVJGRTGFKEVCDKNKV[
of the return process for each individual hedge fund to form optimal hedge fund
RQTVHQNKQUVJCVQWVRGTHQTOVJG(*DGPEJOCTMCPFKVUJQYUVJCVOCP[JGFIGHWPFU
GZRNQKVVJGKTCDKNKV[VQVKOG
KGRTGFKEVNKSWKFKV[VQFGETGCUG
KPETGCUGVJGKTUKP
INGGSWKV[HCEVQTGZRQUWTGCUNKSWKFKV[FGETGCUGU
KPETGCUGU(WTVJGTOQTGYJKNG
#XTCOQXGVCNRTQXKFGFKTGEVGXKFGPEGQHVJGRTGFKEVCDKNKV[QHVJGJGFIGHWPFTG
VWTPRTQEGUU%CQGVCN
RTQXKFGKPFKTGEVGXKFGPEGVJCVJGFIGHWPFOCPCIGTU
ECPRTGFKEVNKSWKFKV[6JGVQRFGEKNGQHNKSWKFKV[VKOKPIJGFIGHWPFUJCUCNRJCUCU
12
H. Valencia Herrera / Contaduría y Administración 60 (S2) 9-23
OWEJCURGTEGPVRGT[GCTCDQXGVJGNQYGUVFGEKNGQHNKSWKFKV[VKOGTU
#OKJWFCPF/GPFGNUQP
GZRNQKVU(COCCPF/CE$GVJŏU
CRRTQCEJ
to evaluate the impacts of the rate of return and risks of the market to odds ratio
DGVYGGPUGNNKPICPFDW[KPIRTKEGUHQTCRQTVHQNKQQH0;5'UVQEMUHTQOVJGRGTKQF
VQ6JG[HQWPFVJCVKPETGCUKPIQPGRGTEGPVVJGQFFUTCVKQDGVYGGPUG
NNKPICPFDW[KPIRTKEGUKPETGCUGUVJGTKUMRGTOQPVJRGTEGPV/QTGQXGTVJG[
QDUGTXGFVJCVVJGUNQRGEQGHſEKGPVQHVJGQFFUTCVKQDGVYGGPUGNNKPICPFDW[KPI
RTKEGUKURQUKVKXG
%JCP CPF (CHH JCXG C UKOKNCT CRRTQCEJ CU #OKJWF CPF /GPFGNUQP
6JG[EQPUKFGTCUHCEVQTUVJGTCVKQDQQMXCNWGVQOCTMGVXCNWGUK\GQHVJG
RQTVHQNKQ CPF NKSWKFKV[ UKOKNCT VQ (COC CPF (TGPEJ HQT #WUVTCNKC UVQEMU
FWTKPIVJGRGTKQF6JGRTGOKWOTKUMQHVJG[GCTN[VWTPQXGTTCVKQKUQXGT
RGTEGPV6JGKTſPFKPIUIKXGUVTQPIGXKFGPEGHQTVJGKORQTVCPVTQNGQHNKSWKFKV[
KPVJG#WUVTCNKCPUVQEMOCTMGV
#TEJCT[CCPF2GFGTUGP
UVWF[VJGKORCEVQHNKSWKFKV[CUCPCFLWUVOGPVVQ
VJG%#2/OQFGNHQTVJG0;5'CPF#/':HTQO,WPGVQ6JG[GUVKOC
VGVJCVVJGKORCEVQHNKSWKFKV[TKUMKURGTEGPVRGT[GCTCPFVJGKORCEVQPVJGTCVG
QHTGVWTPQHNKSWKFKV[KURGTEGPVRGT[GCT6JWUVJGQXGTCNNGHHGEVQHNKSWKFKV[KU
RGTEGPVRGT[GCT
9CPICPF&K+QTKQ
CRRN[(COCCPF(TGPEJŏU
OQFGN6JG[EQPUK
FGTVJGKORCEVUQHQVJGTHCEVQTUKPCFFKVKQPVQCOCTMGVHCEVQTNKSWKFKV[DGKPIQPG
QHVJGOYJKEJKUOGCUWTGFD[VJGVWTPQXGTTCVKQ6JG[CPCN[\GVJG%JKPGUGUVQEM
OCTMGVHTQOVQ6JGKTTGUWNVUUJQYVJCVNKSWKFKV[KUPGICVKXGEQTTGNCVGF
YKVJVJGTCVGQHTGVWTPQHUVQEMU
+PVGTRTGVCVKQPQHTGUWNVUOWUVDGECTGHWNN[CPCN[\GF6JGTGKUUQOGEQPVTCFKE
VQT[GXKFGPEGKPVJGNKVGTCVWTG(QTGZCORNGUJQTVVGTORGTHQTOCPEGRGTUKUVGPEGCU
VJGQPGFQEWOGPVGFKP#ICTYCNCPF0CKM
CPFQVJGTRCRGTUECPDGUKORN[
VTCEGFVQKNNKSWKFKV[KPFWEGFUGTKCNEQTTGNCVKQPKPJGFIGHWPFTGVWTPU
)GVOCPUM[
GVCNCUVJG[UJQYGFYKVJCTGVWTPUOQQVJKPIOQFGN
The model
6JGEQPUWOGTRQTVHQNKQOQFGNKPKVKCNN[HQTOWNCVGFD[5COWGNUQP
CPF
/GTVQP
KUCORNGFKUEWUUGFKPVJGNKVGTCVWTGYKVJUNKIJVN[FKHHGTGPVXCTKC
VKQPU+PVJGRTQDNGOCEQPUWOGTECPVTCFGHTGGN[KPCUUGVUiCPFOCZKOK\GUVJG
GZRGEVGFXCNWGQHCFKUEQWPVGFVKOGUGRCTCDNGWVKNKV[HWPEVKQPCUKP%CORDGNN.Q
CPF/CE-KPNC[
R
H. Valencia Herrera / Contaduría y Administración 60 (S2) 9-23
13
where OGCUWTGUVJGRGTUQPCNVKOGRTGHGTGPEG
is the investor´s consumption
in period t + jCPF
is the period utility of consumption at t + j9GCNVJWt
at tCUKP2GPPCEJK
RUCVKUſGUVJGHQNNQYKPITGNCVKQP
where
is the proportion invested in risky asset i of the total wealth in period t
is the return of risky asset i in period t
is the return of the risk free asset in
period t and KUGZQIGPQWUKPEQOGYGCNVJVJCVVJGKPFKXKFWCNTGEGKXGUCVRGTKQFt
0QVKEGVJCVKPVJKUHQTOWNCVKQPKHVJGTCVGQHTGVWTPKU\GTQVJGTGVWTPKUQPGYJKEJ
KPFKECVGUVJCVYGCNVJKUKPVGTVGORQTCNN[EQPUGTXGF
The optimal consumption and portfolio plan must satisfy that the marginal uti
NKV[QHEQPUWORVKQPVQFC[KUGSWCNVQVJGGZRGEVGFOCTIKPCNWVKNKV[DGPGſVHTQO
for
and
investing one monetary unit in asset i at time tUGNNKPIKVCVVKOG
EQPUWOKPIVJGRTQEGGFU
is the information available to the individual at time tCUWDUGVQHVJG
where
information available at time t &KXKFKPIDQVJUKFGUKP
D[
YGIGV
KUGSWCNVQVJGUVQEJCUVKEKPVGTVGORQTCN
where the stochastic discount factor
rate of substitution
Note that if the returns of the n risky assets in the economy are the vector
and KUCXGEVQTQHQPGUTGNCVKQPUJKR
ECPDGYTKVVGPCU
where JCU CP WPEQPFKVKQPCN PQPUKPIWNCT XCTKCPEGEQXCTKCPEG OCVTKZ #PKORNKECVKQPQHVJKUOQFGNCPFQVJGTKPVGTVGORQTCNCUUGVRTKEKPIQPGUKUVJCV
14
H. Valencia Herrera / Contaduría y Administración 60 (S2) 9-23
where the return on one period riskless bond is
and
Estimation of Euler equation of consumption
+PGSWKNKDTKWOVJGEQPFKVKQPCNOQOGPVEQPFKVKQPVJCVVJGUVQEJCUVKEFKUEQWPV
KUVJCVVJGGZRGEVGF
factor must satisfy conditional on previous information
product of any return YKVJVJGFKUEQWPVHCEVQTOWUVDGGSWCNVQQPG
#EEQTFKPIVQ*CPUGPCPF5KPINGVQP
VJGFKUETGVGVKOGOQFGNUQHVJGQR
VKOK\CVKQPDGJCXKQTQHGEQPQOKECIGPVUQHVGPNGCFVQſTUVQTFGTEQPFKVKQPUQHVJG
HQTO
where is a vector of variable observed by agents at time t and
UKQPCNRCTCOGVGTXGEVQTVQDGGUVKOCVGF6JGTGHQTG
is a p dimen
Let us construct an objective function that depends only on the available in
formation of the agents and unknown parameters b.GV
#EEQTFKPIVQ*CPUGPCPF5KPINGVQP
KHVJGOQFGNKP
KUVTWGVJGPVJG
method of moment estimator of the function gKU
at
UJQWNFDGENQUGVQ\GTQHQTNCTIGXCNWGUQH +P
The value of
VJKURCRGTYGHQNNQY*CPUGPCPF5KPINGVQP
CPFEJQQUGbVQOKPKOK\GVJG
function
where KUCU[OOGVTKERQUKVKXGFGſPKVGYGKIJVKPIOCVTKZ
OKPKOK\KPI
can be estimated
6JGEJQKEGQHYGKIJVKPIOCVTKZ is such that it makes ENQUGVQ\GTQVCMKPI
KPVQCEEQWPVRQUUKDNGJGVGTQUEGFCUVKEKV[CPFCWVQEQTTGNCVKQP
*#%DGJCXKQT
H. Valencia Herrera / Contaduría y Administración 60 (S2) 9-23
15
6JGTG CTG VYQ CFXCPVCIGU QH GUVKOCVKPI PQPNKPGCT 'WNGT GSWCVKQP WPFGT
)GPGTCNK\GF/GVJQFQH/QOGPVU
)//CUIKXGPKP*CPUGPCPF5KPINGVQP
C6JGKPUVTWOGPVXGEVQTFQGUPQVPGGFVQDGGEQPQOKECNN[GZQIGPQWU6JG
only requirement is that this vector be predetermined in the period when the agent
HQTOUJKUGZRGEVCVKQPU$QVJRCUVCPFRTGUGPVXCNWGUQHVJGXCTKCDNGUKPVJGOQFGN
ECPDGWUGFCUKPUVTWOGPVU/QFGNGUVKOCVQTKUEQPUKUVGPVGXGPYJGPVJGKPUVTW
OGPVUCTGPQVGZQIGPQWUQTYJGPVJGFKUVWTDCPEGUCTGUGTKCNN[EQTTGNCVGF
D7PNKMGVJGOCZKOWONKMGNKJQQF
/.GUVKOCVQTVJG)//GUVKOCVQTFQGU
PQVTGSWKTGVJGURGEKſECVKQPQHVJGLQKPVFKUVTKDWVKQPQHVJGQDUGTXGFXCTKCDNGU
To compute
a consistent estimator of KUPGGFGF6JKUECPDGQDVCKPGFD[KPK
tially using
KFGPVKV[OCVTKZCPFUWDQRVKOCNEJQKEGQHbKPOKPKOK\KPI
KP
YGIGVVJGXCNWGUQH $[WUKPIVJKUXCNWGQHbKP
YGIGV #ICKP
by using the new values of ECPDGQDVCKPGFD[OKPKOK\KPIGSWCVKQP
9GTGRGCVVJKURTQEGUUWPVKNVJGGUVKOCVGUEQPXGTIG#EEQTFKPIVQ*CPUGP*GCVQP
GVCN
VJKUKVGTCVKXG)//RTQEGUUKUOQTGGHſEKGPVKPUOCNNUCORNGVJCPC
UKORNGUVCPFCTFVYQUVGRRTQEGFWTGIKXGPD[*CPUGPCPF5KPINGVQP
Methodology
+PVJKUUVWF[YGCPCN[\GVJGRGTHQTOCPEGQHVJG/GZKECPCPF%JKNGCP5VQEM
/CTMGVU (QT GCEJ CUUGV CTKVJOGVKE TGVWTPU YGTG GUVKOCVGF +P GCEJ OCTMGV YG
EQPUKFGT C OCTMGV KPFGZ CU DGPEJOCTM 6JG OCTMGV KPFGZ WUGF KP VJG /GZKECP
/CTMGVYCUVJG6QVCN4GVWTP+PFGZő PFKEGFG4GPFKOKGPVQ6QVCN
+46ŒCPFHQT
VJG %JKNGCP /CTMGV VJG 5CPVKCIQ 5VQEM 'ZEJCPIG +PFGZ ő PFKEG FG NC $QNUC FG
5CPVKCIQ
+25#ŒDQVJKPFGZGUCFLWUVGFKPENWUKXGHQTECUJFKXKFGPFU6JGCPPWCN
CTKVJOGVKETCVGQHTGVWTPCPFUVCPFCTFFGXKCVKQPUQHVJGUGKPFGZGUKPVJGRGTKQFQH
UVWF[CTGUJQYPKPVCDNG1
Table 1 shows the mean and standard deviation of the rate of returns during the
YJQNGRGTKQFQHUVWF[CPFGCEJQHVJGCPCN[\GF[GCTU+PVJGTGCTGPGICVKXG
TCVGQHTGVWTPUOGCUWTGFD[+25#CPF+466JGUCOGJCRRGPKPYJGPVJG
RTQURGEVU QH VJG /GZKECP CPF %JKNGCP GEQPQOKGU YGCMGPGF 6JG TGEQXGT[ YCU
UVTQPIGT FWTKPI CPF 6JG ITQYVJ KP YCU UOCNN EQORCTGF YKVJ
VJQUGQHCPF8QNCVKNKV[KPETGCUGFKPVJGPKVFGETGCUGFKPVJGHQ
NNQYKPIVYQ[GCTUKVKPETGCUGFCICKPKPCPFKVJCUCUNQYFQYPKPKP
DQVJVJG+46CPFVJG+25#
1
5GG8CNGPEKC*GTTGTC
CPF8CNGPEKC*GTTGTC
HQTCFGGRGTFKUEWUUKQPQPVJG)GPGTCNK\GF
/GVJQFQH/QOGPVU
)//CRRNKGFVQVJG/GZKECPCPF%JKNGCP5VQEM/CTMGVU
16
H. Valencia Herrera / Contaduría y Administración 60 (S2) 9-23
Table 1
/GCPCPF5VCPFCTF&GXKCVKQPQHVJG&CKN[/CTMGV4CVGQH4GVWTPKP/GZKEQCPF%JKNG
Year
2009
2010
2011
2012
&CKN[TCVGQHTGVWTP
5QWTEG1YPGNCDQTCVKQP
IRT
/GCP
5VF&GX
+25#
/GCP
5VF&GX
+P GCEJ OCTMGV VYQ GSWCVKQPU YGTG GUVKOCVGF WUKPI OGVJQF QH OQOGPVU +H
GSWCVKQP
KUGUVKOCVGFHQTGCEJTGVWTPCPFVJGTGVWTPHQTVJGTKUMHTGGTCVGKU
UWDVTCEVGFHQTGCEJQHVJGTGVWTPUVJGHQNNQYKPIOQOGPVEQPFKVKQPUOWUVDGUCVKU
ſGF
and
where
KUVJGGZEGUUTGVWTPQHCUUGVi6JGTKUMHTGGTCVGWUGFHQT%JKNGKUVJG
QPGFC[%JKNGCP+PVGTDCPM4CVGRWDNKUJGFD[VJG%GPVTCN$CPMQH%JKNGCPFHQT
/GZKEQKVKUVJGFC[U/GZKECP+PVGTDCPM'SWKNKDTKWO+PVGTGUV4CVG
6++'HQT
KVU5RCPKUJKPKVKCNU6CUCFG+PVGTÃU+PVGTDCPECTKCFG'SWKNKDTKQRWDNKUJGFD[VJG
$CPMQH/GZKEQ+HVJG%#2/KUUCVKUſGF can be written as
UGGHQT
GZCORNG%QEJTCPG
R
6JGGZEGUUOCTMGVTGVWTPKUKPUVTWOGPVGFYKVJVJGſTUVVJTGGNCIUQHVJGUCOG
XCTKCDNGYJKEJCTGUVCVKUVKECNN[UKIPKſECPVKPC)CTEJOQFGN
Liquidity refers to the time and the costs associated with the transformation of
CRQUKVKQPKPCPCUUGVKPVQECUJCPFXKEGXGTUC6JG%#2/CUOCP[CUUGVRTKEKPI
OQFGNUCUUWOGUVJCVVJGEQUVCPFVKOGTGSWKTGFHQTVTCPUHQTOKPIſPCPEKCNYGCNVJ
KPVQECUJKU\GTQ#EVWCNN[VJGVTCPUHQTOCVKQPQHCRQUKVKQPKPUQOGſPCPEKCNCUUGVU
KPVQECUJECPDGGZRGPUKXGRCTVKEWNCTN[KHVJGCUUGVJCUCNQYHTGSWGPE[QHVTCFKPI
6JGNKSWKFKV[ECPTGHGTVQCRCTVKEWNCTCUUGVQTHWPFQTVQVJGGPVKTGſPCPEKCNOCTMGV
KGU[UVGOCVKENKSWKFKV[#PCUUGVYKVJNQYNKSWKFKV[YKNNEQOOCPFCFKHHGTGPV
H. Valencia Herrera / Contaduría y Administración 60 (S2) 9-23
17
TGVWTPHTQOCPCUUGVYKVJJKIJGTNKSWKFKV[VQEQORGPUCVGHQTVJGNCEMQHNKSWKFKV[
5KOKNCTN[KHVJGCUUGVTGVWTPEQXCTKGUYKVJU[UVGOCVKENKSWKFKV[KVYQWNF[KGNFCNK
quidity risk premium to compensate for an event in which the asset differs in price
CNQPIYKVJVJGCDKNKV[VQNKSWKFCVGKV6JKUEQPLGEVWTGKUEQPUKUVGPVYKVJVJGGXKFGPEG
VJCV U[UVGOCVKE NKSWKFKV[ KU RTKEGF KP GSWKV[ OCTMGVU UGG 2CUVQT CPF 5VCODCWIJ
CPF)KDUQPCPF/QWIGQV
)GVOCPUM[GVCN
CPF#TCIQP
CPCN[\GKPFKXKFWCNCUUGVNKSWKFKV[
These authors focus primarily on illiquidity as a cost factor that induces serial co
TTGNCVKQPKPKPFKXKFWCNJGFIGHWPFTGVWTPUCPFKVOC[CNUQRTQXKFGCPGZRNCPCVKQP
HQT VJGKT JKIJGT GZRGEVGF TGVWTPU 5CFMC CPF $TCPFQP CPF 9CPI study whether systematic liquidity risk is priced or not in the cross section of hedge
HWPFGZRGEVGFTGVWTPU+P5CFMC
CJKIJNKSWKFKV[TKUMGZRQUWTGJGFIGHWPF
RQTVHQNKQ
VQRFGEKNGJCUCUVCVKUVKECNN[UKIPKſECPVRGTEGPVJKIJGTCPPWCNTGVWTPQP
CXGTCIGVJCPCNQYNKSWKFKV[TKUMGZRQUWTGJGFIGHWPFRQTVHQNKQ
DQVVQOFGEKNG
FWTKPIŌ
.KSWKFKV[ GHHGEVU QP TGVWTPU ECP DG EQPUKFGTGF WUKPI FKTGEVN[ NKSWKFKV[ TKUM[
RTQZ[OGCUWTGUUWEJCUKP2CUVQTCPF5VCODCWIJ
QT#OKJWF
6JKU
CTVKENGHQNNQYUCPCNVGTPCVKXGCRRTQCEJYJKEJEQPUKFGTUVJGGHHGEVQHNKSWKFKV[QP
GZEGUUTGVWTPOGCUWTGU
KGCNRJCUCPFCRRTCKUCNTCVKQUCUKP#ICTYCNCPF0CKM
CPF)GVOCPUM[GVCN
'CEJ[GCTGCEJUVQEMKPVJGOCTMGVKUENCUUK
ſGFCUJKIJNKSWKFKV[UVQEMQTNQYNKSWKFKV[QPGFGRGPFKPIKHVJGUVQEMVTCFGFOQTG
VJCPFC[UKPVJG[GCTQTNGUU6JGGHHGEVQHNKSWKFKV[YCUEQPUKFGTGFKPVYQ
YC[UVJGGHHGEVQPVJGEQPUVCPVQTQPVJGDGVCQHVJGUVQEJCUVKEFKUEQWPVHCEVQT
6JGGHHGEVKUUVCVKUVKECNN[OGCUWTGFWUKPIC%JQYVGUV6JGXCTKCDNG+JCUCXCNWG
QHQPGKHVJGUVQEMJCUOQTGVJCPSWQVGUKPVJG[GCTCPF\GTQQVJGTYKUG6JG
moment conditions becomes
Analysis and discussion
+HNKSWKFKV[FQGUPQVCHHGEVVJGUVQEJCUVKEFKUEQWPVHCEVQTVJGEQGHſEKGPVQH
and KPGS
OWUVDGGSWCNVQ\GTQ(QT/GZKEQKPVJGVYQUVGRGUVKOCVKQP
or QTDQVJCTGUVCVKUVKECNN[FKHHGTGPVHTQO\GTQKPCNN[GCTUKPVJGRGTKQF
UGG VCDNG 7UKPI VJG )// GUVKOCVKQP GKVJGT QH VJG EQGHſEKGPVU
or
KUFKHHGTGPVHTQOEGTQKPVJGRGTKQFCPFVJG[GCTUGGVCDNG
H. Valencia Herrera / Contaduría y Administración 60 (S2) 9-23
18
6JGTGKUCNKSWKFKV[GHHGEVKPVJGUVQEJCUVKEFKUEQWPVHCEVQTKP/GZKEQKPVJGRGTKQF
VJGRGTKQFQHVJGKPVGTPCVKQPCNſPCPEKCNETKUKUCPFVJG[GCTCHVGT6JG
UCOGGHHGEVUCTGEQPſTOGFYKVJVJG%JQY6GUVYJKEJUJQYUVJCVVJGTGKUNKSWKFKV[
GHHGEVKPVJGUVQEJCUVKEFKUEQWPVHCEVQTKPVJGRGTKQFWUKPIVJGVYQUVGR
GUVKOCVKQPCPFVJGKVGTCVGF)//GUVKOCVKQPUGGVCDNG+PVJGKVGTCVGF)//
GUVKOCVKQPVJGTGKUCPGHHGEVKPVJG[GCTDWVKVKUYGCMVJGRTQDCDKNKV[QHVJCV
GKVJGTEQGHſEKGPVKUGSWCNVQ\GTQKU
Table 2
%QGHſEKGPVUHQT/GZKEQYKVJVJG+46+PFGZ)//YKVJVYQUVGRU
2009
2010
2011
2012
a0
%QGH
\
***
***
***
***
***
ag
%QGH
\
**
b0
%QGH
\
**
***
bg
%QGH
Z
***
***
%QGHſEKGPVUCCHTQOCUUGVUYKVJOQTGVJCPSWQVGUKPC[GCTCIDIYKVJOQTGVJCP
SWQVGUKPC[GCT
5VCVKUVKECNN[UKIPKſECPVCVRGTEGPVNGXGN
5VCVKUVKECNN[UKIPKſECPVCVRGTEGPVNGXGN
5VCVKUVKECNN[UKIPKſECPVCVRGTEGPVNGXGN
\CTG*#%UVCPFCTFGTTQTU
5QWTEG1YPGNCDQTCVKQP
Table 3
%QGHſEKGPVUHQT/GZKEQYKVJVJG+46+PFGZKVGTCVGF)//
2009
2010
2011
2012
a0
%QGH
Z
***
***
***
ag
%QGH
Z
**
***
***
b0
%QGH
\
**
***
***
bg
%QGH
\
**
***
%QGHſEKGPVUCCHTQOCUUGVUYKVJOQTGVJCPSWQVGUKPC[GCTCIDIYKVJOQTGVJCP
SWQVGUKPC[GCT
5VCVKUVKECNN[UKIPKſECPVCVRGTEGPVNGXGN
5VCVKUVKECNN[UKIPKſECPVCVRGTEGPVNGXGN
5VCVKUVKECNN[UKIPKſECPVCVRGTEGPVNGXGN
\CTG*#%UVCPFCTFGTTQTU
5QWTEG1YPGNCDQTCVKQP
H. Valencia Herrera / Contaduría y Administración 60 (S2) 9-23
19
Table 4
%JQY6GUVHQT/GZKEQ
5VGR
2009
2010
2011
2012
EJK
Prob>Chi2
+VGTCVGF)//
EJK
Prob>Chi2
,QKPVJ[RQVJGUKU%QPUVCPVCPFUNQRGEQGHſEKGPVUQHUVQEMUYKVJOQTGVJCPSWQVGURGT[GCTKU\GTQ
5QWTEG1YPGNCDQTCVKQP
(QT%JKNGVJGGHHGEVQHNKSWKFKV[KPVJGRGTKQFVQKUCNUQQDUGTXGFVJG
RGTKQFQHVJGETGFKVſPCPEKCNETKUKUCPFVJG[GCTCHVGT6JKUGHHGEVKUQDUGTXGFWUKPI
VJGVYQUVCIGGUVKOCVQTCPFVJGKVGTCVGF)//GUVKOCVQTUGGVCDNGUCPF+PCF
FKVKQPKPVJGVYQUVCIGGUVKOCVQTCPFVJGKVGTCVGF)//GUVKOCVQTUJQYVJCV
VJGTGKUCNKSWKFKV[RTGOKWOGHHGEVUGGVCDNGUCPF6JGUGGHHGEVUCTGEQPſTOGF
WUKPIC%JQY6GUVHQTVJGOCTMGVNKSWKFKV[RTGOKWOVJCVUJQYUVJCVVJGTGKUCVNGCUV
QPGEQGHſEKGPVTGNCVGFVQVJGNKSWKFKV[RTGOKWOVJCVKVKUUVCVKUVKECNN[FKHHGTGPVHQT\GTQ
KPVJG[GCTUKPVJGRGTKQFVQCPFUGGVCDNGHQTGKVJGTVJGVYQUVCIG
GUVKOCVQTQTVJGKVGTCVGF)//GUVKOCVQT6JCVKUKPVJGRGTKQFQHVJGETGFKVſPCPEKCN
ETKUGUVJG[GCTCHVGTCPFKPVJG[GCT+VGTCVGF)//GUVKOCVKQPJCUDGVVGTUOCNN
UCORNGRTQRGTVKGUVJCPVYQUVGRGUVKOCVKQP
*CPUGP*GCVQPGVCN*QYGXGT
NCTIGUCORNGUVCVKUVKECNRTQRGTVKGUQHDQVJGUVKOCVQTUCTGTQWIJN[UKOKNCT
Table 5
%QGHſEKGPVUHQT%JKNGYKVJVJG+25#+PFGZ)//YKVJVYQUVGRU
2009
2010
2011
2012
a0
%QGH
\
***
***
***
***
***
ag
%QGH
\
**
***
b0
%QGH
bg
\
%QGH
\
*** ***
*** ***
*** ***
%QGHſEKGPVUCCHTQOCUUGVUYKVJOQTGVJCPSWQVGUKPC[GCTCIDIYKVJOQTGVJCP
SWQVGUKPC[GCT
5VCVKUVKECNN[UKIPKſECPVCVRGTEGPVNGXGN
5VCVKUVKECNN[UKIPKſECPVCVRGTEGPVNGXGN
5VCVKUVKECNN[UKIPKſECPVCVRGTEGPVNGXGN
\CTG*#%UVCPFCTFGTTQTU
5QWTEG1YPGNCDQTCVKQP
H. Valencia Herrera / Contaduría y Administración 60 (S2) 9-23
20
Table 6
%QGHſEKGPVUHQT%JKNGYKVJVJG+25#+PFGZKVGTCVGF)//.
2009
2010
2011
2012
a0
%QGH
\
**
***
**
***
***
ag
%QGH
\
***
**
***
**
b0
%QGH
\
***
***
***
Bg
%QGH
Z
**
***
***
%QGHſEKGPVUCCHTQOCUUGVUYKVJOQTGVJCPSWQVGUKPC[GCTCIDIYKVJOQTGVJCP
SWQVGUKPC[GCT
5VCVKUVKECNN[UKIPKſECPVCVRGTEGPVNGXGN
5VCVKUVKECNN[UKIPKſECPVCVRGTEGPVNGXGN
5VCVKUVKECNN[UKIPKſECPVCVRGTEGPVNGXGN
\CTG*#%UVCPFCTFGTTQTU
5QWTEG1YPGNCDQTCVKQP
6CDNG
%JQY6GUVHQT%JKNG
5VGR
2009
2010
2011
2012
EJK
Prob>Chi2
0
EJK
+VGTCVGF)//
Prob>Chi2
0
0
,QKPVJ[RQVJGUKU%QPUVCPVCPFUNQRGEQGHſEKGPVUQHUVQEMUYKVJOQTGVJCPSWQVGURGT[GCTKU\GTQ
5QWTEG1YPGNNCDQTCVKQP
+PVJGOQFGNVJGNKSWKFKV[GHHGEVKPVJGUVQEJCUVKEFKUEQWPVHCEVQTECPDGCEQPU
VCPVQTFGRGPFQPVJGNGXGNQHCPKPFGZ(QT/GZKEQWUKPIVJGVYQUVGRURTQEGFWTG
VJGTGKUCUVCVKUVKECNN[RQUKVKXGEQPUVCPVNKSWKFKV[GHHGEVKPCVVJGRGTEGPV
UKIPKſECPVNGXGNUGGVCDNG6JGGHHGEVKUOQTGPQVKEGCDNGWUKPIVJGKVGTCVGF)//
UGGVCDNG6JGGHHGEVDGEQOGUUVCVKUVKECNN[UKIPKſECPVCVVJGRGTEGPVNGXGN
+P CFFKVKQP C UVCVKUVKECNN[ RQUKVKXG EQPUVCPV GHHGEV KU QDUGTXGF KP CV VJG RGTEGPVQHUKIPKſECPEGNGXGN
(QT%JKNGWUKPIVJGVYQUVCIGRTQEGFWTGVJGTGKUCEQPUVCPVRQUKVKXGNKSWKFKV[
GHHGEVKPVJG[GCTCVVJGRGTEGPVUKIPKſECPEGNGXGNCPFKPVJG[GCTCV
VJGRGTEGPVUKIPKſECPEGNGXGNUGGVCDNG7UKPIVJGKVGTCVGF)//VJGEQPUVCPV
RQUKVKXGNKSWKFKV[GHHGEVKUQDUGTXGFKPCNN[GCTUKPVJGRGTKQFVQDWVKV
H. Valencia Herrera / Contaduría y Administración 60 (S2) 9-23
21
KUUVCVKUVKECNN[UKIPKſECPVCVVJGRGTEGPVNGXGNKPCPFCPFCVVJG
RGTEGPVNGXGNKPVJG[GCTUCPFUGGVCDNG
6JG UGPUKDKNKV[ QH VJG UVQEJCUVKE FKUEQWPV HCEVQT VQ VJG KPFGZ VQ NKSWKFKV[ ECP
FKHHGTYKVJVJGNGXGNQHVJGKPFGZ#RQUKVKXG
PGICVKXGUKIPQH implies that more
NKSWKFUVQEMUCTGNGUU
OQTGFKUEQWPVGFVJCPOQTG
NGUUNKSWKFUVQEMVJGJKIJGTVJG
KPFGZ(QT/GZKEQVJGUGPUKDKNKV[VQVJG+46KPFGZUJQYUVCVKUVKECNN[UKIPKſECPV
FKHHGTGPEGUYKVJNKSWKFKV[6JGUVQEJCUVKEFKUEQWPVHCEVQTWUKPIVJG+46+PFGZCU
OCTMGVKPFGZUJQYUCJKIJGTFKUEQWPVHQTVJGOQTGNKSWKFCUUGVUKPVJG[GCTU
CPFKPDQVJVJGVYQUVGRCPFVJGKVGTCVGF)//RTQEGFWTGU+VKUPQVKEGCDNG
VJCVVJGUGPUKDKNKV[KUPQVUVCVKUVKECNN[UKIPKſECPVKPC[GCTYJGPVJGGHHGEVUQH
VJGINQDCNNKSWKFKV[ETKUKUYGTGUVTQPIGTKPVJGTGIKQP+VKUCNUQC[GCTKPYJKEJVJG
+46+PFGZJCUCPCXGTCIGTCVGQHTGVWTPPGICVKXGUGGVCDNG
(QT%JKNGVJGGZEGUUUGPUKDKNKV[QHVJGUVQEJCUVKEFKUEQWPVVQVJGKPFGZVQNKSWK
FKV[KUUVCVKUVKECNN[PGICVKXGKPCPFRQUKVKXGKPCPFYKVJVJGVYQ
UVGROGVJQFUGGVCDNG7UKPIVJGKVGTCVGF)//OGVJQFUVJGGZEGUUKURQUKVKXG
HQTVJG[GCTUCPFCPFPGICVKXGHQTVJG[GCTUGGVCDNG0QVKEGVJCV
KPC[GCTKPYJKEJVJGCXGTCIG+25#TGVWTPTCVGYCUPGICVKXGVJGUVQEJCUVKE
FKUEQWPVUJQYUCITGCVGTUGPUKDKNKV[VQVJGKPFGZHQTVJGOQTGNKSWKFCUUGVUYKVJC
UVCVKUVKECNUKIPKſECPEGQHRGTEGPV6JKUTGUWNVKUQDUGTXGFYKVJVJG+25#+PFGZ
CUCOCTMGVKPFGZCPFWUKPIVJGVYQUVGRCPFVJGKVGTCVGF)//OGVJQFUUGGVCDNGU
VQ
Conclusions
6JG UVQEJCUVKE FKUEQWPV HCEVQT ECP RTQXKFG GXKFGPEG QH OKURTKEKPI QH CUUGVU
even though literature frequently discusses these issues using asset pricing models
UWEJCUVJG%#2/QTOWNVKHCEVQTOQFGNU6JGTGKUCNKSWKFKV[RTGOKWOHCEVQTKP
VJG/GZKECPCPF%JKNGCPGEQPQOKGUKPUQOG[GCTUQHVJGRGTKQFQHUVWF[
6JG)//OGVJQFECPIKXGFKHHGTGPVKPHGTGPEGUKHCVYQUVCIGGUVKOCVQTQT
CPKVGTCVGFQPGKUEQPUKFGTGF*QYGXGTDQVJOGVJQFUQHHGTUVCVKUVKECNGXKFGPEGVJCV
VJGTGKUCNKSWKFKV[RTGOKWOHCEVQTKPVJG[GCTUQHVJGKPVGTPCVKQPCNETGFKVſPCPEKCN
ETKUKUCPFVJG[GCTCHVGTHQT/GZKEQCPF%JKNGGZEGRVKPHQT%JKNG
YKVJVJGVYQUVGRRTQEGFWTG
6JGNKSWKFKV[GHHGEVECPDGEQPUVCPVQTFGRGPFQPVJGNGXGNQHCPKPFGZ#UVCVKU
VKECNN[UKIPKſECPVEQPUVCPVGHHGEVKUQDUGTXGFWUKPIVJGKVGTCVGF)//HQT/GZKEQ
KPVJG[GCTUCPFCPFHQT%JKNGKPVJG[GCTUVQCPF
+P/GZKEQVJGUGPUKDKNKV[QHVJGUVQEJCUVKEFKUEQWPVHCEVQTVQVJG+46CUOCTMGV
KPFGZKUUVCVKUVKECNN[UOCNNGTKHVJGUVQEMUCTGOQTGNKSWKFKPVJG[GCTUCPF
22
H. Valencia Herrera / Contaduría y Administración 60 (S2) 9-23
WUKPIVJGKVGTCVGF)//(QT%JKNGVJGUGPUKDKNKV[QHVJGUVQEJCUVKEFKUEQWPV
HCEVQTVQVJG+46CUOCTMGVKPFGZKUUVCVKUVKECNN[UOCNNGTKHVJGUVQEMUCTGOQTGNK
SWKFKPVJG[GCTUVQWUKPIVJGKVGTCVGF)//
The results warrants a careful interpretation considering a possible model miss
RGEKſECVKQPYJKEJECPTGUWNVHTQOOKUUKPIHCEVQTUCPQPNKPGCTHCEVQTOQFGNKPCFG
SWCVGKPUVTWOGPVUQTQXGTKFGPVKſECVKQPKUUWGUYJKEJCTGNGHVHQTHWTVJGTGZVGPUKQPU
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(KPKVG5CORNG2TQRGTVKGUQH5QOG#NVGTPCVKXG)//'UVKOC
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8CNGPEKC*GTTGTC*
5VQEJCUVKE&KUEQWPV(CEVQTHQT/GZKEQCPF%JKNGCEQPVKPWQWUWRFCV
KPIGUVKOCVKQPCRRTQCEJEstocástica, 4 9CPI;&K+QTKQ#
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