중남미
연구정보
Return and Liquidity Relationships on Market and Accounting Levels in Brazil
브라질 국외연구자료 기타 Fernanda Finotti Cordeiro Perobelli, Rubens Famá, Luiz Claudio Sacramento Revista Contabilidade & Finanças 발간일 : 2016-08-03 등록일 : 2016-08-03 원문링크
This article discusses profitability-liquidity relationships on accounting and market levels for 872shares of publicly-traded Brazilian companies, observed between 1994 and 2013. On the market level, theassumption is that share liquidity is able to reduce some of the risks incurred by investors, making themmore willing to pay a higher price for liquid shares, which would lower expected market returns. On theaccounting level, the basic hypothesis argues that a firm's holding more liquid assets is related to aconservative investment policy, possibly reducing accounting returns for shareholders. Under theassumption of financial constraint, however, more accounting liquidity would allow positive net present valueinvestments to be carried out, increasing future accounting returns, which would positively affect marketliquidity and share prices in an efficient market, resulting in a lower market risk/expected return premium.Under the assumption of no financial constraint, however, more accounting liquidity would only represent acarry cost, compromising future accounting returns, which would adversely affect market liquidity and shareprices and result in a higher market risk/expected return premium. Among the hypotheses, the presence ofa negative market liquidity premium was verified in Brazil, with shares that traded more exhibiting a higherexpected market return. On the margins of the major theories on the subject, only two negative relationshipsbetween excess accounting liquidity and market liquidity and accounting return, supporting the carry costassumption for financially unconstrained firms, were verified. In terms of this paper's contributions, there isthe analysis, unprecedented in Brazil as far as is known, of the relationship between liquidity and return onmarket and accounting levels, considering the financial constraint hypothesis to which the firms are subject.
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