Micro & small caps liquidity and stock return : an analysis of the US market

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dc.contributor.advisorLefevbre, Jérémie
dc.contributor.authorRojas Martínez, Harold Gustavo
dc.coverage.spatialEstados Unidos
dc.date.accessioned2019-06-06T21:41:00Z
dc.date.available2019-06-06T21:41:00Z
dc.date.issued2018
dc.description.abstractIn this study we analyze the impact of different liquidity factors on the expected returns of the small caps listed in the USA stock market and find evidence that the mentioned effect exists. We show the existence of a premium driven by small caps that is not captured by the size factor but instead by their liquidity; this was done through performing linear regressions on models built as an extension of the Fama & French three-factor model. We learned that the liquidity factor exists and is bigger and statistically significant in the small caps than it is in the big caps, which corroborates what is stated in the literature. The importance of this investigation lays down in the potential application when deciding to build a portfolio that takes advantage of the liquidity effect of the small caps in addition to the standard ‘size effect’.en_EN
dc.formatapplication/pdfes_ES
dc.identifier.urihttps://hdl.handle.net/20.500.12640/1592
dc.language.isoenges_ES
dc.publisherUniversidad ESANes_ES
dc.publisher.countryPEes_ES
dc.rightsAtribución-NoComercial 2.5 Perú*
dc.rightsinfo:eu-repo/semantics/openAccesses_ES
dc.rights.urihttps://creativecommons.org/licenses/by-nc/2.5/pe/*
dc.subjectLiquidezes_ES
dc.subjectMovimiento de capitaleses_ES
dc.subjectTasa de rendimientoes_ES
dc.subjectAccioneses_ES
dc.subjectMercado financieroes_ES
dc.subject.ocdehttps://purl.org/pe-repo/ocde/ford#5.02.04es_ES
dc.titleMicro & small caps liquidity and stock return : an analysis of the US marketen_EN
dc.typeinfo:eu-repo/semantics/masterThesises_ES
dc.type.otherTesis de Maestría
renati.author.dni42834036
renati.discipline413017es_ES
renati.jurorCueto, Diego
renati.levelhttp://purl.org/pe-repo/renati/level#maestroes_ES
renati.typehttp://purl.org/pe-repo/renati/type#tesises_ES
thesis.degree.disciplineAdministraciónes_ES
thesis.degree.grantorUniversidad ESAN. Escuela de Administración de Negocios para Graduadoses_ES
thesis.degree.nameMaestro en Administraciónes_ES
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