Return and liquidity risk with indices based on free float in the Chilean stock exchange

Rentabilidad y riesgo de liquidez con índices basados en capital flotante en la Bolsa de Valores de Chile

Francisco Javier Vasquez Tejos y  Hernan Marcelo Pape Larre

Suma de Negocios, 13(29), 132-139, julio-diciembre 2022, ISSN 2215-910X

https://doi.org/10.14349/sumneg/2022.V13.N29.A6

Received November 21, 2022
Accepted January 31, 2023
Online February 10, 2023

Resumen

Introducción/objetivo: este artículo exploró la relación entre el riesgo de liquidez y la rentabilidad de las acciones en el mercado bursátil chileno, utilizando tres medidas de riesgo de liquidez ampliamente utilizadas en otras investigaciones y tres medidas recientes a las que se suma la variable de capital flotante.

Metodología: el análisis se realiza mediante regresión de datos de panel durante el período 2010-2019, la muestra considera 46 empresas chilenas con un total de 5509 observaciones mensuales.

Resultados: se observa una relación entre la rentabilidad y el riesgo de liquidez, pero solo para dos de las medidas utilizadas. Las medidas de riesgo de liquidez basadas en capital flotante no muestran resultados en esta línea.

Conclusiones: este trabajo, es un indicio más de que los riesgos financieros son difíciles de encasillar en un modelo específico y el riesgo de liquidez no es una excepción. Según la evidencia esta investigación señala que el riesgo de liquidez puede ser medido y capturado por diferentes índices y modelos.


Palabras clave:
Riesgo de liquidez,
rentabilidad sobre el patrimonio,
medida de liquidez,
capital flotante,
Chile.

Códigos JEL:
G12, G17, G19, G32

Abstract

Introduction/objective: This paper explored the relationship between liquidity risk and stock returns in the Chilean stock market, using three measures of liquidity risk widely used in other research and three measures to which the free float variable is added.

Methodology: The analysis is performed using panel data regression for the period 2010-2019, the sample considers 46 Chilean companies with a total of 5,509 monthly observations.

Results: These show a relationship between profitability and liquidity risk, but only for two of the measures used. Liquidity risk measures based on free float do not show results in this line.

Conclusions: This work is another indication that financial risks are difficult to classify in a specific model and liquidity risk is no exception. All the previous evidence, as well as this research, indicates that liquidity risk can be measured and captured by different indices and models.


Keywords:
Liquidity risk,
return on equity,
measure of liquidity,
free float,
Chile.

Artículo Completo
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Universidad de las Américas, Chile
Universidad de Atacama, Chile
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