 
日時： 5月10日（木）17：15～18：45
場所： マーキュリータワー5階 3501 室「商学研究科コンファレンスルーム2」 【アクセス方法】
報告者： Joseph French氏（University of Northern Colorado）
We dissect the impact of liquidity on returns of firms in Brazil, Chile, Colombia, Mexico, and Peru, using a detailed data set of firm characteristics over various market cycles. We find that firm-level liquidity (illiquidity) is positively (negatively) associated with returns, and that global illiquidity and endogenously determined crisis periods are negatively associated with returns. In contrast to the majority of the literature on developed markets, our results indicate that liquidity is a less important risk factor in Latin America. Our findings suggest that improvements in firm-level liquidity will enhance returns and reduce the vulnerability of returns to global illiquidity.
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