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Análise econômico-financeira setorial: estudo da relação entre liquidez e rentabilidade sob a ótica do modelo dinâmico; Sectorial economical-financial analysis: relationship study between liquidity and profitability under the dynamic model's optics

Sato, Sonia Sanae
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 10/12/2007 Português
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Este trabalho teve como propósito apresentar e analisar a relação entre liquidez e rentabilidade das empresas sob a ótica do modelo dinâmico. Para tanto, recorreu-se à revisão bibliográfica do modelo dinâmico que foi introduzido no Brasil pelo professor francês Michel Fleuriet que atuou na década de 70 na Fundação Dom Cabral. Este modelo que tem como objetivo analisar o investimento em capital de giro e sua administração, além de retomar o tema da liquidez permitiu avaliar a tomada de decisões das empresas, bem como revelar diretrizes para o futuro a partir da reclassificação do balanço patrimonial e isolamento de três variáveis chaves - a necessidade de capital de giro (NCG), o capital de giro (CDG) e o saldo de tesouraria (ST) - cuja combinação culminou na identificação de seis tipos de estruturas financeiras. Deste modo o modelo dinâmico, mudou o enfoque da análise tradicional voltada para o aspecto de solvência e descontinuidade dos negócios, para uma análise dinâmica voltada para a real situação de liquidez da empresa e integrada a sua dinâmica operacional. Assim, para fins de avaliação da liquidez, esta pesquisa optou pela utilização do modelo dinâmico e para a avaliação da rentabilidade foram utilizados os indicadores tradicionais de rentabilidade: margem líquida (ML)...

International Liquidity Rents

Eden, Maya
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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This paper presents a model of global liquidity shortages. Liquid claims are enforceable promises that play a transaction role. Since developed economies have a comparative advantage in creating liquidity, they export liquid claims to emerging economies, resulting in a permanent current account deficit. This model suggests that unrestricted liquidity flows are (a) welfare reducing for emerging economies and (b) Pareto inefficient. The inefficiency results both from excessive investment for the purpose of creating collateral-backed liquid claims, and from excessive global fragility with respect to collateral shocks.

Nigeria : Strengthening Monetary and Liquidity Management

International Monetary Fund; World Bank
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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The 2002 Financial Sector Assessment Program (FSAP) identified considerable problems in containing the upsurge in liquidity in the financial system, partly caused by spending of oil receipts. In the face of persistent excess liquidity in the financial system, the Central Bank of Nigeria (CBN) made numerous adjustments in the monetary policy framework and instruments; however, these had a limited impact on monetary aggregates. A structural excess liquidity is a common feature in oil exporting countries like Nigeria because of sustained large foreign currency inflows. This note reviews the current frameworks for monetary policy and liquidity management and discusses role of selective financial markets in improving liquidity management in Nigeria. It also provides some recommendations to further strengthen the implementation of monetary policy, particularly systemic liquidity management. This note is structured as follows: chapter one gives context and background; chapter two gives monetary policy framework; chapter three presents liquidity forecasting and management; chapter four gives functioning of financial markets and liquidity management; and chapter five gives recommendations.

Mortgage Liquidity Facilities

Hassler, Olivier; Walley, Simon
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
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This note brings together some of the policy lessons learnt in the creation of mortgage liquidity facilities around the world. It looks at the main benefits which can be derived from the creation of a mortgage liquidity facility and the conditions under which they can operate most effectively. The note details some of the pre-conditions necessary for the creation of a liquidity facility. There is summary of some of the key techniques used in obtaining security over the mortgage collateral. Lastly two important aspects which are crucial to building confidence in mortgage liquidity facilities are how they are regulated and their corporate governance. The note brings in relevant examples from liquidity facilities which have been set up as far back as 1987 (Malaysia), from developed countries (France) and from facilities still under discussion (West Africa). Overall the note points to the valuable developmental role that mortgage liquidity facilities can play in nascent mortgage markets as an intermediary between capital markets in the primary mortgage markets. This is especially the case in markets where the mortgage lending infra-structure and environment have not developed sufficiently to allow for other more sophisticated alternatives such as securitization or covered bonds.

Liquidity, Governance and Adverse Selection in Asset Pricing

Strobl, Sascha
Fonte: FIU Digital Commons Publicador: FIU Digital Commons
Tipo: Artigo de Revista Científica Formato: application/pdf
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A plethora of recent literature on asset pricing provides plenty of empirical evidence on the importance of liquidity, governance and adverse selection of equity on pricing of assets together with more traditional factors such as market beta and the Fama-French factors. However, literature has usually stressed that these factors are priced individually. In this dissertation we argue that these factors may be related to each other, hence not only individual but also joint tests of their significance is called for. In the three related essays, we examine the liquidity premium in the context of the finer three-digit SIC industry classification, joint importance of liquidity and governance factors as well as governance and adverse selection. Recent studies by Core, Guay and Rusticus (2006) and Ben-Rephael, Kadan and Wohl (2010) find that governance and liquidity premiums are dwindling in the last few years. One reason could be that liquidity is very unevenly distributed across industries. This could affect the interpretation of prior liquidity studies. Thus, in the first chapter we analyze the relation of industry clustering and liquidity risk following a finer industry classification suggested by Johnson, Moorman and Sorescu (2009). In the second chapter...

How foreign trades affect domestic market liquidity: a transaction level analysis.

Peranginangin, Yessy Arnold
Fonte: Universidade de Adelaide Publicador: Universidade de Adelaide
Tipo: Tese de Doutorado
Publicado em //2014 Português
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The extant literature has documented the significance of foreign trades on domestic markets as well as the importance of commonality in liquidity in a market, but it seems to be silent on how foreign trades affect commonality in liquidity, especially at the transaction level. The lack of research that investigates this line of enquiry provides the overarching research theme for this thesis. To investigate the research theme I use transaction data from the Indonesian Stock Exchange (IDX) that allows me to identify the trading activities of foreign-versus-domestic investors on a trade-by-trade basis. I find that foreign investors enhance commonality in spread when they initiate trades on both sides of the market which are motivated either by differences in interpreting information or by the desire to trade immediately, but not by information asymmetry. This finding is surprising given the prevalence of asymmetric information evidence surrounding domestic and foreign interaction and the proposition of Chordia, Roll and Subrahmanyam (2000) suggesting that information asymmetry could induce commonality in liquidity. The lack of evidence to link information asymmetry between domestic and foreign investors and commonality in liquidity, along with the findings indicating that foreigners trade more aggressively than locals...

Liquidity Shocks in Over-the-Counter Markets; Liquiditätsschocks in Over the Counter Märkten

Kudlik, Ingrid
Fonte: Universität Tübingen Publicador: Universität Tübingen
Tipo: Dissertação
Português
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This dissertation addresses liquidity and aggregate liquidity shocks in over-the-counter (OTC) markets. The topic was inspired by the pioneering work of Duffie, Gârleanu, and Pedersen (2005, 2007), who initiated a new strand of literature about asset pricing in OTC markets. This thesis completes the aggregate liquidity shock model of Duffie, Gârleanu, and Pedersen (2007), since it turned out to be imperfect. The thesis starts with an introduction into the basic search and bargaining model by Duffie et al. (2005) for asset pricing in an illiquid OTC market. Illiquidity is modeled with search frictions, which imply that trade does not happen instantly. Upon finding a trading partner, asset prices are directly bargained between those agents. This model forms the basis for the aggregate liquidity shock model by Duffie et al. (2007). Aggregate liquidity shocks are associated with a sudden shift in agents’ preferences towards asset holding, affecting a large fraction of investors simultaneously. Several investors experience a sudden decrease in their liquidity, leading to a forced withdrawal of assets: The market is hit by a selling pressure. This thesis presents an analytical solution method for the aggregate liquidity shock model of Duffie et al. (2007) and derives a semi-analytical solution for asset prices. Additionally...

How does liquidity behave? A multidimensional analysis of NYSE stocks

Pascual, Roberto; Escribano, Álvaro; Tapia, Mikel
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /09/1999 Português
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In a continuous trading market, taking efficiency as given, variations in liquidity can be measured by simultaneous changes in both inmediacy costs and depth. Past theoretical and empirical microstructure literature is, however, one-dimensional. Only a reduced number of empirical studies consider inmediacy costs and depth proxies together. Using intraday data from the NYSE, this paper deals with how liquidity regularly behaves and how it reacts to changing market conditions by concurrently analyzing intraday regular patterns of alternative inmediacy costs and depth measures. A new liquidity measure called BLM is introduced that captures simultaneous changes in both liquidity dimensions. It is evidenced that intraday patterns in market making costs can (at least partially) explain the regular changes in liquidity and that only volatility changes have an unambiguous effect on liquidity. In this way, this study looks in greater depth into, and is able to give more general conclusions about, the general behavior and the determinants of liquidity at the NYSE.

On the bi-dimensionality of liquidity

Escribano, Álvaro; Pascual, Roberto; Tapia, Mikel
Fonte: Taylor & Francis Publicador: Taylor & Francis
Tipo: Artigo de Revista Científica Formato: text/plain; application/pdf
Publicado em //2004 Português
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Variations in overall liquidity can be measured by simultaneous changes in both immediacy costs and depth. Liquidity changes, however, are ambiguous whenever both liquidity dimensions do not reinforce each other. In this paper, ambiguity is characterized using an instantaneous time-varying elasticity concept. Several bi-dimensional liquidity measures that cope with the ambiguity problem are constructed. First, it is shown that bi-dimensional measures are superior since commonalities in overall liquidity cannot be fully explained by the common factors in one-dimensional proxies of liquidity. Second, it is shown that an infinitesimal variation in either market volatility or trading activity augments the probability of observing an unambiguous liquidity adjustment. Ambiguity strongly depends on the expected (deterministic) component of volatility.

Liquidity Commonalities in the Corporate CDS Market around

Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; Rodríguez-Moreno, María
Fonte: SSRN Publicador: SSRN
Tipo: info:eu-repo/semantics/submittedVersion; info:eu-repo/semantics/workingPaper Formato: application/pdf
Publicado em /10/2012 Português
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This study presents robust empírical evidence suggesting the existence of significant liquidity commonalities in the corporate Credit Default Swap (CDS) market. Using daily data for 438 firms from 25 countries in the period 2005-2012 we find that these commonalities vary over time, being stronger in periods in which the global, counterparty, and funding liquidity risks increase. However, commonalities do not depend on finn's characteristics. The leve! of the liquidity commonalities differs across economic areas being on average stronger in the European Monetary Union. The effect of market liquidity is stronger than the effect of industry specific liquidity in most industries excluding the banking sector. We document the existence of asymmetries in commonalities around financia! distress episodes such that the effect of market 1iquidity is stronger when the CDS market price increases. The results are not driven by the CDS data imputation method or by the liquidity of firms with high credit risk and are robust to altemative liquidity measures.

Liquidity Provision in the Limit Order Book - Adverse Selection, Iceberg Orders and the Opening Auction; Liquiditätsangebot im Orderbuch - Adverse Selektion, Iceberg Orders und die Eröffnungsauktion

Frey, Stefan
Fonte: Universität Tübingen Publicador: Universität Tübingen
Tipo: Dissertation; info:eu-repo/semantics/doctoralThesis
Português
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The dissertation highlights different topics of equity trading in limit order books using the example of Deutsche Boerse's electronic trading system XETRA. The first introductory chapter is a straight forward discussion of the profitability of exchange trading for both the exchange operator and the liquidity suppliers. It applies Harris and Hasbrouck(1996) for the continuous trading and extends it to the auction phase. The second chapter analyzes the impact of adverse selection on liquidity provision. It relaxes the the assumptions of Sandas(2001) empirical implementation of the theoretical model outlined in Glosten(1994) in two dimensions. Replacing the marginal profit conditions with average ones improves the empirical performance, whereas the nonparametric specification of the market order size does not. A cross sectional analysis corroborates the finding that adverse selection costs are more severe for smaller capitalized stocks. Iceberg orders allow traders to submit hidden liquidity into the order book. The third chapter studies the interaction between hidden liquidity and overall liquidity provision. It provides evidence that iceberg orders can be detected using public information and that market participants follow state-dependent order submission strategies. At times of iceberg orders prevailing in the order book the marker order flow and price impact changes. After adjusting for those effects in the Glosten/Sandas framework the marginal compensation of liquidity provision changes. The fourth chapter changes the focus to the opening auction. It proposes an extension to Biais et al.(1999) to remove the market microstructure noise of the indicative price regression. The results show that the indicative price becomes informative about the true value at the very beginning of the call phase...

Warrants, ownership concentration, and market liquidity

Brockman, P.; Olsen, B.
Fonte: Emerald Group Publishing Publicador: Emerald Group Publishing
Tipo: Artigo de Revista Científica
Publicado em //2013 Português
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Purpose – Firms issuing equity securities for capital must recognize that this issuance may alter the ownership concentration of the firm. Through this change in ownership structure, the market liquidity of the firm's stock may also change, which has implications for the cost of equity capital and firm value. This paper aims to examine a specific security, the common stock purchase warrant, within this context. It also aims to posit that the decision to issue warrants has important implications for the firm's subsequent ownership structure and market liquidity. Design/methodology/approach – The paper's unique dataset of warrant‐issuing firms tracks the warrants from their issue through to their exercise. Based on the study of SEOs by Kothare, the ownership concentration and market liquidity of the underlying stock prior to and following warrant exercises are measured. The paper examines the causal relations between warrant exercises and ownership changes, and between ownership changes and market liquidity. Findings – The paper shows that firms experience a statistically and economically significant decrease in ownership concentration following warrant exercises. Examining the liquidity effects of this change in ownership, it shows that market liquidity increases significantly after the exercise of warrants...

Liquidity Constraints and Investment in Transition Economies; The Case of Bulgaria

Budina, Nina; Garretsen, Harry; de Jong, Eelke
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Working Paper; Publications & Research; Publications & Research :: Policy Research Working Paper
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The authors use firm level data on Bulgaria to investigate the impact of liquidity constraints on firms investment performance. Internal funds are a important determinant of investment in most industrial economies. The authors use a simple accelerator model of investment to test whether liquidity constraints are relevant in Bulgaria's case. Their estimates are based on data for 1993-95, before Bulgaria's financial crisis of 1996-97. It turns out that Bulgarian firms are liquidity-constrained and that firms size and financial structure help to distinguish between firms that are more and less liquidity-constrained. In the authors' view, liquidity constraints in transition economies should be interpreted in different ways than those in industrial economies. In Bulgaria, liquidity constraints, and hence access to external funds should be seen in the context of soft budget constraints and the financial systems failure to enforce the efficient allocation of funds. The relationship between liquidity constraints and firm characteristics may actually be the opposite of what is normally the case in industrial countries. In Bulgaria...

The Heavenly Liquidity Twin : The Increasing Importance of Liquidity Risk

Montes-Negret, Fernando
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
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Liquidity and solvency have been called the "heavenly twins" of banking (Goodhart, Charles, 'Liquidity Risk Management', Financial Stability Review -- Special Issue on Liquidity, Banque de France, No. 11, February, 2008). Since these "twins" interact in complex ways, it is difficult -- particularly at times of crisis--to distinguish between them, especially in the presence of information asymmetries (Information asymmetry occurs when one party has more or better information than the other, creating an imbalance of power, giving rise to adverse selection and moral hazard ). An insolvent bank can be liquid or illiquid, and a solvent bank may be at times illiquid. In the latter case, insolvency is not far away, since banking is grounded in information and confidence, and it is confidence which in the end determines liquidity. In other words, liquidity is very much endogenous, determined by the general condition of a bank, as well as the perception of it by the public and market participants. Dealing with liquidity risk is more challenging than dealing with other risks...

When the Rivers Run Dry : Liquidity and the Use of Wholesale Funds in the Transmission of the U.S. Subprime Crisis

Raddatz, Claudio
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
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This paper provides systematic evidence of the role of banks' reliance on wholesale funding in the international transmission of the ongoing financial crisis. It conducts an event study to estimate the impact of the liquidity crunch of September 15, 2008, on the stock price returns of 662 individual banks across 44 countries, and tests whether differences in the abnormal returns observed around those events relate to these banks' ex-ante reliance on wholesale funding. Globally and within countries, banks that relied more heavily in non-deposit sources of funds experienced a significantly larger decline in stock returns even after controlling for other mechanisms. Within a country, the abnormal returns of banks with high wholesale dependence fell about 2 percent more than those of banks with low dependence during the three days following Lehman Brothers' bankruptcy. This large differential return suggests that liquidity played an important role in the transmission of the crisis.

Liquidity Clienteles : Transaction Costs and Investment Decisions of Individual Investors

Anginer, Deniz
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
Português
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Theoretical papers link the liquidity premium to the optimal trading decisions of investors facing transaction costs. In particular, investors' holding periods determine how transaction costs are amortized and priced in asset returns. Using a unique data set containing two million trades, this paper investigates the relationship between holding periods and transaction costs for 66,000 households from a large discount brokerage. The author finds that transaction costs are an important determinant of investors' holding periods, after controlling for household and stock characteristics. The relationship between holding periods and transaction costs is stronger among more sophisticated investors. Households with longer holding periods earn significantly higher returns after amortized transaction costs, and households that have holding periods that are positively related to transaction costs earn both higher gross and net returns. The author shows that there is correlation in the demand for liquid assets across households and...

Liquidity risk premia : an empirical analysis of european corporate bond yields

Gaspar, Raquel M.; Pereira, Patrícia
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Artigo de Revista Científica
Publicado em //2011 Português
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In this study we highlight the importance of liquidity risk, especially in periods of market stress, and advocate in favour of an explicit consideration of a liquidity premium when using mark-to-model methodologies to value financial assets. For European corporate bonds, we show that the liquidity premium, calculated as the difference between the yield spread of corporate bonds and the spread of credit default swaps, grew significantly during the recent market turmoil not only in absolute terms but also in relative terms. Although liquidity premiums were far from stable during the time frame of analysis-from 1 January 2005 to 31 December 2009 - on average roughly 40% of corporate yield spreads can be interpreted in terms of liquidity premia. We propose direct matching between the CDS and the underlying reference assets when computing liquidity premia. This differs from what seems to be the industry standard, which is simply to use indices when trying to infer market implied liquidity premia. Although computationally more demanding, the method we use is sounder from a theoretical point of view and produces richer results and analysis. With this method we are able present an analysis of liquidity risk premia per sector of activity.

Friend or foe? Foreign investors and the liquidity of six asian emerging markets

Agudelo, Diego A.
Fonte: John Wiley & Sons, Inc. Publicador: John Wiley & Sons, Inc.
Tipo: article; info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Art??culo; publishedVersion
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Studying foreign flows and the liquidity of six Asian markets and the Johannesburg Stock Exchange, we provide evidence of two contrary effects of foreigners on liquidity. On the one hand, foreign trade has a negative but transitory impact on the overall liquidity of the market on a daily basis, consistent with foreign investors demanding liquidity more aggressively than locals and incorporating market-wide information. On the other hand, the overall share of foreign ownership in the market is positively related to improved liquidity, consistent with foreigners improving liquidity provision and sending a positive signal to the market on transparency and monitoring. Overall, the results portray foreign investors as aggressively demanding liquidity in the very short term, but having a lasting positive effect on the liquidity of emerging markets.

Corporate bonds' liquidity in Brazilian market; Liquidez de las obligaciones negociables en el mercado brasileño; Liquidez das debêntures no mercado brasileiro

Sheng, Hsia Hua; Saito, Richard
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Artigo Avaliado pelos Pares Formato: application/pdf
Publicado em 01/06/2008 Português
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This study investigates empirically the liquidity proxies based on characteristics of Brazilian corporate bonds, as well as the interaction among liquidity measures. This approach was suggested by Houweling, Mentink and Vorst (2004), since traditional liquidity measures are difficult to be obtained in the corporate bonds market. Data on 135 public issues and their daily trading activities records on the market up to 18 months after issuance was gathered (Jan/1999 - Jun/2004). Parametric and Non-Parametric tests were performed to analyze the different liquidity measures, and the stepwise forward linear regression method was employed to select some of bond's characteristics. We found evidence that issue size and certain types of issuers, for instance, oil and energy sectors, are liquidity proxies; controlling for certain types of issuers, bonds with high issue size are more liquid; the relation between age and liquidity is not clear; the difference between maximum and minimum trading prices is not an appropriate liquidity measure.; En este estudio se investigan empíricamente proxies de liquidez basadas en las características de las obligaciones negociables emitidas por empresas brasileñas, así como la interacción entre las medidas de liquidez. Dicho planteamiento fue sugerido por Houweling...

Pricing the liquidity spread in the secondary bond market; La fijación del spread de liquidez en el mercado secundario de debentures; O apreçamento do spread de liquidez no mercado secundário de debêntures

Gonçalves, Paulo Eduardo; Sheng, Hsia Hua
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; Artigo Avaliado pelos Pares Formato: application/pdf
Publicado em 01/03/2010 Português
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The goal of this work is to analyze and to price the liquidity premium demanded by investors in the trading of corporate bonds in the Brazilian secondary market, based on the bonds' daily yield to maturity. The econometric tests were performed based on a model by Houweling, Mentink and Vorst (2005) applied to the Eurobonds market for the years 1999 to 2001. A five-variable model was implemented to control for other sources of risks, which are determinants of the corporate bonds spread, apart from liquidity. The well-known, two-factor Fama-French (1993) model of fixed income bonds was used to control for credit risk and interest rate risk; the marginal effects were incorporated through individual corporate bond characteristics (rating and duration) and a factor based on the PréxDI rate of the portfolios' duration was included to adapt the model to the peculiarities of the Brazilian bond market. The work took into account four liquidity proxies that are widely used in the literature: issued amount, age of issue, daily number of trades, and bid-ask spread. The model was estimated once for each of the proxies. In order to conduct the regression tests and to price the liquidity premium in the Brazilian secondary bond market, all of the model variables were calculated for each one of the data samples. Then...