{"id":2627,"date":"2023-11-06T12:23:06","date_gmt":"2023-11-06T15:23:06","guid":{"rendered":"https:\/\/www.ufrgs.br\/ppge\/?p=2627"},"modified":"2023-11-06T14:51:48","modified_gmt":"2023-11-06T17:51:48","slug":"seminario-de-pesquisa-08-11-2023","status":"publish","type":"post","link":"https:\/\/www.ufrgs.br\/ppge\/seminario-de-pesquisa-08-11-2023\/","title":{"rendered":"Semin\u00e1rio de Pesquisa 08\/11\/2023"},"content":{"rendered":"\n<p class=\"wp-block-paragraph\">Ocorrer\u00e1 no dia 08\/11\/2023 \u00e0s 16h o Semin\u00e1rio de Pesquisa \u201c<strong>Expected Returns and Liquidity Risk: Does Entrepreneurial Income Matter?<\/strong>\u201d na \u00e1rea de Economia Aplicada, ministrado pelo Professor&nbsp;<strong>Ricardo Buscariolli (UFABC)<\/strong>.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>Artigo: <\/strong>Expected Returns and Liquidity Risk: Does Entrepreneurial Income Matter?<\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>Autor<\/strong>: Ricardo Buscariolli (UFABC)<\/p>\n\n\n\n<p class=\"wp-block-paragraph\"><strong>Abstract<\/strong>: This paper studies the effects of jointly incorporating liquidity risk and non-tradable wealth in a single asset pricing equation. We build an overlapping-generations model with random endowment shocks and liquidity risk and evaluate their joint impact on expected returns. The model presents a single-factor asset pricing equation with a new term capturing the covariance between assets&#8217; liquidity and non-tradable wealth. In this economy, assets with higher liquidity or returns in times when non-tradable wealth is low command lower expected returns. We investigate if risks associated with liquidity are priced after including non-tradable wealth due to entrepreneurial income. We test the model on equally and value-weighted portfolios sorted by illiquidity levels, illiquidity variation and size, using U.S. stock data from January 1962 to December 20018. The extra terms due to entrepreneurial income reduce liquidity risk premium by 20%, with an impact of 0.61% per year on expected returns of value-weighted illiquidity-sorted portfolios. Overall, liquidity risk as a whole has an yearly premium equal to 6.88%. However, liquidity levels are much more important and have a premium of 3.02% per year, contributing to most of the explanatory gains of the model.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Ocorrer\u00e1 no dia 08\/11\/2023 \u00e0s 16h o Semin\u00e1rio de Pesquisa \u201cExpected Returns and Liquidity Risk: Does Entrepreneurial Income Matter?\u201d na \u00e1rea de Economia Aplicada, ministrado pelo Professor&nbsp;Ricardo Buscariolli (UFABC). Artigo: Expected Returns and Liquidity Risk: Does Entrepreneurial Income Matter? Autor: Ricardo Buscariolli (UFABC) Abstract: This paper studies the effects of jointly incorporating liquidity risk and [&hellip;]<\/p>\n","protected":false},"author":4,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"default","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","ast-disable-related-posts":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"set","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-opacity":"","overlay-gradient":""}},"footnotes":""},"categories":[9,3],"tags":[],"class_list":["post-2627","post","type-post","status-publish","format-standard","hentry","category-economia-aplicada","category-seminarios"],"_links":{"self":[{"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/posts\/2627","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/users\/4"}],"replies":[{"embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/comments?post=2627"}],"version-history":[{"count":2,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/posts\/2627\/revisions"}],"predecessor-version":[{"id":2631,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/posts\/2627\/revisions\/2631"}],"wp:attachment":[{"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/media?parent=2627"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/categories?post=2627"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.ufrgs.br\/ppge\/wp-json\/wp\/v2\/tags?post=2627"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}