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las causas reales de esta iliquidez y poder eventualmente sugerir nuevas reformas en el mercado las cuales ayuden efectivamente a aumentar la liquidez y eficiencia del mercado chileno. 7. BIBLIOGRAFÍA. 1. AMIHUD, Y. 2002. Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets 5. pp 31–56. 2. AMIHUD, Y. y MENDELSON, H. 1991. Liquidity, maturity, and the yields on U.S. treasury securities. Journal of Finance 46. pp 1411-25. 3. ASGHARIAN, H. 2004. A Comparative Analysis of Ability of Mimicking Portfolios in representing the background factors. Lund University Working paper. 4. BRENNAN, M. y SUBRAHMANYAM, A. 1996. Market microstructure and asset pricing: On the compensation for liquidity in stock returns. Journal of Financial Economics 41. pp 441-464. 5. BRENNAN, M., et al 1998. Alternative factor specifications, security characteristics and the cross-section of expected stock returns. Journal of Financial Economics 49. pp 345-373. 6. CHACKO, G. 2005. Liquidity risk in the corporate bond markets. Harvard Business School Working Paper. 7. COCHRANE, J. 2000. Asset Pricing. Princeton University Press. NJ. 8. CAMPBELL, J. et al. 1997. The Econometrics of Financial Markets. Princeton University Press. Princeton. 9. CHANG, L. et al. 1998. The Risk and Return of Factors. Journal of Financial and Quantitative Analysis 33. pp 159-188. 10. DE JONG, F. y DRIESSEN, J. 2004. Liquidity risk premia in corporate bond and equity markets. University of Amsterdam Working Paper. 18
11. DOWNING, CH. et al. 2005. Is liquidity risk priced in the corporate bond market? Rice University Working Paper. 12. FAMA, E. y FRENCH, K. 1993. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics 33. pp 3-56. 13. IQBAL, J. et al. 2005. Arbitrage pricing theory: evidence from an emerging stock market. The Lahore Journal of Economics 10: 1. pp 123-139. 19
Page 1 and 2: UNIVERSIDAD DE CHILE FACULTAD DE CI
Page 3 and 4: AGRADECIMIENTOS. Se desea agradecer
Page 5 and 6: 1. INTRODUCCIÓN. La liquidez se pu
Page 7 and 8: segundos en importancia son las com
Page 9 and 10: 2.2. Objetivos Específicos: • Cr
Page 11 and 12: ó , 1 , 7 , ,, ,, ,, ,,
Page 13 and 14: 1 , 9 ∑ ∑ ,
Page 15 and 16: En el marco de la teoría estándar
Page 17 and 18: Finalmente, es importante mencionar
Page 19 and 20: Esta disminución abrupta a partir
Page 21: 6. CONCLUSIONES. En primer lugar es
Page 25 and 26: 9.2. Anexo B: Tratamiento de datos.
Page 27 and 28: 9.3. Anexo C: Gráficos de medicion
Page 29 and 30: 1,8 1,6 1,4 1,2 1 0,8 0,6 0,4 0,2 0
Page 31 and 32: Análisis ANOVA una vía, liquidez
Page 33 and 34: 9.5. Anexo E: Modelos APT. Factor C

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