Journal of Finance and Economics

Journal of Finance and Economics

ISSN: 2291-4951 (Print)    ISSN: 2291-496X (Online)

Volume 2 (2014), No. 1, Pages 15-27

DOI: 10.12735/jfe.v2i1p15

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The Stochastic Discount Factor and Liquidity in Mexico and Chile

Humberto Valencia-Herrera1 

1Tecnologico de Monterrey, Campus Ciudad de Mexico


To Cite this Article     Article Views: 1091     Downloads: 503  Since January, 2015


The stochastic discount factor differs whether it is estimated with only the most liquid stocks from the one estimated with the whole sample in some years in Mexico and Chile in the period 2006 to 2012. This is evidence that there is a liquidity premium associated with stocks in these countries, which is not permanent. The liquidity premium is more permanent in Mexico than in Chile in the period of study.

JEL Classifications: G11, G14

Keywords: stochastic discount factor, México, Chile, liquidity premium

To Cite this Article: Valencia-Herrera, H. (2014). The stochastic discount factor and liquidity in Mexico and Chile. Journal of Finance and Economics, 2(1), 15-27.

Copyright © Humberto Valencia-Herrera

Creative Commons License
This article is published under license to Science and Education Centre of North America. This is an Open Access article distributed under the terms of the Creative Commons Attribution 4.0 International License.

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The Stochastic Discount Factor and Liquidity in Mexico and Chile