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The role of an illiquidity factor in the Portuguese stock market
Miralles Marcelo, José Luis; Miralles Quirós, María del Mar; Oliveira, CéliaThis study examines the role of illiquidity (proxied by the proportion of zero returns) as an additional risk factor in asset pricing. We use Portuguese monthly data, covering the period between January 1988 and December 2008. We compute an illiquidity factor using the Fama and French [Fama, E. F., and K. R. French (1993), "Common risk factors in the returns on stocks and bonds", Journal of Financial Economics,...
The impact of family control on firm's return
Marcelo, José Luis Miralles; Quirós, Maria del Mar Miralles; Lisboa, InêsFamily firm is a field of growing interest. The aim of this article is to understand whether CEOs identity impacts family firm’s stock returns. From a sample of Portuguese and Spanish family firms findings show that who manages the firms result in significantly different risk exposure. Moreover, we find that the abnormal return found by Fahlenbrach (2009) to founder-controlled firms disappear when we use valuew...
Idiosyncratic risk really drives stock returns; Spanish evidence
Miralles Marcelo, José Luis; Miralles Quirós, María del Mar; Miralles Quirós, José LuisFollowing the theoretical model of Merton (1987), we provide a new perspective of study about the role of idiosyncratic risk in the asset pricing process. More precisely, we analyze whether the idiosyncratic risk premium depends on the idiosyncratic risk level of an asset as well as the vatriation in the market-wide measure of idiosyncratic risk. As expected, we obtain a net positive risk premium for the Spanis...
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