摘要：This study tests the performance of the five-factor model proposed by Fama and French (2015), adding a factor for liquidity risk, in the Brazilian stock market. We then verify whether the liquidity risk of shares is valuated in the Brazilian capital market. Our sample consists of 385 shares traded on the B3 between June 1999 and June 2017. We test the inclusion of a factor for liquidity risk, represented by adjusted illiquidity and standardized turnover, in the Fama and French (2015) model. Improved performance of the Fama and French (2015) model after including the additional factor indicates that liquidity is a risk factor on which investors in the Brazilian market put a price.
关键词：Liquidity risk; Market liquidity; Asset pricing; Fama and French five factors model
