Beta condicional para liquidez no mercado acionário brasileiro e americano.

The purpose of this paper is to examine the existence of a risk premium linked to the lack of liquidity in the US and Brazilian stock markets. As the first step, were estimated the variance-covariance matrix for the returns and volumes of both markets using a Copula-DCC-GARCH model. After that, were used the estimations to create a conditional beta index for liquidity. This study confirms the hypothesis of a risk premium for the lack of liquidity just in the US market. On the other hand, the results for the Brazilian market show a premium during increases of the liquidity. These findings suggest that Brazilian investors do not receive a compensation to negotiate low liquidity stocks. This paper is important because it shows an unexpected financial relation over time for a Latin stock market. Furthermore, a link between the transaction costs and financial theory can be made to explain these phenomena. [ABSTRACT FROM AUTHOR]