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Stock pricing in Latin America: The synchronicity effect

机译：拉丁美洲的股票定价：同步效应

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摘要

This paper investigated whether the stock price synchronicity level (SPSL) is a pricing factor in the Latin American scenario. To do so, the shares with the highest liquidity level listed in the stock exchange in five Latin American (LA) countries (Argentina, Brazil, Chile, Mexico and Peru) were used. The results indicated that the SPSL is associated with a positive premium. This premium was obtained by the CAPM model and by the Fama-French three- and five-factor models. There was evidence that the average SPSL increases in periods of greater turmoil in the financial markets. Moreover, it was found that the SPSLs are not associated monotonically with the efficiency levels of stock prices. Overall, the use of the SPSL factor in asset pricing models reduced the bias in estimating the stock premiums in LA.
机译：本文调查了股票价格同步水平（SPSL）是否是拉丁美洲情景中的定价因素。为此，使用了五个拉丁美洲（LA）国家（阿根廷，巴西，智利，墨西哥和秘鲁）在证券交易所列出的流动性最高的股票。结果表明，SPSL与正溢价相关。该溢价是通过CAPM模型以及Fama-French三因素和五因素模型获得的。有证据表明，在金融市场动荡时期，平均SPSL会增加。此外，发现SPSL与股票价格效率水平不是单调相关的。总体而言，在资产定价模型中使用SPSL因子减少了估计洛杉矶股票溢价的偏差。

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