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Stock pricing in Latin America: The synchronicity effect

机译：拉丁美洲的股票定价：同步效果

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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）是拉丁美洲情景中的定价因素。为此，使用了在五个拉丁美洲（La）国家（阿根廷，巴西，智利，墨西哥和秘鲁）的证券交易所中列出了最高流动性级别的股票。结果表明，SPSL与正溢价相关联。该溢价由CAPM模型和FAMA-FREAM三个和五因素模型获得。有证据表明，金融市场中大动荡时期的平均SPSL增加。此外，发现SPSL与股票价格的效率水平无关。总体而言，使用SPSL因子在资产定价模型中降低了估计LA股票溢价的偏差。

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