Economía (trabajo de grado)
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Examinando Economía (trabajo de grado) por Materia "ACCIONES (BOLSA) - VALORACIÓN - COLOMBIA"
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Publicación Impacto de la iliquidez del mercado accionario colombiano en la valoración de sus principales empresas cotizadas(Universidad EAFIT, 2025-11-10) Gómez Vásquez, Martín; Montoya Gil, Juan MiguelThis study examines the impact of stock market illiquidity on the valuation of Colombia’s main publicly traded companies over the 2015–2024 period. Using monthly data on prices, trading volumes, and accounting information, representative portfolios by firm size are constructed along with a liquidity factor based on the return differential between illiquid and liquid stocks. An extended CAPM model is estimated by incorporating the liquidity risk alongside the market factor to assess whether illiquidity constitutes a systematic risk component priced in expected returns. The results indicate that illiquidity is indeed priced in the Colombian stock market: large-cap firms display a positive and significant liquidity coefficient, evidencing an illiquidity premium, while medium-sized firms show an inverse effect and small firms exhibit no statistically significant relationship. Comparative evidence with regional markets confirms Colombia’s relatively low depth and market development. These findings suggest that the lack of liquidity increases financing costs and depresses corporate valuations, representing a relevant risk for both investors and issuers. The research contributes to the emerging markets literature by providing recent evidence of an illiquidity premium within a context of limited market integration and high ownership concentration.