The influence of liquidity on return on assets has been subject of much research in recent years, from the point of view of individual assets as well as considering the liquidity of the market as a whole. This study aims to evaluate the influence of change in liquidity in the pricing of assets....

In this article copula theory is used to analyze the co-movements between the Brazilian and American capital markets. To formulate an effective asset allocation strategy, it is important to understand extreme events – both positive (booms) and negative (crashes) – and their effects on...