Abstract
The stochastic discount factor persistently has a liquidity premium for the most traded stocks in the years of the international financial credit crises 2007-2008, effect that persists during 2009 in Mexico and Chile. This effect it is not persistent in the period 2010 to 2012, when it is only statistically observable in some years, but it disappears in others.© 2015, School of Accounting and Management, National Autonomous University of Mexico. All rights reserved. Publication of the article implies full assignment of property rights (copyright) in Journal of Accounting and Management. The publication mreserves the right to total or partial reproduction of the work in other print, electronic or any other alternative means, but always recognizing its responsibility.
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