Literature shows that short-term reversal strategies in equity markets can be interpreted as a proxy for liquidity provision. This study examines whether the short-term reversal strategy bears similar results in Brazil, a way less developed and illiquid market. On the developed American stock markets, the expected return of such a strategy appears to be lucrative, strongly timevarying and highly predictable with liquidity and fear indexes such as the VIX index. In the Brazilian, more volatile market, the profitability of such a strategy seem to have reduced in the latest years, and contrary to expectations, the EMBIplus Brazil is the only index with predictive power over such returns while the VIX-EWZ and the Ivol-BR, both proxies to what would be a Brazilian VIX have no predictive power. The expected returns of providing liquidity seem to rise in times of increased risk perception, which indicates that withdrawal of liquidity supply, translated in an increase in the expected returns from liquidity provision, is one of the drivers behind the evaporation of liquidity in times of market turmoil even in developing countries.