Seleção de carteiras utilizando o modelo Fama-French-Carhart

Caldeira, João Frois; Moura, Guilherme V.; Santos, André Alves Portela

doi:10.1590/s0034-71402013000100003

Cited by 9 publications

(11 citation statements)

References 64 publications

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“…However, the transaction costs incurred with this trading frequency may deteriorate the net portfolio performance (Caldeira et al, 2013). This effect can be reduced by rebalancing less frequently, such as on a weekly or monthly basis, which is the practice of most institutional investors.…”

Section: Resultsmentioning

confidence: 99%

“…In this case the investor is only concerned with the risk minimization of the portfolio, without taking into consideration the expected return. As previously discussed, the academic research tends to focus in minimum variance portfolios, which are subject to a smaller estimation error compared to the mean-variance portfolio (Engle and Sheppard, 2008, DeMiguel et al, 2009, Caldeira et al, 2013, because it depends only on the estimation of the covariances. Mathematically, the problem of the optimization of the minimum variance portfolio for a group of i assets on time t is described by min wt w t H t|t−1 w t subject to w t ι = 1 (17) where t is vector of ones with dimension N × 1.…”

Section: Applications In Portfolio Optimizationmentioning

confidence: 99%

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Selection of Minimum Variance Portfolio Using Intraday Data: An Empirical Comparison Among Different Realized Measures for BM&FBovespa Data

Ziegelmann¹,

Borges²,

Caldeira³

2015

Brazilian Review of Econometrics

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This paper explores different covariance matrix estimators; both the conditional and the unconditional versions, obtained via intraday data and named realized measures, to the minimum variance portfolio selection problem. Intraday data are sampled in a synchronized manner as well as in an unsynchronized version. For sake of comparison, we also use daily data estimators. The major contribution of this work is of empirical nature, focused on the Brazilian scenario. We evaluate some out-of-sample performance indexes of the obtained portfolios for a set of 30 stocks traded on the São Paulo stock exchange (BM&FBovespa). The results show that the estimator of the conditional covariance matrix of returns using a scalar vt-VECH model based on higher frequency data leads to substantial earnings, reducing portfolio risk, increasing the average adjusted-by-risk return and decreasing the turnover.

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Section: Resultsmentioning

confidence: 99%

Section: Applications In Portfolio Optimizationmentioning

confidence: 99%

Selection of Minimum Variance Portfolio Using Intraday Data: An Empirical Comparison Among Different Realized Measures for BM&FBovespa Data

Ziegelmann¹,

Borges²,

Caldeira³

2015

Brazilian Review of Econometrics

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“…In Brazil, companies can disclose their standardized financial statements (SFS) by the end of the first quarter of the following year (end of March). However, due to uncertainties as to the Brazilian market efficiency, we decided to perform the balancing in June of each year, as according to the literature (Argolo, Leal, & Almeida, 2012;Caldeira, Moura, & Santos, 2013;Machado & Medeiros, 2014;Machado, Faff, & Silva, 2017). However, as many events that can potentially affect a security's market price may happen between early April and early June, this choice is a limitation of the study.…”

Section: Portfolio Formation Methodologymentioning

confidence: 99%

“…São Paulo v.21 n.1 jan-mar. 2019 p.INCIAL-FINAL brasileiro, optou-se por realizar o balanceamento em junho de cada ano, seguindo a literatura (Argolo, Leal & Almeida, 2012;Caldeira, Moura & Santos, 2013;Machado & Medeiros, 2014;Machado, Faff & Silva, 2017). Cabe considerar, todavia, que essa escolha é uma limitação da pesquisa, haja vista que, entre o início de abril e o início de junho, muitos eventos podem acontecer com potencialidade de afetar os preços dos títulos no mercado.…”

Section: Portfolio Formation Methodologyunclassified

Analysis of Risk and Mispricing Hypotheses of Accruals: Evidence from Brazil

Martins

Monte

Machado

2019

RBGN

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Purpose -Analyze how the accruals pricing is configured in the brazilian stock market, that is, if it represents a market mispricing or a risk factor. Design/methodology/approach -We used a sample of nonfinancial companies listed in B3. To reach the objective, the portfolio methodology, asset pricing models were used, and two-stage crosssectional regression (2SCSR) was used to test risk and mispricing hypotheses.Findings -The results obtained showed evidence of the accruals anomaly for the companies classified as small and that the evidence is stronger when evaluating the discretionary component. The two-stage cross-sectional regression analysis did not show that accruals represent a risk factor, suggesting that the evidence of anomaly obtained for discretionary accruals is caused by mispricing.Originality/value -Non-rejection of the accruals' mispricing assumption leads to the conclusion that stock prices of small firms are influenced by the accounting results disclosed and that managers, by having capital market and profit incentives related, can use accounting choices opportunists with the motivation to maximize their expected utility, that is, to influence the price of shares through the distortions in profits.

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“…A formação dos fatores que compõem o modelo de quatro fatores de Carhart (1997) englobou uma série de procedimentos, realizados com base em Caldeira et al (2013)…”

Section: Construção Das Variáveis Necessárias Para O Modelo De Quatrounclassified

Precificação de ETFs Brasileiros

Milani

Ceretta

2019

G&T

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O objetivo deste estudo é verificar, com base nos tradicionais modelos de avaliação de performance de fundos de investimento, quais variáveis afetam o retorno dos ETFs brasileiros. Foram estimadas regressões com base em um modelo híbrido que engloba variáveis oriundas do CAPM e de seus modelos complementares, especificamente os modelos de Momentos Superiores, Modelos de Três e Quatro Fatores e Modelo APT. Com base em dados do período entre 02/01/2009 a 31/12/2013, as conclusões evidenciam que os ETFs são influenciados pela co-curtose e pelo fator SMB, corroborando que o risco sistemático não é o seu único fator de precificação.

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Seleção de carteiras utilizando o modelo Fama-French-Carhart

Cited by 9 publications

References 64 publications

Selection of Minimum Variance Portfolio Using Intraday Data: An Empirical Comparison Among Different Realized Measures for BM&FBovespa Data

Selection of Minimum Variance Portfolio Using Intraday Data: An Empirical Comparison Among Different Realized Measures for BM&FBovespa Data

Analysis of Risk and Mispricing Hypotheses of Accruals: Evidence from Brazil

Precificação de ETFs Brasileiros

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