Custo de capital próprio em mercados emergentes: uma abordagem empírica no Brasil com o downside risk

Fortunato, Graziela; Motta, Luiz Felipe Jacques da; Russo, Giuseppe

doi:10.1590/s1678-69712010000100005

Cited by 2 publications

(1 citation statement)

References 31 publications

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“…The calculation of risk-adjusted rate of return on stocks generates controversy in the literature, and several models that propose to measure it have emerged, going through the studies by Sharpe (1964), Merton (1973), Jagannathan and Wang (1996), Ross (1976), Fama andFrench (1993, 2015), among others. A difficulty in its measurement lies on determining the explanatory factors that constitute the model, and the market factor is derived from the capital asset pricing model (CAPM), the most frequently used for asset pricing in the financial market (Fortunato, Motta, & Russo, 2010).…”

Section: Introductionmentioning

confidence: 99%

The effect of asymmetric information risk on returns of stocks traded on the BM&FBOVESPA

Siqueira

Amaral

Correia

2017

Rev. contab. finanç.

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This study sought to analyze information asymmetry in the Brazilian stock market and its relation with the returns required from portfolios through the metrics volume-synchronized probability of informed trading. To do this, the study used actual data from the transactions of 142 stocks on the Brazilian Securities, Commodities and Futures Exchange (BM&FBOVESPA), within the period from May 1, 2014, to May 31, 2016. The results point out a high flow toxicity level in the orders of these stocks. In segment analyses of the stock market listing, data suggest there is no clue that stocks from the theoretically more overt segments have a lower toxicity level of order flows. The justification for this finding lies on the negative correlation observed between the market value of stocks and the toxicity level of orders. To test the effect of asymmetric information risk on stock returns, a factor related to the toxicity level of orders was added to the three-, four-, and five-factor models. Through the GRS test, we observed that the combination of factors that optimize the explanation of returns of the portfolios created was the one taking advantage of the factors market, size, profitability, investment, and information risk. To test the robustness of these results, the Average F-test was used in data simulated by the bootstrap method, and similar estimates were obtained. It was observed that the factor related to the book-to-market index becomes redundant in the national scenario for the models tested. Also, it was found that the factor related to information risk works as a complement to the factor size and that its inclusion leads to an improved performance of the models, indicating a possible explanatory power of information risk on portfolio returns. Therefore, data suggest that information risk is priced in the Brazilian stock market.

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