A ADIÇÃO DO FATOR DE RISCO MOMENTO AO MODELO DE PRECIFICAÇÃO DE ATIVOS DOS TRÊS FATORES DE FAMA e FRENCH APLICADO AO MERCADO ACIONÁRIO BRASILEIRO

Santos, José Odálio dos; Famá, Rubéns; Mussa, Adriano

doi:10.5700/rege473

Cited by 17 publications

(27 citation statements)

References 24 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…The size factor was 0.621%, significant at the 10% level, contradicting the findings of Machado and Medeiros (2011) and corroborating the findings of Santos, Famá and Mussa (2012). The momentum factor provided a negative prize of -0.798%, significant at the 5% level, corroborating Santos et al (2012) and contradicting the findings of Machado and Medeiros (2011).…”

Section: Results Analysiscontrasting

confidence: 57%

“…The momentum factor provided a negative prize of -0.798%, significant at the 5% level, corroborating Santos et al (2012) and contradicting the findings of Machado and Medeiros (2011). These results imply that, for the sample and period studied, the model used was capable of capturing risk factors on size and momentum, producing evidences that these risk factors may be being priced.…”

Section: Results Analysissupporting

confidence: 35%

“…To relate investor sentiment to abnormal returns, portfolios were constructed on the following anomalies previously documented in Brazil: size, value, momentum, volatility, liquidity, earnings-topricing ratio, EBITDA/total asset, leverage, growth sales, ROA, asset growth and investment (Leite et al, 2016;Machado & Medeiros, 2011Rogers & Securato, 2009;Santos et al, 2012;Silva & Machado, 2016). For each of the studied anomalies, Long-Short portfolios were formed on the extreme quintiles, 1 and 5, where long position is the high-performance quintile, depending on the behavior of the anomaly in the Brazilian market.…”

Section: Formation Of Portfolios On Long-short Strategymentioning

confidence: 99%

“…There is a growing amount of evidence that indicate the existence of market anomalies in Brazil (Leite, Pinto, & Klotzle, 2016;Machado & Medeiros, 2014;Rogers & Securato, 2009;Santos, Famá, & Mussa, 2012;Silva & Machado, 2016); however, studies that address the behavioral approach of these anomalies are still incipient. This scenario aroused our interest to study how investor sentiment relates to stock market anomalies in Brazil.…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

Anomalies and Investor Sentiment: Empirical Evidences in the Brazilian Market

Xavier

Machado

2017

BAR, Braz. Adm. Rev.

View full text Add to dashboard Cite

This study examined the relationship between investor sentiment and value anomalies in Brazil. In addition, it analyzed if pricing deviations caused by investors with optimistic views are different from those caused by pessimistic investors. The sample included all non-financial firms listed on the B3 (Brasil, Bolsa, Balcão) stock exchange from July 1999 to June 2014. We used the Principal Component Analysis multivariate technique to capture the component common to four different proxies for investor sentiment. The study empirically tested the index series and its variation on the return series of Long-Short portfolios of 12 anomaly-based strategies. The study found that the measure of the sentiment index had a partial explanatory power for the anomalies only when included in the CAPM. Yet, when using the index sentiment changes as an explanatory variable, the study found a relationship with future returns, robust to all risk factors. Thus, it is possible to relate investor sentiment index to anomaly-based portfolio returns. When analyzing average returns after optimistic and pessimistic periods, the values we found in our empirical test were not statistically significant enough to infer the possible existence of short-sale constraints.

show abstract

Section: Results Analysiscontrasting

confidence: 57%

Section: Results Analysissupporting

confidence: 35%

Section: Formation Of Portfolios On Long-short Strategymentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Anomalies and Investor Sentiment: Empirical Evidences in the Brazilian Market

Xavier

Machado

2017

BAR, Braz. Adm. Rev.

View full text Add to dashboard Cite

show abstract

“…Th e CDI was adopted as a proxy for the risk-free interest rate and the Ibovespa as a proxy for market returns, due to them better representing alternatives for a conventional investor. For the additional three risk factors in the FFC model, we stuck rigidly to the methodology applied by Santos, Famá, and Mussa (2012).…”

Section: Pricing Model Specifi Cationmentioning

confidence: 99%

Predictive power of Brazilian equity fund performance using R2 as a measure of selectivity

Guzella

Campani

2017

Rev. contab. finanç.

View full text Add to dashboard Cite

This paper aimed to investigate the impact of levels of selectivity on the performance of equity funds using a methodology applied for the first time ever (as far as we know) in the Brazilian market. As an indicator of the activity level of a fund, we proposed the coefficient of determination (R 2 ) of the regression of its returns over market returns. In total, 867 funds were analyzed in the period between November 2004 and October 2014. The hypothesis tested is that more selective funds perform better to compensate for their higher operating costs. This hypothesis was confirmed in the Brazilian market. Dynamic equally-weighted portfolios of funds were simulated, according to their past R 2 and alphas, with monthly rebalancing and 12-month moving windows. The portfolio of the most selective funds had a Sharpe ratio of 0.0494, on a monthly basis, while the portfolio of the least selective funds had a Sharpe ratio of -0.0314. Performance was also higher in evaluations involving excess returns, Jensen's alpha, and accumulated returns, as well as when compared to randomly selected portfolios. Moreover, past performance (as measured by Jensen's alpha) was also a predictor of future performance. Particularly, the portfolio composed by funds with a higher past alpha and lower past R 2 presented a Sharpe ratio of 0.1483 and a Jensen's alpha of 0.87% (significant at 1%), while the one composed of funds with a lower past alpha and lower activity level presented a Sharpe ratio of -0.0673 and an alpha of -0.32% (also significant at 1%).

show abstract

Aplicação de leis de potência para tratamento e classificação de tamanho de empresas: uma proposta metodológica para pesquisas contábeis

Silva¹

View full text Add to dashboard Cite

e de todo o meu esforço pessoal e profissional. À minha família pelo apoio incondicional em todos os momentos, especialmente minha mãe, Valzita Maria da Silva, e minha irmã, Marlúcia Divina da Silva, por serem minha fortaleza e amparo, nesses dois anos tão longos. À Rúbia Maria de Almeida, avó tão zelosa, por ter acolhido meu filho, Pedro Henrique, e dado a ele todo amor, carinho e direcionamento em minhas constantes ausências. Ao Professor Dr. Evandro Marcos Saidel Ribeiro pela orientação, paciência e confiança em mim depositada quando eu mesma desacreditava de minha capacidade. Aos professores da segunda turma do programa de Mestrado em Controladoria e Contabilidade da FEA-RP., que conseguiram despertar em mim, ainda mais, deslumbramento pelo ensino e por fazer-me acreditar que é possível ser sempre melhor e mais capaz. À FTM-Faculdade Triângulo Mineiro pela ajuda financeira, sem a qual a conclusão desse mestrado seria impossível. Ao coordenador do curso de Ciências Contábeis da Faculdade Triângulo Mineiro, Marcus Sérgio Satto Vilela, pelo incentivo, palavras amigas, e pelos muitos minutos ouvindo pacientemente minhas lamúrias e suportando meu choro. Aos grandes amigos da turma do mestrado, Andrei Aparecido de Albuquerque, Carlos

show abstract

A ADIÇÃO DO FATOR DE RISCO MOMENTO AO MODELO DE PRECIFICAÇÃO DE ATIVOS DOS TRÊS FATORES DE FAMA e FRENCH APLICADO AO MERCADO ACIONÁRIO BRASILEIRO

Cited by 17 publications

References 24 publications

Anomalies and Investor Sentiment: Empirical Evidences in the Brazilian Market

Anomalies and Investor Sentiment: Empirical Evidences in the Brazilian Market

Predictive power of Brazilian equity fund performance using R2 as a measure of selectivity

Aplicação de leis de potência para tratamento e classificação de tamanho de empresas: uma proposta metodológica para pesquisas contábeis

Contact Info

Product

Resources

About