Modelos de retornos esperados no mercado brasileiro: testes empíricos utilizando metodologia preditiva

Mussa, Adriano; Rogers, Pablo; Securato, José Roberto

doi:10.5007/2175-8077.2009v11n23p192

Cited by 13 publications

(18 citation statements)

References 18 publications

(15 reference statements)

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“…Two portfolios had significant Jensen's alphas with p < 0.05, suggesting that the three-factor model still lacks explanatory power. These results are similar to those found by other Brazilian studies, including Málaga and Securato (2004), Mussa et al (2007), and Mussa et al (2009).…”

Section: The Fama and French Three-factor Modelsupporting

confidence: 93%

The Earnings/Price Risk Factor in Capital Asset Pricing Models

Noda

Martelanc

Kayo

2015

Rev. contab. finanç.

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This article integrates the ideas from two major lines of research on cost of equity and asset pricing: multi-factor models and ex ante accounting models. The earnings/price ratio is used as a proxy for the ex ante cost of equity, in order to explain realized returns of Brazilian companies within the period from 1995 to 2013. The initial finding was that stocks with high (low) earnings/price ratios have higher (lower) risk-adjusted realized returns, already controlled by the capital asset pricing model's beta. The results show that selecting stocks based on high earnings/price ratios has led to significantly higher risk-adjusted returns in the Brazilian market, with average abnormal returns close to 1.3% per month. We design asset pricing models including an earnings/price risk factor, i.e. high earnings minus low earnings, based on the Fama and French three-factor model. We conclude that such a risk factor is significant to explain returns on portfolios, even when controlled by size and market/book ratios. Models including the high earnings minus low earnings risk factor were better to explain stock returns in Brazil when compared to the capital asset pricing model and to the Fama and French three-factor model, having the lowest number of significant intercepts. These findings may be due to the impact of historically high inflation rates, which reduce the information content of book values, thus making the models based on earnings/price ratios better than those based on market/book ratios. Such results are different from those obtained in more developed markets and the superiority of the earnings/price ratio for asset pricing may also exist in other emerging markets.

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Section: The Fama and French Three-factor Modelsupporting

confidence: 93%

The Earnings/Price Risk Factor in Capital Asset Pricing Models

Noda

Martelanc

Kayo

2015

Rev. contab. finanç.

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“…Málaga and Securato (2004) obtained results that confirmed the superiority of the three factor model in relation to the CAPM in explaining returns on Brazilian shares. Mussa, Rogers, and Securato (2009) produced a paper in which they tested the predictive ability of the CAPM and the three factor model, carrying out the two stage procedure in accordance with Fama and MacBeth (1973) and concluded that neither of the two models is efficient in predicting returns on Brazilian shares, given the significance observed in the regression intercepts.…”

Section: E(r I ) -R F = B I (R M -R F ) + S I (Smb) + H I (Hml) + W Imentioning

confidence: 99%

The influence of the 2008 financial crisis on the predictiveness of risky asset pricing models in Brazil

Bortoluzzo

Venezuela

Bortoluzzo

et al. 2016

Rev. contab. finanç.

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This article examines three models for pricing risky assets, the capital asset pricing model (CAPM) from Sharpe and Lintner, the three factor model from Fama and French, and the four factor model from Carhart, in the Brazilian market for the period from 2002 to 2013. The data is composed of shares traded on the São Paulo Stock, Commodities, and Futures Exchange (BM&FBOVESPA) on a monthly basis, excluding financial sector shares, those with negative net equity, and those without consecutive monthly quotations. The proxy for market return is the Brazil Index (IBrX) and for riskless assets savings accounts are used. The 2008 crisis, an event of immense proportions and market losses, may have caused alterations in the relationship structure of risky assets, causing changes in pricing model results. Division of the total period into pre-crisis and post-crisis sub-periods is the strategy used in order to achieve the main objective: to analyze the effects of the crisis on asset pricing model results and their predictive power. It is verified that the factors considered are relevant in the Brazilian market in both periods, but between the periods, changes occur in the statistical relevance of sensitivities to the market premium and to the value factor. Moreover, the predictive ability of the pricing models is greater in the post-crisis period, especially for the multifactor models, with the four factor model able to improve predictions of portfolio returns in this period by up to 80%, when compared to the CAPM.

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“…The size (SMB) of the risk premium does not present any positive and statistically 1 Fama and French (1998), Rouwenhorst (1999), Bonomo and Garcia (2001), Bonomo, Pereira and Schor (2002), Sampaio (2002), Malaga and Securato (2004), Matos (2006), Chague and Bueno (2007), Bellizia (2009), Mussa, Rogers and Securato (2009), Brito and Murakoshi (2009), Mussa et al (2011), Bodur (2011), Rizzi (2012), Mussa, Fama and Santos (2012), Varga and Brito (2015), Eid Jr and Martins (2015), and Piccoli et al (2015).…”

Section: Figure 1 -Dispersion In the Risk Premia Estimations For Brazilmentioning

confidence: 93%

Risk premia estimation in Brazil: wait until 2041

Filho¹

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Modelos de retornos esperados no mercado brasileiro: testes empíricos utilizando metodologia preditiva

Cited by 13 publications

References 18 publications

The Earnings/Price Risk Factor in Capital Asset Pricing Models

The Earnings/Price Risk Factor in Capital Asset Pricing Models

The influence of the 2008 financial crisis on the predictiveness of risky asset pricing models in Brazil

Risk premia estimation in Brazil: wait until 2041

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