Liquidity and asset pricing: evidence from the Brazilian market
Autor(a) principal: | |
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Data de Publicação: | 2014 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng por |
Título da fonte: | BBR. Brazilian Business Review (English edition. Online) |
Texto Completo: | http://www.bbronline.com.br/index.php/bbr/article/view/354 |
Resumo: | The article examines whether the two-factor model developed by Liu (2006) explains the variations in stock returns in the Brazilian market. We also compare the performance of this model with the CAPM and the three-factor model of Fama & French (1993) and investigate whether the two-factor model is robust to strategies based on size, book-to-market, momentum, earnings/price, cash flow/price, liquidity and leverage, called value anomalies. We used multiple regressions with time series to analyze the performance of the models in explaining the variations in stock returns of various portfolios. The population analyzed consisted of all the firms with shares listed on the BM&FBovespa in the period from 1995 to 2008. The two-factor model performed better than the CAPM and very near the three-factor model in terms of explanatory power. Therefore, the results obtained with the two-factor model are relevant, considering we worked with dynamic portfolios. Finally, even though the two-factor model was not able to explain some of the anomalies commonly documented in the literature, advances were evidenced, which can be considered an important step in the literature, even though much can still be accomplished. |
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Liquidity and asset pricing: evidence from the Brazilian marketLiquidez e precificação de ativos: evidências do mercado brasileiroLiquidityAsset pricing modelsCAPMThree-factor model of Fama & French (1993)LiquidezModelo de precificação de ativosCAPMTrês fatores de Fama e French (1993)The article examines whether the two-factor model developed by Liu (2006) explains the variations in stock returns in the Brazilian market. We also compare the performance of this model with the CAPM and the three-factor model of Fama & French (1993) and investigate whether the two-factor model is robust to strategies based on size, book-to-market, momentum, earnings/price, cash flow/price, liquidity and leverage, called value anomalies. We used multiple regressions with time series to analyze the performance of the models in explaining the variations in stock returns of various portfolios. The population analyzed consisted of all the firms with shares listed on the BM&FBovespa in the period from 1995 to 2008. The two-factor model performed better than the CAPM and very near the three-factor model in terms of explanatory power. Therefore, the results obtained with the two-factor model are relevant, considering we worked with dynamic portfolios. Finally, even though the two-factor model was not able to explain some of the anomalies commonly documented in the literature, advances were evidenced, which can be considered an important step in the literature, even though much can still be accomplished.Este artigo teve por objetivo analisar se o modelo de dois fatores desenvolvido por Liu (2006) explica as variações dos retornos das ações no mercado acionário Brasileiro. Teve-se como objetivo secundário comparar o desempenho do modelo de dois fatores de Liu com o do CAPM e com o de três fatores de Fama e French (1993), bem como investigar se o modelo é robusto às estratégias baseadas nos efeitos tamanho da empresa, book-to-market, estratégia momento, lucro/preço, fluxo de caixa/preço, liquidez e alavancagem, denominadas de anomalias de valor. Para o desenvolvimento do estudo, optou-se pelo emprego de portfólios e, para analisar o desempenho do modelo na explicação das variações dos retornos das ações, foram utilizadas regressões múltiplas em série de tempo. A população analisada consistiu de todas as empresas com ações listadas na BM&FBOVESPA, no período de 1995 a 2008. Como resultados principais, percebeu-se uma melhora no poder explicativo do modelo de dois fatores em relação ao CAPM e um desempenho muito próximo ao modelo de três fatores. Dessa forma, os resultados obtidos com o modelo de dois fatores são relevantes, considerando que se trabalhou com portfólios dinâmicos. Por fim, ainda que o modelo de dois fatores não tenha explicado as anomalias comumente documentadas na literatura, avanços foram evidenciados, sendo um importante passo na literatura, mesmo havendo muito a evoluir.FUCAPE Business Shool2014-01-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/35410.15728/bbr.2014.11.1.4Brazilian Business Review; Vol. 11 No. 1 (2014): January to February 2014; 69-89Brazilian Business Review; v. 11 n. 1 (2014): Janeiro a Fevereiro de 2014; 69-891808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/354/537http://www.bbronline.com.br/index.php/bbr/article/view/354/538Machado, Márcio André VerasMachado, Márcia Reisinfo:eu-repo/semantics/openAccess2018-11-06T19:51:15Zoai:ojs.pkp.sfu.ca:article/354Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2018-11-06T19:51:15BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false |
dc.title.none.fl_str_mv |
Liquidity and asset pricing: evidence from the Brazilian market Liquidez e precificação de ativos: evidências do mercado brasileiro |
title |
Liquidity and asset pricing: evidence from the Brazilian market |
spellingShingle |
Liquidity and asset pricing: evidence from the Brazilian market Machado, Márcio André Veras Liquidity Asset pricing models CAPM Three-factor model of Fama & French (1993) Liquidez Modelo de precificação de ativos CAPM Três fatores de Fama e French (1993) |
title_short |
Liquidity and asset pricing: evidence from the Brazilian market |
title_full |
Liquidity and asset pricing: evidence from the Brazilian market |
title_fullStr |
Liquidity and asset pricing: evidence from the Brazilian market |
title_full_unstemmed |
Liquidity and asset pricing: evidence from the Brazilian market |
title_sort |
Liquidity and asset pricing: evidence from the Brazilian market |
author |
Machado, Márcio André Veras |
author_facet |
Machado, Márcio André Veras Machado, Márcia Reis |
author_role |
author |
author2 |
Machado, Márcia Reis |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Machado, Márcio André Veras Machado, Márcia Reis |
dc.subject.por.fl_str_mv |
Liquidity Asset pricing models CAPM Three-factor model of Fama & French (1993) Liquidez Modelo de precificação de ativos CAPM Três fatores de Fama e French (1993) |
topic |
Liquidity Asset pricing models CAPM Three-factor model of Fama & French (1993) Liquidez Modelo de precificação de ativos CAPM Três fatores de Fama e French (1993) |
description |
The article examines whether the two-factor model developed by Liu (2006) explains the variations in stock returns in the Brazilian market. We also compare the performance of this model with the CAPM and the three-factor model of Fama & French (1993) and investigate whether the two-factor model is robust to strategies based on size, book-to-market, momentum, earnings/price, cash flow/price, liquidity and leverage, called value anomalies. We used multiple regressions with time series to analyze the performance of the models in explaining the variations in stock returns of various portfolios. The population analyzed consisted of all the firms with shares listed on the BM&FBovespa in the period from 1995 to 2008. The two-factor model performed better than the CAPM and very near the three-factor model in terms of explanatory power. Therefore, the results obtained with the two-factor model are relevant, considering we worked with dynamic portfolios. Finally, even though the two-factor model was not able to explain some of the anomalies commonly documented in the literature, advances were evidenced, which can be considered an important step in the literature, even though much can still be accomplished. |
publishDate |
2014 |
dc.date.none.fl_str_mv |
2014-01-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Peer-reviewed Article Artigo revisado pelos pares |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://www.bbronline.com.br/index.php/bbr/article/view/354 10.15728/bbr.2014.11.1.4 |
url |
http://www.bbronline.com.br/index.php/bbr/article/view/354 |
identifier_str_mv |
10.15728/bbr.2014.11.1.4 |
dc.language.iso.fl_str_mv |
eng por |
language |
eng por |
dc.relation.none.fl_str_mv |
http://www.bbronline.com.br/index.php/bbr/article/view/354/537 http://www.bbronline.com.br/index.php/bbr/article/view/354/538 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/pdf |
dc.publisher.none.fl_str_mv |
FUCAPE Business Shool |
publisher.none.fl_str_mv |
FUCAPE Business Shool |
dc.source.none.fl_str_mv |
Brazilian Business Review; Vol. 11 No. 1 (2014): January to February 2014; 69-89 Brazilian Business Review; v. 11 n. 1 (2014): Janeiro a Fevereiro de 2014; 69-89 1808-2386 1807-734X reponame:BBR. Brazilian Business Review (English edition. Online) instname:Fucape Business School (FBS) instacron:FBS |
instname_str |
Fucape Business School (FBS) |
instacron_str |
FBS |
institution |
FBS |
reponame_str |
BBR. Brazilian Business Review (English edition. Online) |
collection |
BBR. Brazilian Business Review (English edition. Online) |
repository.name.fl_str_mv |
BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS) |
repository.mail.fl_str_mv |
|| bbronline@bbronline.com.br |
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1754732238491090944 |