Applicability of Investment and Profitability Effects in Asset Pricing Models

Detalhes bibliográficos
Autor(a) principal: Machado,Márcio André Veras
Data de Publicação: 2017
Outros Autores: Faff,Robert, Silva,Suelle Cariele de Souza e
Tipo de documento: Artigo
Idioma: eng
Título da fonte: RAC. Revista de Administração Contemporânea (Online)
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1415-65552017000600851
Resumo: Abstract This study aims to investigate whether investment and profitability are priced and if they partially explain the variations of stock returns in the Brazilian stock market, according to the Fama and French's (2015) five-factor model. By using time series and cross-section regression, we found that book-to-market, momentum and liquidity are associated with stock returns whereas investment and profitability were not significant. We also found that there is no investment premium in Brazil. Therefore, motivated by the importance of B/M, momentum and liquidity to the Brazilian stock market, as well as by the poor performance of profitability and investment, we document that Keene and Peterson's (2007) five-factor model is superior to all other models, especially the five-factor model by Fama and French (2015).
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spelling Applicability of Investment and Profitability Effects in Asset Pricing Modelsasset pricing modelprofitabilityinvestmentliquidityAbstract This study aims to investigate whether investment and profitability are priced and if they partially explain the variations of stock returns in the Brazilian stock market, according to the Fama and French's (2015) five-factor model. By using time series and cross-section regression, we found that book-to-market, momentum and liquidity are associated with stock returns whereas investment and profitability were not significant. We also found that there is no investment premium in Brazil. Therefore, motivated by the importance of B/M, momentum and liquidity to the Brazilian stock market, as well as by the poor performance of profitability and investment, we document that Keene and Peterson's (2007) five-factor model is superior to all other models, especially the five-factor model by Fama and French (2015).Associação Nacional de Pós-Graduação e Pesquisa em Administração2017-11-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S1415-65552017000600851Revista de Administração Contemporânea v.21 n.6 2017reponame:RAC. Revista de Administração Contemporânea (Online)instname:Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)instacron:ANPAD10.1590/1982-7849rac2017170027info:eu-repo/semantics/openAccessMachado,Márcio André VerasFaff,RobertSilva,Suelle Cariele de Souza eeng2017-12-06T00:00:00Zoai:scielo:S1415-65552017000600851Revistahttps://rac.anpad.org.br/index.php/racONGhttps://rac.anpad.org.br/index.php/rac/oairac@anpad.org.br1982-78491415-6555opendoar:2017-12-06T00:00RAC. Revista de Administração Contemporânea (Online) - Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)false
dc.title.none.fl_str_mv Applicability of Investment and Profitability Effects in Asset Pricing Models
title Applicability of Investment and Profitability Effects in Asset Pricing Models
spellingShingle Applicability of Investment and Profitability Effects in Asset Pricing Models
Machado,Márcio André Veras
asset pricing model
profitability
investment
liquidity
title_short Applicability of Investment and Profitability Effects in Asset Pricing Models
title_full Applicability of Investment and Profitability Effects in Asset Pricing Models
title_fullStr Applicability of Investment and Profitability Effects in Asset Pricing Models
title_full_unstemmed Applicability of Investment and Profitability Effects in Asset Pricing Models
title_sort Applicability of Investment and Profitability Effects in Asset Pricing Models
author Machado,Márcio André Veras
author_facet Machado,Márcio André Veras
Faff,Robert
Silva,Suelle Cariele de Souza e
author_role author
author2 Faff,Robert
Silva,Suelle Cariele de Souza e
author2_role author
author
dc.contributor.author.fl_str_mv Machado,Márcio André Veras
Faff,Robert
Silva,Suelle Cariele de Souza e
dc.subject.por.fl_str_mv asset pricing model
profitability
investment
liquidity
topic asset pricing model
profitability
investment
liquidity
description Abstract This study aims to investigate whether investment and profitability are priced and if they partially explain the variations of stock returns in the Brazilian stock market, according to the Fama and French's (2015) five-factor model. By using time series and cross-section regression, we found that book-to-market, momentum and liquidity are associated with stock returns whereas investment and profitability were not significant. We also found that there is no investment premium in Brazil. Therefore, motivated by the importance of B/M, momentum and liquidity to the Brazilian stock market, as well as by the poor performance of profitability and investment, we document that Keene and Peterson's (2007) five-factor model is superior to all other models, especially the five-factor model by Fama and French (2015).
publishDate 2017
dc.date.none.fl_str_mv 2017-11-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1415-65552017000600851
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1415-65552017000600851
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1590/1982-7849rac2017170027
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv text/html
dc.publisher.none.fl_str_mv Associação Nacional de Pós-Graduação e Pesquisa em Administração
publisher.none.fl_str_mv Associação Nacional de Pós-Graduação e Pesquisa em Administração
dc.source.none.fl_str_mv Revista de Administração Contemporânea v.21 n.6 2017
reponame:RAC. Revista de Administração Contemporânea (Online)
instname:Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)
instacron:ANPAD
instname_str Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)
instacron_str ANPAD
institution ANPAD
reponame_str RAC. Revista de Administração Contemporânea (Online)
collection RAC. Revista de Administração Contemporânea (Online)
repository.name.fl_str_mv RAC. Revista de Administração Contemporânea (Online) - Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)
repository.mail.fl_str_mv rac@anpad.org.br
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