Applicability of Investment and Profitability Effects in Asset Pricing Models
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Outros Autores: | , |
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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RAC. Revista de Administração Contemporânea (Online) |
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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 |
_version_ |
1754209053299441664 |