Five risk factors model: pricing sectoral portfolios in the Brazilian stock market

Detalhes bibliográficos
Autor(a) principal: Vieira, Matheus Duarte Valente
Data de Publicação: 2017
Outros Autores: Maia, Vinicius Mothé, Klotzle, Marcelo Cabús, Figueiredo, Antonio Carlos
Tipo de documento: Artigo
Idioma: por
eng
Título da fonte: Revista Catarinense da Ciência Contábil (Online)
Texto Completo: https://revista.crcsc.org.br/index.php/CRCSC/article/view/2376
Resumo: The assets risk premium is the central variable of the finance models that seek to estimate the cost of capital of the companies, the cost of this employee, for example, in the evaluation of the stock price. There are several models used to calculate the risk premium, with Fama and French models being widely known and widely disseminated. In 2015, Fama and French introduced a new model with the introduction of two new risk premiums. Due to the relevance of the theme and the possibility of obtaining new information from this new model, the objective of this paper is to conduct a study in the Brazilian stock market from a sample composed of companies listed on the São Paulo Stock Exchange (BMF&Bovespa), testing the ability of sectoral pricing in the risk factors present in the recent 5-factor model, proposed by Fama and French (2015a). In order to carry out the research, the companies listed on the Bovespa were used between January 2008 and December 2015. The results point to a greater importance of the investment risk premium, being statistically significant in three of the five sectors of the economy studied.
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spelling Five risk factors model: pricing sectoral portfolios in the Brazilian stock marketModelo de Cinco Fatores de Risco: precificando carteiras setoriais no mercado acionário brasileiroPricing Model5-Risk FactorsBrazilian Stock MarketSector PortfoliosSUR Regression.Modelo de Precificação5-Fatores de RiscoMercado de Ações BrasileiroCarteiras SetoriaisRegressões SUR.The assets risk premium is the central variable of the finance models that seek to estimate the cost of capital of the companies, the cost of this employee, for example, in the evaluation of the stock price. There are several models used to calculate the risk premium, with Fama and French models being widely known and widely disseminated. In 2015, Fama and French introduced a new model with the introduction of two new risk premiums. Due to the relevance of the theme and the possibility of obtaining new information from this new model, the objective of this paper is to conduct a study in the Brazilian stock market from a sample composed of companies listed on the São Paulo Stock Exchange (BMF&Bovespa), testing the ability of sectoral pricing in the risk factors present in the recent 5-factor model, proposed by Fama and French (2015a). In order to carry out the research, the companies listed on the Bovespa were used between January 2008 and December 2015. The results point to a greater importance of the investment risk premium, being statistically significant in three of the five sectors of the economy studied.O prêmio de risco dos ativos é a variável central dos modelos de finanças que buscam estimar o custo do capital das empresas, custo esse empregado, por exemplo, na avaliação do preço das ações. São diversos os modelos empregados para o cálculo do prêmio de risco. Os modelos de Fama e French são amplamente conhecidos e difundidos. Em 2015, Fama e French apresentaram um novo modelo com a introdução de dois novos prêmios de risco. Devido à relevância do tema e à possibilidade de conseguir novas informações a partir desse novo modelo, o objetivo do trabalho é realizar um estudo no mercado de ações brasileiro a partir de uma amostra composta por empresas listadas na Bolsa de Valores de São Paulo (BMF&Bovespa), testando a capacidade de precificação setorial dos fatores de risco presentes no recente modelo de 5-fatores, proposto por Fama e French (2015a). Para a realização da pesquisa foram utilizadas as empresas listadas na Bovespa entre o período de janeiro de 2008 e dezembro de 2015. Os resultados apontam para uma importância maior do prêmio de risco atrelado aos investimentos, estatisticamente significativo em três dos cinco setores da economia estudados.Conselho Regional de Contabilidade de Santa Catarina2017-08-22info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfapplication/pdfhttps://revista.crcsc.org.br/index.php/CRCSC/article/view/237610.16930/2237-7662/rccc.v16n48.2376Revista Catarinense da Ciência Contábil; v. 16 n. 48 (2017): Maio-Agosto2237-76621808-378110.16930/2237-7662/rccc.v16n48reponame:Revista Catarinense da Ciência Contábil (Online)instname:Conselho Regional de Contabilidade de Santa Catarina (CRCSC)instacron:CRCSCporenghttps://revista.crcsc.org.br/index.php/CRCSC/article/view/2376/1944https://revista.crcsc.org.br/index.php/CRCSC/article/view/2376/1945Copyright (c) 2017 REVISTA CATARINENSE DA CIÊNCIA CONTÁBILinfo:eu-repo/semantics/openAccessVieira, Matheus Duarte ValenteMaia, Vinicius MothéKlotzle, Marcelo CabúsFigueiredo, Antonio Carlos2021-05-23T04:09:35Zoai:ojs.pkp.sfu.ca:article/2376Revistahttp://www.atena.org.br/revista/ojs-2.2.3-06/index.php/crcscPRIhttp://revista.crcsc.org.br/revista/ojs-2.2.3-06/index.php/CRCSC/oai||revista@crcsc.org.br2237-76621808-3781opendoar:2021-05-23T04:09:35Revista Catarinense da Ciência Contábil (Online) - Conselho Regional de Contabilidade de Santa Catarina (CRCSC)false
dc.title.none.fl_str_mv Five risk factors model: pricing sectoral portfolios in the Brazilian stock market
Modelo de Cinco Fatores de Risco: precificando carteiras setoriais no mercado acionário brasileiro
title Five risk factors model: pricing sectoral portfolios in the Brazilian stock market
spellingShingle Five risk factors model: pricing sectoral portfolios in the Brazilian stock market
Vieira, Matheus Duarte Valente
Pricing Model
5-Risk Factors
Brazilian Stock Market
Sector Portfolios
SUR Regression.
Modelo de Precificação
5-Fatores de Risco
Mercado de Ações Brasileiro
Carteiras Setoriais
Regressões SUR.
title_short Five risk factors model: pricing sectoral portfolios in the Brazilian stock market
title_full Five risk factors model: pricing sectoral portfolios in the Brazilian stock market
title_fullStr Five risk factors model: pricing sectoral portfolios in the Brazilian stock market
title_full_unstemmed Five risk factors model: pricing sectoral portfolios in the Brazilian stock market
title_sort Five risk factors model: pricing sectoral portfolios in the Brazilian stock market
author Vieira, Matheus Duarte Valente
author_facet Vieira, Matheus Duarte Valente
Maia, Vinicius Mothé
Klotzle, Marcelo Cabús
Figueiredo, Antonio Carlos
author_role author
author2 Maia, Vinicius Mothé
Klotzle, Marcelo Cabús
Figueiredo, Antonio Carlos
author2_role author
author
author
dc.contributor.author.fl_str_mv Vieira, Matheus Duarte Valente
Maia, Vinicius Mothé
Klotzle, Marcelo Cabús
Figueiredo, Antonio Carlos
dc.subject.por.fl_str_mv Pricing Model
5-Risk Factors
Brazilian Stock Market
Sector Portfolios
SUR Regression.
Modelo de Precificação
5-Fatores de Risco
Mercado de Ações Brasileiro
Carteiras Setoriais
Regressões SUR.
topic Pricing Model
5-Risk Factors
Brazilian Stock Market
Sector Portfolios
SUR Regression.
Modelo de Precificação
5-Fatores de Risco
Mercado de Ações Brasileiro
Carteiras Setoriais
Regressões SUR.
description The assets risk premium is the central variable of the finance models that seek to estimate the cost of capital of the companies, the cost of this employee, for example, in the evaluation of the stock price. There are several models used to calculate the risk premium, with Fama and French models being widely known and widely disseminated. In 2015, Fama and French introduced a new model with the introduction of two new risk premiums. Due to the relevance of the theme and the possibility of obtaining new information from this new model, the objective of this paper is to conduct a study in the Brazilian stock market from a sample composed of companies listed on the São Paulo Stock Exchange (BMF&Bovespa), testing the ability of sectoral pricing in the risk factors present in the recent 5-factor model, proposed by Fama and French (2015a). In order to carry out the research, the companies listed on the Bovespa were used between January 2008 and December 2015. The results point to a greater importance of the investment risk premium, being statistically significant in three of the five sectors of the economy studied.
publishDate 2017
dc.date.none.fl_str_mv 2017-08-22
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://revista.crcsc.org.br/index.php/CRCSC/article/view/2376
10.16930/2237-7662/rccc.v16n48.2376
url https://revista.crcsc.org.br/index.php/CRCSC/article/view/2376
identifier_str_mv 10.16930/2237-7662/rccc.v16n48.2376
dc.language.iso.fl_str_mv por
eng
language por
eng
dc.relation.none.fl_str_mv https://revista.crcsc.org.br/index.php/CRCSC/article/view/2376/1944
https://revista.crcsc.org.br/index.php/CRCSC/article/view/2376/1945
dc.rights.driver.fl_str_mv Copyright (c) 2017 REVISTA CATARINENSE DA CIÊNCIA CONTÁBIL
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2017 REVISTA CATARINENSE DA CIÊNCIA CONTÁBIL
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Conselho Regional de Contabilidade de Santa Catarina
publisher.none.fl_str_mv Conselho Regional de Contabilidade de Santa Catarina
dc.source.none.fl_str_mv Revista Catarinense da Ciência Contábil; v. 16 n. 48 (2017): Maio-Agosto
2237-7662
1808-3781
10.16930/2237-7662/rccc.v16n48
reponame:Revista Catarinense da Ciência Contábil (Online)
instname:Conselho Regional de Contabilidade de Santa Catarina (CRCSC)
instacron:CRCSC
instname_str Conselho Regional de Contabilidade de Santa Catarina (CRCSC)
instacron_str CRCSC
institution CRCSC
reponame_str Revista Catarinense da Ciência Contábil (Online)
collection Revista Catarinense da Ciência Contábil (Online)
repository.name.fl_str_mv Revista Catarinense da Ciência Contábil (Online) - Conselho Regional de Contabilidade de Santa Catarina (CRCSC)
repository.mail.fl_str_mv ||revista@crcsc.org.br
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