Value Premium and Country Risk as Dimensions to Estimate Conditional Returns: a Study of the Brazilian Market

Detalhes bibliográficos
Autor(a) principal: Medeiros, Lilian de Castro
Data de Publicação: 2015
Outros Autores: Bressan, Aureliano Angel
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/121
Resumo: Asset pricing is a widely explored theme in the financial literature. Nevertheless, the phenomenon of value premium is still controversial, since although easily detected in developed and emerging markets, little is know about the economic forces that explain its existence. In this context, this article examines value premium in the Brazilian market and investigates the influence of the country risk variable as an additional risk factor for estimating conditional returns in this market not captured by value premium. For that, we employ a five-factor model, formulated by adding the country risk factor to the model of Carhart (1997). We apply the statistical procedure adopted by Fama & French (1993) to the period between 1994 and 2012, with data on nonfinancial companies listed on the BM&FBovespa. The results confirm the existence of value premium in the Brazilian market, and country risk and value premium together are significant factors to explain conditional returns. 
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spelling Value Premium and Country Risk as Dimensions to Estimate Conditional Returns: a Study of the Brazilian MarketO Value Premium e o Risco-País como Dimensões do Risco na Estimação dos Retornos Condicionados: um Estudo do Mercado BrasileiroValue premiumCountry riskConditional returnsValue premiumRisco-paísRetornos condicionadosAsset pricing is a widely explored theme in the financial literature. Nevertheless, the phenomenon of value premium is still controversial, since although easily detected in developed and emerging markets, little is know about the economic forces that explain its existence. In this context, this article examines value premium in the Brazilian market and investigates the influence of the country risk variable as an additional risk factor for estimating conditional returns in this market not captured by value premium. For that, we employ a five-factor model, formulated by adding the country risk factor to the model of Carhart (1997). We apply the statistical procedure adopted by Fama & French (1993) to the period between 1994 and 2012, with data on nonfinancial companies listed on the BM&FBovespa. The results confirm the existence of value premium in the Brazilian market, and country risk and value premium together are significant factors to explain conditional returns. A precificação de ativos é um tema bastante explorado pela literatura financeira. Apesar disso, o fenômeno do value premium permanece controverso, uma vez que, embora facilmente detectado nos mercados desenvolvidos e emergentes, pouco se sabe efetivamente sobre as forças econômicas que explicam sua existência. Nesse contexto, este artigo se propôs a identificar o value premium no mercado brasileiro, bem como a verificar a influência da variável macroeconômica risco-país como um fator de risco adicional para os retornos condicionados desse mercado, ainda não captado pelo value premium. Para tal, foi proposto um modelo de cinco fatores, que consistiu na adição do fator risco-país ao modelo de Carhart (1997). O procedimento estatístico adotado foi o de Fama e French (1993) para o período compreendido entre 1994 e 2012, sendo utilizados dados de empresas não financeiras listadas na BM&FBovespa. A existência do value premium no mercado nacional foi confirmada e o risco-país e o value premium se apresentaram conjuntamente como fatores significativos para a explicação dos retornos condicionados.FUCAPE Business Shool2015-05-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/12110.15728/bbr.2015.12.3.4Brazilian Business Review; Vol. 12 No. 3 (2015): May to June 2015; 67-90Brazilian Business Review; v. 12 n. 3 (2015): Maio a Junho de 2015; 67-901808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/121/179http://www.bbronline.com.br/index.php/bbr/article/view/121/180Medeiros, Lilian de CastroBressan, Aureliano Angelinfo:eu-repo/semantics/openAccess2018-10-31T19:07:43Zoai:ojs.pkp.sfu.ca:article/121Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2018-10-31T19:07:43BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false
dc.title.none.fl_str_mv Value Premium and Country Risk as Dimensions to Estimate Conditional Returns: a Study of the Brazilian Market
O Value Premium e o Risco-País como Dimensões do Risco na Estimação dos Retornos Condicionados: um Estudo do Mercado Brasileiro
title Value Premium and Country Risk as Dimensions to Estimate Conditional Returns: a Study of the Brazilian Market
spellingShingle Value Premium and Country Risk as Dimensions to Estimate Conditional Returns: a Study of the Brazilian Market
Medeiros, Lilian de Castro
Value premium
Country risk
Conditional returns
Value premium
Risco-país
Retornos condicionados
title_short Value Premium and Country Risk as Dimensions to Estimate Conditional Returns: a Study of the Brazilian Market
title_full Value Premium and Country Risk as Dimensions to Estimate Conditional Returns: a Study of the Brazilian Market
title_fullStr Value Premium and Country Risk as Dimensions to Estimate Conditional Returns: a Study of the Brazilian Market
title_full_unstemmed Value Premium and Country Risk as Dimensions to Estimate Conditional Returns: a Study of the Brazilian Market
title_sort Value Premium and Country Risk as Dimensions to Estimate Conditional Returns: a Study of the Brazilian Market
author Medeiros, Lilian de Castro
author_facet Medeiros, Lilian de Castro
Bressan, Aureliano Angel
author_role author
author2 Bressan, Aureliano Angel
author2_role author
dc.contributor.author.fl_str_mv Medeiros, Lilian de Castro
Bressan, Aureliano Angel
dc.subject.por.fl_str_mv Value premium
Country risk
Conditional returns
Value premium
Risco-país
Retornos condicionados
topic Value premium
Country risk
Conditional returns
Value premium
Risco-país
Retornos condicionados
description Asset pricing is a widely explored theme in the financial literature. Nevertheless, the phenomenon of value premium is still controversial, since although easily detected in developed and emerging markets, little is know about the economic forces that explain its existence. In this context, this article examines value premium in the Brazilian market and investigates the influence of the country risk variable as an additional risk factor for estimating conditional returns in this market not captured by value premium. For that, we employ a five-factor model, formulated by adding the country risk factor to the model of Carhart (1997). We apply the statistical procedure adopted by Fama & French (1993) to the period between 1994 and 2012, with data on nonfinancial companies listed on the BM&FBovespa. The results confirm the existence of value premium in the Brazilian market, and country risk and value premium together are significant factors to explain conditional returns. 
publishDate 2015
dc.date.none.fl_str_mv 2015-05-01
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/121
10.15728/bbr.2015.12.3.4
url http://www.bbronline.com.br/index.php/bbr/article/view/121
identifier_str_mv 10.15728/bbr.2015.12.3.4
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/121/179
http://www.bbronline.com.br/index.php/bbr/article/view/121/180
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. 12 No. 3 (2015): May to June 2015; 67-90
Brazilian Business Review; v. 12 n. 3 (2015): Maio a Junho de 2015; 67-90
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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