Estimando o prêmio de mercado: um estudo voltado para o mercado brasileiro no período de 1996 a 2015

• Autor(a) principal: Hiroki, Osmar Martins
• Data de Publicação: 2016
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
• Texto Completo: http://hdl.handle.net/10438/16911
• topic: Cost of Equity; CAPM; Prêmio de Mercado; Custo do Capital Próprio; Economia; Administração de risco; Administração financeira; Capital (Economia) - Custos; Modelo de precificação de ativos

The equity risk premium is an essential variable to assets valuation and corporate finance as a component to estimate the cost of equity. Thus, this study aimed to estimate the equity risk premium in Brazil during the period from 1996 to 2015. To this purpose, we used three different approaches to estimate the equity risk premium in Brazil, as follows: retrospective, prospective and indirect. From the results, it was concluded a equity risk premium of 3.14% per year by the prospective approach based on the return of 74 stocks and by the indirect approach the results were not significant based on the return of 60 stocks. In addition, by the retrospective approach the result was not conclusive because the equity risk premium estimated resulted in negative values that go against the corporate finance theory.