Apreçamento da assimetria idiossincrática no mercado brasileiro de ações

• Autor(a) principal: Ricca, Bernardo de Oliveira Guerra
• Data de Publicação: 2010
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
• Texto Completo: https://hdl.handle.net/10438/7722
• topic: Assimetria idiossincrática esperada; Apreçamento de ativos; Mercado brasileiro de ações; Expected idiosyncratic skewness; Brazilian stock market; Asset pricing; Economia; Mercado de capitais; Ações (Finanças); Modelo de precificação de ativos; Modelos macroeconômicos

Recent papers in finance presented models in which the idiosyncratic skewness is a priced component of security returns. More specifically, stocks with high expected idiosyncratic skewness should have low expected returns. Boyer, Mitton and Vorkink (2009) showed that it actually happens in the American stock market. The goal of this thesis is to verify if this actually happens in the Brazilian stock market. The result, however, was different than expected: stocks with high expected idiosyncratic skewness have high expected returns. Among the possible explanations for this behavior are the difficult to predict idiosyncratic skewness and even failures in the construction of estimates of idiosyncratic skewness, which are calculated from the residuals of the Fama-French three-factor model.