Estimação do modelo APT (Arbitrage Pricing Theory) para o mercado brasileiro de FIIs
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/18049 |
Resumo: | This thesis seeks to investigate the risk factors that determine the returns of the FIIs traded in the stock exchange and organized counter markets of the BVMF, through the estimation of the APT model, according to the two classic approaches. For this purpose two APT models were estimated one with macroeconomic risk factors and a principal component analysis (PCA) of the returns of the FIIs selected for the sample. The results obtained indicate low explanatory power of the two APT models and, except for the ETTJt interest rate structure, no statistical significance was observed for the macroeconomic risk factors, results different from those obtained by Chan, Hendershott and Sanders (1990) for the US REITs market and similar to the results obtained by Rebeschini and Leal (2016) for the Brazilian stock investment funds market. This may indicate that despite the recent strong growth in the Brazilian FII market, the level of FIIs' Brazilian market development is still low, especially when compared to other assets traded in the Brazilian financial market or similar assets traded in foreign markets. Being observed a large number of FIIs with a single portfolio asset, which, together with the results obtained in previous studies and principal component analysis (PCA), suggest that FII returns are more related to the characteristics of the underlying assets than to risk factors related to market indices. |
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Shiratori, Carlo EduardoEscolas::EESPEid Júnior, WilliamYanaka, Guilherme MatsumuraRuilova Terán, Juan Carlos2017-03-17T12:36:20Z2017-03-17T12:36:20Z2017-02-12SHIRATORI, Carlo Eduardo. Estimação do modelo APT (Arbitrage Pricing Theory) para o mercado brasileiro de FIIs. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2017.http://hdl.handle.net/10438/18049This thesis seeks to investigate the risk factors that determine the returns of the FIIs traded in the stock exchange and organized counter markets of the BVMF, through the estimation of the APT model, according to the two classic approaches. For this purpose two APT models were estimated one with macroeconomic risk factors and a principal component analysis (PCA) of the returns of the FIIs selected for the sample. The results obtained indicate low explanatory power of the two APT models and, except for the ETTJt interest rate structure, no statistical significance was observed for the macroeconomic risk factors, results different from those obtained by Chan, Hendershott and Sanders (1990) for the US REITs market and similar to the results obtained by Rebeschini and Leal (2016) for the Brazilian stock investment funds market. This may indicate that despite the recent strong growth in the Brazilian FII market, the level of FIIs' Brazilian market development is still low, especially when compared to other assets traded in the Brazilian financial market or similar assets traded in foreign markets. Being observed a large number of FIIs with a single portfolio asset, which, together with the results obtained in previous studies and principal component analysis (PCA), suggest that FII returns are more related to the characteristics of the underlying assets than to risk factors related to market indices.A presente dissertação busca investigar os fatores de risco que determinam os retornos dos fundos de investimentos imobiliários - FIIs negociados nos mercados de bolsa e balcão organizado da BVMF , mediante a estimação do modelo Arbitrage Princing Theory - APT, originalmente proposto por Ross (1976), conforme as duas principais abordagens. Para tanto foram estimados dois modelos APT um com fatores de risco macroeconômicos e uma Análise de Componentes Principais - PCA dos retornos dos FIIs selecionados para a amostra. Os resultados obtidos indicam baixo poder explicativo dos dois modelos APT e exceto pela estrutura de taxa de juros ETTJt não foi observada significância estatística dos fatores de risco macroeconômicos, resultados diferentes dos obtidos por Chan, Hendershott e Sanders (1990) para o mercado americano de REITs e semelhante aos resultado obtidos por Rebeschini e Leal (2016) para o mercado de fundos de investimento em ações brasileiros. O que pode indicar que apesar do forte crescimento recente do mercado brasileiro de FIIs, ainda é baixo o nível de desenvolvimento do mercado brasileiro de FIIs, principalmente se comparado a outros ativos negociados no mercado financeiro brasileiro ou de ativos semelhantes negociados em mercados estrangeiros, sendo observado ainda um grande número de FIIs com um único ativo em carteira, o que aliado aos resultados obtidos em trabalhos anteriores e na análise de componentes principais (PCA) sugerem que os retornos dos FIIs estão mais relacionados às características próprias dos ativos subjacentes do que à fatores de risco relacionados à índices de mercado.porMercado imobiliárioFundo de investimento imobiliárioBM&FBovespaANBIMACAPMAPTEconomiaModelo de precificação de ativosInvestimentos imobiliáriosBolsa de Valores de São PauloMercado financeiroEstimação do modelo APT (Arbitrage Pricing Theory) para o mercado brasileiro de 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|
dc.title.por.fl_str_mv |
Estimação do modelo APT (Arbitrage Pricing Theory) para o mercado brasileiro de FIIs |
title |
Estimação do modelo APT (Arbitrage Pricing Theory) para o mercado brasileiro de FIIs |
spellingShingle |
Estimação do modelo APT (Arbitrage Pricing Theory) para o mercado brasileiro de FIIs Shiratori, Carlo Eduardo Mercado imobiliário Fundo de investimento imobiliário BM&FBovespa ANBIMA CAPM APT Economia Modelo de precificação de ativos Investimentos imobiliários Bolsa de Valores de São Paulo Mercado financeiro |
title_short |
Estimação do modelo APT (Arbitrage Pricing Theory) para o mercado brasileiro de FIIs |
title_full |
Estimação do modelo APT (Arbitrage Pricing Theory) para o mercado brasileiro de FIIs |
title_fullStr |
Estimação do modelo APT (Arbitrage Pricing Theory) para o mercado brasileiro de FIIs |
title_full_unstemmed |
Estimação do modelo APT (Arbitrage Pricing Theory) para o mercado brasileiro de FIIs |
title_sort |
Estimação do modelo APT (Arbitrage Pricing Theory) para o mercado brasileiro de FIIs |
author |
Shiratori, Carlo Eduardo |
author_facet |
Shiratori, Carlo Eduardo |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Eid Júnior, William Yanaka, Guilherme Matsumura |
dc.contributor.author.fl_str_mv |
Shiratori, Carlo Eduardo |
dc.contributor.advisor1.fl_str_mv |
Ruilova Terán, Juan Carlos |
contributor_str_mv |
Ruilova Terán, Juan Carlos |
dc.subject.por.fl_str_mv |
Mercado imobiliário Fundo de investimento imobiliário BM&FBovespa ANBIMA CAPM APT |
topic |
Mercado imobiliário Fundo de investimento imobiliário BM&FBovespa ANBIMA CAPM APT Economia Modelo de precificação de ativos Investimentos imobiliários Bolsa de Valores de São Paulo Mercado financeiro |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Modelo de precificação de ativos Investimentos imobiliários Bolsa de Valores de São Paulo Mercado financeiro |
description |
This thesis seeks to investigate the risk factors that determine the returns of the FIIs traded in the stock exchange and organized counter markets of the BVMF, through the estimation of the APT model, according to the two classic approaches. For this purpose two APT models were estimated one with macroeconomic risk factors and a principal component analysis (PCA) of the returns of the FIIs selected for the sample. The results obtained indicate low explanatory power of the two APT models and, except for the ETTJt interest rate structure, no statistical significance was observed for the macroeconomic risk factors, results different from those obtained by Chan, Hendershott and Sanders (1990) for the US REITs market and similar to the results obtained by Rebeschini and Leal (2016) for the Brazilian stock investment funds market. This may indicate that despite the recent strong growth in the Brazilian FII market, the level of FIIs' Brazilian market development is still low, especially when compared to other assets traded in the Brazilian financial market or similar assets traded in foreign markets. Being observed a large number of FIIs with a single portfolio asset, which, together with the results obtained in previous studies and principal component analysis (PCA), suggest that FII returns are more related to the characteristics of the underlying assets than to risk factors related to market indices. |
publishDate |
2017 |
dc.date.accessioned.fl_str_mv |
2017-03-17T12:36:20Z |
dc.date.available.fl_str_mv |
2017-03-17T12:36:20Z |
dc.date.issued.fl_str_mv |
2017-02-12 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
SHIRATORI, Carlo Eduardo. Estimação do modelo APT (Arbitrage Pricing Theory) para o mercado brasileiro de FIIs. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2017. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/18049 |
identifier_str_mv |
SHIRATORI, Carlo Eduardo. Estimação do modelo APT (Arbitrage Pricing Theory) para o mercado brasileiro de FIIs. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2017. |
url |
http://hdl.handle.net/10438/18049 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
bitstream.url.fl_str_mv |
https://repositorio.fgv.br/bitstreams/d0425593-e19a-496a-9e3d-ffc74332c14d/download https://repositorio.fgv.br/bitstreams/d29e6f55-4bb1-4d67-a26f-7da4cff2745c/download https://repositorio.fgv.br/bitstreams/8a6add6c-72a4-43ec-98b5-9575e16559a1/download https://repositorio.fgv.br/bitstreams/b3129ca8-787d-4726-b73c-20a561f3fd85/download |
bitstream.checksum.fl_str_mv |
f50cf363aaefbb450bea1ab6c6676cd8 556389bf3029de29cf0ea9ea59b7afbb dfb340242cced38a6cca06c627998fa1 94463f5904564e2961496042f5130341 |
bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 MD5 |
repository.name.fl_str_mv |
Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
|
_version_ |
1810023707682275328 |