Análise do risco sistemático e idiossincrático em portfólios de ações nos mercados desenvolvidos e emergentes

• Autor(a) principal: Rossetti, Glenda Najara
• 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/10438/17861
• topic: Modern portfolio theory; Systematic risk; Idiosyncratic risk; Capital markets and diversification; Teoria moderna do portfólio; Risco sistemático; Risco idiossincrático; Mercados de capitais e diversificação; Economia; Avaliação de riscos; Mercado de capitais; Investimentos; Ações (Finanças)

This paper has two objectives: verify whether systematic risk is different across countries by comparing risk return ratio of market portfolios and equally weighted portfolios (1/N) to verify their efficiency and the levels of diversification across countries by showing risk behavior increasing diversification. Monthly dollars returns were selected from the forty (40) largest shares of fourteen (14) capital markets indexes of the major developed and emerging economies during the period from June 30, 2011 to May 31, 2016 to construct equally weighted portfolios (1/N) and compare them to market portfolios. Based on the assuming of Modern Portfolio Theory (MPT), the empirical tests have shown evidence that systemic risks are different between the capital markets of the main developed and emerging economies, that market portfolios are not efficient and despite of this, the number of shares required to achieve a certain level of diversification is similar across countries. The results found are in agreement with the literature researched both internationally and nationally.