Análise do risco sistemático e idiossincrático em portfólios de ações nos mercados desenvolvidos e emergentes
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/10438/17861 |
Resumo: | 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. |
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Rossetti, Glenda NajaraEscolas::EESPCintra, Roberto BarbosaSheng, Hsia HuaTenani, Paulo Sérgio2017-02-15T15:09:04Z2017-02-15T15:09:04Z2017-01-19ROSSETTI, Glenda Najara. Análise do risco sistemático e idiossincrático em portfólios de ações nos mercados desenvolvidos e emergentes. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2017.http://hdl.handle.net/10438/17861This 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.Este trabalho tem dois objetivos: verificar se o risco sistemático é diferente entre países comparando a relação risco retorno dos portfólios de mercado com portfólios igualmente ponderados (1/N) para verificar sua eficiência e se os níveis de diversificação entre os países mostrando o comportamento do risco com o aumento da diversificação. Foram selecionados retornos mensais em dólares das quarenta (40) maiores ações de catorze (14) índices de mercados de capitais das principais economias desenvolvidas e emergentes no período de 30 de Junho de 2011 á 31 de Maio de 2016 para construir portfólios igualmente ponderados (1/N) e compará-los aos portfólios de mercado. Partindo dos pressupostos da Teoria Moderna do Portfólio (MPT) os ensaios empíricos realizados neste trabalho revelaram evidências de que os riscos sistêmicos são diferentes entre os mercados de capitais das principais economias desenvolvidas e emergentes, que os portfólios de mercados não são eficientes e apesar disso, o número de ações necessárias para adquirir certo nível de diversificação é semelhante entre os países. Os resultados encontrados estão de acordo com a literatura pesquisada tanto internacionalmente quanto nacionalmente.porModern portfolio theorySystematic riskIdiosyncratic riskCapital markets and diversificationTeoria moderna do portfólioRisco sistemáticoRisco idiossincráticoMercados de capitais e diversificaçãoEconomiaAvaliação de riscosMercado de capitaisInvestimentosAções (Finanças)Análise do risco sistemático e idiossincrático em portfólios de ações nos mercados desenvolvidos e emergentesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTEXTTese.pdf.txtTese.pdf.txtExtracted texttext/plain91197https://repositorio.fgv.br/bitstreams/ba3f171f-63ed-4651-8a55-13da79dd432c/downloadc0e21afeb756ec49043b5a61101ad6c8MD59ORIGINALTese.pdfTese.pdfTese Mestrado 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dc.title.por.fl_str_mv |
Análise do risco sistemático e idiossincrático em portfólios de ações nos mercados desenvolvidos e emergentes |
title |
Análise do risco sistemático e idiossincrático em portfólios de ações nos mercados desenvolvidos e emergentes |
spellingShingle |
Análise do risco sistemático e idiossincrático em portfólios de ações nos mercados desenvolvidos e emergentes Rossetti, Glenda Najara 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) |
title_short |
Análise do risco sistemático e idiossincrático em portfólios de ações nos mercados desenvolvidos e emergentes |
title_full |
Análise do risco sistemático e idiossincrático em portfólios de ações nos mercados desenvolvidos e emergentes |
title_fullStr |
Análise do risco sistemático e idiossincrático em portfólios de ações nos mercados desenvolvidos e emergentes |
title_full_unstemmed |
Análise do risco sistemático e idiossincrático em portfólios de ações nos mercados desenvolvidos e emergentes |
title_sort |
Análise do risco sistemático e idiossincrático em portfólios de ações nos mercados desenvolvidos e emergentes |
author |
Rossetti, Glenda Najara |
author_facet |
Rossetti, Glenda Najara |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Cintra, Roberto Barbosa Sheng, Hsia Hua |
dc.contributor.author.fl_str_mv |
Rossetti, Glenda Najara |
dc.contributor.advisor1.fl_str_mv |
Tenani, Paulo Sérgio |
contributor_str_mv |
Tenani, Paulo Sérgio |
dc.subject.eng.fl_str_mv |
Modern portfolio theory Systematic risk Idiosyncratic risk Capital markets and diversification |
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) |
dc.subject.por.fl_str_mv |
Teoria moderna do portfólio Risco sistemático Risco idiossincrático Mercados de capitais e diversificação |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Avaliação de riscos Mercado de capitais Investimentos Ações (Finanças) |
description |
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. |
publishDate |
2017 |
dc.date.accessioned.fl_str_mv |
2017-02-15T15:09:04Z |
dc.date.available.fl_str_mv |
2017-02-15T15:09:04Z |
dc.date.issued.fl_str_mv |
2017-01-19 |
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 |
ROSSETTI, Glenda Najara. Análise do risco sistemático e idiossincrático em portfólios de ações nos mercados desenvolvidos e emergentes. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2017. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/17861 |
identifier_str_mv |
ROSSETTI, Glenda Najara. Análise do risco sistemático e idiossincrático em portfólios de ações nos mercados desenvolvidos e emergentes. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2017. |
url |
http://hdl.handle.net/10438/17861 |
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/ba3f171f-63ed-4651-8a55-13da79dd432c/download https://repositorio.fgv.br/bitstreams/8d4ccecf-f19d-4a47-939e-e0b1d5abe19e/download https://repositorio.fgv.br/bitstreams/7390a1b5-44c1-40b5-bfff-b5a62d80fd73/download https://repositorio.fgv.br/bitstreams/d6446533-7427-4e4f-a1e2-e4c4bf6ba3f1/download |
bitstream.checksum.fl_str_mv |
c0e21afeb756ec49043b5a61101ad6c8 1f5b61ad6de4e5cc8e13490446a2f782 dfb340242cced38a6cca06c627998fa1 fa3f0dd546586747420c462c69e4f9d0 |
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_ |
1810023690274865152 |