Betting against beta no mercado acionário brasileiro
Autor(a) principal: | |
---|---|
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/10438/18817 |
Resumo: | In this paper, we present empirical evidence to investigate whether the propositions of the model of Frazzini and Pedersen (2014) apply to the Brazilian stock market. Using data from the year 2000 up to the first quarter of 2017, we find that the SML of this Market had a lower slope than that predicted by CAPM. In fact, it turned out to be negative, and this result was observed both in the time-series and in the cross-sectional analyzes. As a methodology to raise this evidence, 10 portfolios were created, organized in ascending order according to their respective betas. We calculated the returns relative to each portfolio and, with them, it was possible to verify that the portfolios with the highest beta performed less excess returns. In addition, we found that the Sharpe ratio was higher the lower the beta of the portfolios. Another proposition verified empirically in the Brazilian stock market, and in the considered period, was that the return of the BAB portfolios was positive. In addition, it was the largest one compared to others portfolios, and had the highest expected excess of return per unit of risk. Regarding the alpha, it was expected that the portfolios with higher beta had lower alpha. It was possible to verify this trend, but not in an undeniable way. This motivated us to make a small change in the model of Frazzini and Pedersen, which created a relation between the return of each one of the portfolios and the one of the BAB portfolio. The mathematical prediction, derived from the modified model, says that the coefficient of this relation is smaller the bigger the beta. It was possible to raise this empirical evidence in a clear way. This point was the great differential of this work, since we were the first to raise such evidence and to show that the BAB portfolios can be used as explanatory variable. |
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Nascimento, Felipe MerloEscolas::EESPCintra, Roberto BarbosaKamogawa, Luiz Fernando OharaRuilova Terán, Juan Carlos2017-09-21T12:47:01Z2017-09-21T12:47:01Z2017-08-25http://hdl.handle.net/10438/18817In this paper, we present empirical evidence to investigate whether the propositions of the model of Frazzini and Pedersen (2014) apply to the Brazilian stock market. Using data from the year 2000 up to the first quarter of 2017, we find that the SML of this Market had a lower slope than that predicted by CAPM. In fact, it turned out to be negative, and this result was observed both in the time-series and in the cross-sectional analyzes. As a methodology to raise this evidence, 10 portfolios were created, organized in ascending order according to their respective betas. We calculated the returns relative to each portfolio and, with them, it was possible to verify that the portfolios with the highest beta performed less excess returns. In addition, we found that the Sharpe ratio was higher the lower the beta of the portfolios. Another proposition verified empirically in the Brazilian stock market, and in the considered period, was that the return of the BAB portfolios was positive. In addition, it was the largest one compared to others portfolios, and had the highest expected excess of return per unit of risk. Regarding the alpha, it was expected that the portfolios with higher beta had lower alpha. It was possible to verify this trend, but not in an undeniable way. This motivated us to make a small change in the model of Frazzini and Pedersen, which created a relation between the return of each one of the portfolios and the one of the BAB portfolio. The mathematical prediction, derived from the modified model, says that the coefficient of this relation is smaller the bigger the beta. It was possible to raise this empirical evidence in a clear way. This point was the great differential of this work, since we were the first to raise such evidence and to show that the BAB portfolios can be used as explanatory variable.Neste trabalho, levantamos evidencias empíricas para investigar se as proposições do modelo de Frazzini e Pedersen (2014) se aplicam ao mercado acionário brasileiro. Utilizando dados que retomam o ano de 2000 até o primeiro trimestre de 2017, verificamos que a SML deste mercado é menos inclinada que a prevista pelo CAPM. De fato, ela chegou a ser negativa, sendo este resultado observado tanto nas analises em séries de tempo quanto nas em corte transversal. Como metodologia para levantar estas evidencias, foram criadas 10 carteiras, organizadas em ordem crescente segundo seus respectivos betas. Calculamos os retornos relativos a cada carteira e, com eles, foi possível verificar que os portfolios com maior beta realizaram menor retorno em excesso. Além disso, verificamos que o índice de Sharpe foi maior quanto menor foi o beta das carteiras. Outra proposição verificada empiricamente no mercado acionário brasileiro, e no período considerado, foi que o retorno das carteiras BAB foi positivo. Além disso, foi o maior entre todas as carteiras, ficando inclusive com o maior retorno esperado em excesso por unidade de risco. No que tange ao alfa, era esperado que as carteiras com maior beta tivessem menor alfa. Foi possível verificar esta tendência, mas não de maneira incontestável. Isso nos motivou a fazer uma pequena alteração no modelo de Frazzini e Pedersen, a qual criou uma relação entre o retorno de cada uma das carteiras e o da carteira BAB. A previsão matemática, oriunda do modelo modificado, diz que o coeficiente desta relação é menor quanto maior for o beta. Foi possível levantar esta evidencia empírica de maneira clara. Este ponto foi o grande diferencial deste trabalho, uma vez que fomos os primeiros a levantar tal evidencia e a mostrar que as carteiras BAB podem ser utilizadas como variável explicativa.porCAPMBetting against betaSharpe ratioAlphaAlfaBetaÍndice de SharpeEconomiaModelo de precificação de ativosAvaliação de riscosAções (Finanças) - BrasilMercado de capitais - BrasilBetting against beta no mercado acionário brasileiroinfo: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/openAccessTEXTDissertação Felipe Merlo.pdf.txtDissertação Felipe Merlo.pdf.txtExtracted texttext/plain78189https://repositorio.fgv.br/bitstreams/4ae16c39-0141-4043-8c5a-04289a27e962/download270f7b7f41ac921c342036cad1d28233MD55ORIGINALDissertação Felipe Merlo.pdfDissertação Felipe 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|
dc.title.por.fl_str_mv |
Betting against beta no mercado acionário brasileiro |
title |
Betting against beta no mercado acionário brasileiro |
spellingShingle |
Betting against beta no mercado acionário brasileiro Nascimento, Felipe Merlo CAPM Betting against beta Sharpe ratio Alpha Alfa Beta Índice de Sharpe Economia Modelo de precificação de ativos Avaliação de riscos Ações (Finanças) - Brasil Mercado de capitais - Brasil |
title_short |
Betting against beta no mercado acionário brasileiro |
title_full |
Betting against beta no mercado acionário brasileiro |
title_fullStr |
Betting against beta no mercado acionário brasileiro |
title_full_unstemmed |
Betting against beta no mercado acionário brasileiro |
title_sort |
Betting against beta no mercado acionário brasileiro |
author |
Nascimento, Felipe Merlo |
author_facet |
Nascimento, Felipe Merlo |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Cintra, Roberto Barbosa Kamogawa, Luiz Fernando Ohara |
dc.contributor.author.fl_str_mv |
Nascimento, Felipe Merlo |
dc.contributor.advisor1.fl_str_mv |
Ruilova Terán, Juan Carlos |
contributor_str_mv |
Ruilova Terán, Juan Carlos |
dc.subject.eng.fl_str_mv |
CAPM Betting against beta Sharpe ratio Alpha |
topic |
CAPM Betting against beta Sharpe ratio Alpha Alfa Beta Índice de Sharpe Economia Modelo de precificação de ativos Avaliação de riscos Ações (Finanças) - Brasil Mercado de capitais - Brasil |
dc.subject.por.fl_str_mv |
Alfa Beta Índice de Sharpe |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Modelo de precificação de ativos Avaliação de riscos Ações (Finanças) - Brasil Mercado de capitais - Brasil |
description |
In this paper, we present empirical evidence to investigate whether the propositions of the model of Frazzini and Pedersen (2014) apply to the Brazilian stock market. Using data from the year 2000 up to the first quarter of 2017, we find that the SML of this Market had a lower slope than that predicted by CAPM. In fact, it turned out to be negative, and this result was observed both in the time-series and in the cross-sectional analyzes. As a methodology to raise this evidence, 10 portfolios were created, organized in ascending order according to their respective betas. We calculated the returns relative to each portfolio and, with them, it was possible to verify that the portfolios with the highest beta performed less excess returns. In addition, we found that the Sharpe ratio was higher the lower the beta of the portfolios. Another proposition verified empirically in the Brazilian stock market, and in the considered period, was that the return of the BAB portfolios was positive. In addition, it was the largest one compared to others portfolios, and had the highest expected excess of return per unit of risk. Regarding the alpha, it was expected that the portfolios with higher beta had lower alpha. It was possible to verify this trend, but not in an undeniable way. This motivated us to make a small change in the model of Frazzini and Pedersen, which created a relation between the return of each one of the portfolios and the one of the BAB portfolio. The mathematical prediction, derived from the modified model, says that the coefficient of this relation is smaller the bigger the beta. It was possible to raise this empirical evidence in a clear way. This point was the great differential of this work, since we were the first to raise such evidence and to show that the BAB portfolios can be used as explanatory variable. |
publishDate |
2017 |
dc.date.accessioned.fl_str_mv |
2017-09-21T12:47:01Z |
dc.date.available.fl_str_mv |
2017-09-21T12:47:01Z |
dc.date.issued.fl_str_mv |
2017-08-25 |
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.uri.fl_str_mv |
http://hdl.handle.net/10438/18817 |
url |
http://hdl.handle.net/10438/18817 |
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/4ae16c39-0141-4043-8c5a-04289a27e962/download https://repositorio.fgv.br/bitstreams/59eea1e3-5e88-40c4-8cc3-d091d5e98f64/download https://repositorio.fgv.br/bitstreams/c68d8069-c8c4-49fa-87cc-55138d35399a/download https://repositorio.fgv.br/bitstreams/61cb48e3-012c-410a-a05c-ced1bad9d1ad/download |
bitstream.checksum.fl_str_mv |
270f7b7f41ac921c342036cad1d28233 e4b83bed5e52b01c178db39bc7f862a1 dfb340242cced38a6cca06c627998fa1 20e1bf5b67d7161c3b39e4391a64755d |
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 |
|
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1802749848257036288 |