CAPM - MARKOV SWITCHING AND KALMAN FILTER: AN APPLICATION TO B3’S SUSTAINABILITY AND GOVERNANCE INDUSTRY INDICES

Detalhes bibliográficos
Autor(a) principal: Tavares, Ricardo de Souza
Data de Publicação: 2021
Outros Autores: Caldeira, João Frois
Tipo de documento: Artigo
Idioma: por
Título da fonte: Análise Econômica (Online)
Texto Completo: https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/87158
Resumo: This paper seeks to understand the behavior of the sectoral, governanceand sustainability indices of the Brazilian stock exchange. For this, a traditional methodology was used with the CAPM models in their versions: static, with regime change(Markov Switching) and with betas varying at each point of time (Kalman Filter andSmoother). The application of this methodology brought evidence that eight of thenine indexes analyzed present structural change (alternating between two regimes). Inaddition, it was noted that betas are unstable over time, ie there is a nonlinear relationship between risk and return. Overall, the results found indicate that the systemic risk(beta) of the analyzed indices varies over time and depends on regimens. Finally, thisanalysis allows the manager or investor to have access to a set of information relevant to his decision making regarding investments in sectors or a set of companies with goodpractices, which make up the Brazilian stock exchange.
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spelling CAPM - MARKOV SWITCHING AND KALMAN FILTER: AN APPLICATION TO B3’S SUSTAINABILITY AND GOVERNANCE INDUSTRY INDICESCAPM - MARKOV SWITCHING E KALMAN FILTER: UMA APLICAÇÃO AOS ÍNDICES SETORIAIS DE SUSTENTABILIDADE E GOVERNANÇA DA B3CAPMIbovespaMarkov SwitchingFiltro de KalmanG10G11G12CAPMIbovespaMarkov switchingKalman filterG10G11G12This paper seeks to understand the behavior of the sectoral, governanceand sustainability indices of the Brazilian stock exchange. For this, a traditional methodology was used with the CAPM models in their versions: static, with regime change(Markov Switching) and with betas varying at each point of time (Kalman Filter andSmoother). The application of this methodology brought evidence that eight of thenine indexes analyzed present structural change (alternating between two regimes). Inaddition, it was noted that betas are unstable over time, ie there is a nonlinear relationship between risk and return. Overall, the results found indicate that the systemic risk(beta) of the analyzed indices varies over time and depends on regimens. Finally, thisanalysis allows the manager or investor to have access to a set of information relevant to his decision making regarding investments in sectors or a set of companies with goodpractices, which make up the Brazilian stock exchange.Este estudo busca investigar a formação dos retornos de índices setoriais ede práticas corporativas da B3. Para tanto, utiliza-se uma metodologia tradicional comos modelos de precificação de ativos de capital (CAPM) em suas versões estática – commudança de regime (Markov switching) – e com betas variando a cada ponto do tempo– filtro e suavizador de Kalman. A aplicação dessa metologia traz evidências de queoito dos nove índices analisados apresentam mudança estrutural (alternam entre doisregimes). Além disso, nota-se que os betas são instáveis ao longo do tempo, isto é, háuma relação não linear entre risco e retorno. De modo geral, os resultados encontradosindicam que o risco sistêmico (beta) dos índices analisados variam ao longo do tempoe dependem de regimes. Por fim, a presente análise possibilita ao gestor ou investidorter acesso a um conjunto de informações relevantes para sua tomada de decisão emrelação a investimentos em setores ou conjunto de empresas com boas práticas quecompõem a bolsa de valores brasileira.UFRGS2021-09-29info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/8715810.22456/2176-5456.87158Análise Econômica; Vol. 39 No. 80 (2021): Setembro/2021Análise Econômica; v. 39 n. 80 (2021): Setembro/20212176-54560102-9924reponame:Análise Econômica (Online)instname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSporhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/87158/66228Copyright (c) 2021 Análise Econômicainfo:eu-repo/semantics/openAccessTavares, Ricardo de SouzaCaldeira, João Frois2022-02-04T23:19:31Zoai:seer.ufrgs.br:article/87158Revistahttps://seer.ufrgs.br/index.php/AnaliseEconomicaPUBhttps://seer.ufrgs.br/index.php/AnaliseEconomica/oai||rae@ufrgs.br2176-54560102-9924opendoar:2022-02-04T23:19:31Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)false
dc.title.none.fl_str_mv CAPM - MARKOV SWITCHING AND KALMAN FILTER: AN APPLICATION TO B3’S SUSTAINABILITY AND GOVERNANCE INDUSTRY INDICES
CAPM - MARKOV SWITCHING E KALMAN FILTER: UMA APLICAÇÃO AOS ÍNDICES SETORIAIS DE SUSTENTABILIDADE E GOVERNANÇA DA B3
title CAPM - MARKOV SWITCHING AND KALMAN FILTER: AN APPLICATION TO B3’S SUSTAINABILITY AND GOVERNANCE INDUSTRY INDICES
spellingShingle CAPM - MARKOV SWITCHING AND KALMAN FILTER: AN APPLICATION TO B3’S SUSTAINABILITY AND GOVERNANCE INDUSTRY INDICES
Tavares, Ricardo de Souza
CAPM
Ibovespa
Markov Switching
Filtro de Kalman
G10
G11
G12
CAPM
Ibovespa
Markov switching
Kalman filter
G10
G11
G12
title_short CAPM - MARKOV SWITCHING AND KALMAN FILTER: AN APPLICATION TO B3’S SUSTAINABILITY AND GOVERNANCE INDUSTRY INDICES
title_full CAPM - MARKOV SWITCHING AND KALMAN FILTER: AN APPLICATION TO B3’S SUSTAINABILITY AND GOVERNANCE INDUSTRY INDICES
title_fullStr CAPM - MARKOV SWITCHING AND KALMAN FILTER: AN APPLICATION TO B3’S SUSTAINABILITY AND GOVERNANCE INDUSTRY INDICES
title_full_unstemmed CAPM - MARKOV SWITCHING AND KALMAN FILTER: AN APPLICATION TO B3’S SUSTAINABILITY AND GOVERNANCE INDUSTRY INDICES
title_sort CAPM - MARKOV SWITCHING AND KALMAN FILTER: AN APPLICATION TO B3’S SUSTAINABILITY AND GOVERNANCE INDUSTRY INDICES
author Tavares, Ricardo de Souza
author_facet Tavares, Ricardo de Souza
Caldeira, João Frois
author_role author
author2 Caldeira, João Frois
author2_role author
dc.contributor.author.fl_str_mv Tavares, Ricardo de Souza
Caldeira, João Frois
dc.subject.por.fl_str_mv CAPM
Ibovespa
Markov Switching
Filtro de Kalman
G10
G11
G12
CAPM
Ibovespa
Markov switching
Kalman filter
G10
G11
G12
topic CAPM
Ibovespa
Markov Switching
Filtro de Kalman
G10
G11
G12
CAPM
Ibovespa
Markov switching
Kalman filter
G10
G11
G12
description This paper seeks to understand the behavior of the sectoral, governanceand sustainability indices of the Brazilian stock exchange. For this, a traditional methodology was used with the CAPM models in their versions: static, with regime change(Markov Switching) and with betas varying at each point of time (Kalman Filter andSmoother). The application of this methodology brought evidence that eight of thenine indexes analyzed present structural change (alternating between two regimes). Inaddition, it was noted that betas are unstable over time, ie there is a nonlinear relationship between risk and return. Overall, the results found indicate that the systemic risk(beta) of the analyzed indices varies over time and depends on regimens. Finally, thisanalysis allows the manager or investor to have access to a set of information relevant to his decision making regarding investments in sectors or a set of companies with goodpractices, which make up the Brazilian stock exchange.
publishDate 2021
dc.date.none.fl_str_mv 2021-09-29
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/87158
10.22456/2176-5456.87158
url https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/87158
identifier_str_mv 10.22456/2176-5456.87158
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/87158/66228
dc.rights.driver.fl_str_mv Copyright (c) 2021 Análise Econômica
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2021 Análise Econômica
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv UFRGS
publisher.none.fl_str_mv UFRGS
dc.source.none.fl_str_mv Análise Econômica; Vol. 39 No. 80 (2021): Setembro/2021
Análise Econômica; v. 39 n. 80 (2021): Setembro/2021
2176-5456
0102-9924
reponame:Análise Econômica (Online)
instname:Universidade Federal do Rio Grande do Sul (UFRGS)
instacron:UFRGS
instname_str Universidade Federal do Rio Grande do Sul (UFRGS)
instacron_str UFRGS
institution UFRGS
reponame_str Análise Econômica (Online)
collection Análise Econômica (Online)
repository.name.fl_str_mv Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)
repository.mail.fl_str_mv ||rae@ufrgs.br
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