Models of expected returns on the brazilian market: Empirical tests using predictive methodology
Autor(a) principal: | |
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Data de Publicação: | 2009 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Revista de Ciências da Administração |
Texto Completo: | https://periodicos.ufsc.br/index.php/adm/article/view/2175-8077.2009v11n23p192 |
Resumo: | Predictive methodologies for test of the expected returns models are largely diffused on the international academic environment. However, these methods have not been used in Brazil in a systematic way. Generally, empirical studies proceeded with Brazilian stock market data are concentrated only in the first step of these methodologies. The purpose of this article was test and compare the models CAPM, 3-factors and 4-factors using a predictive methodology, considering two steps – temporal and cross-section regressions – with standard errors obtained by the techniques of Fama and Macbeth (1973). The results indicated the superiority of the 4-fators model as compared to the 3-fators model, and the superiority of the 3- factors model as compared to the CAPM, but no one of the tested models were enough on the explanation of the Brazilian stock returns. Contrary to some empirical evidences, that do not use predictive methodology, the size and momentum effect seem do not exist on the Brazilian capital markets, but there are evidences of the value effect and the relevance of the market for explanation of expected returns. These finds rise some questions, mainly caused by the originality of the methodology on the local market and by the fact that this subject is still incipient and polemic on the Brazilian academic environment. |
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Models of expected returns on the brazilian market: Empirical tests using predictive methodologyModelos de retornos esperados no mercado brasileiro: testes empíricos utilizando metodologia preditivaPredictive methodologies for test of the expected returns models are largely diffused on the international academic environment. However, these methods have not been used in Brazil in a systematic way. Generally, empirical studies proceeded with Brazilian stock market data are concentrated only in the first step of these methodologies. The purpose of this article was test and compare the models CAPM, 3-factors and 4-factors using a predictive methodology, considering two steps – temporal and cross-section regressions – with standard errors obtained by the techniques of Fama and Macbeth (1973). The results indicated the superiority of the 4-fators model as compared to the 3-fators model, and the superiority of the 3- factors model as compared to the CAPM, but no one of the tested models were enough on the explanation of the Brazilian stock returns. Contrary to some empirical evidences, that do not use predictive methodology, the size and momentum effect seem do not exist on the Brazilian capital markets, but there are evidences of the value effect and the relevance of the market for explanation of expected returns. These finds rise some questions, mainly caused by the originality of the methodology on the local market and by the fact that this subject is still incipient and polemic on the Brazilian academic environment.Metodologias preditivas para teste de modelos de retornos esperados são amplamente difundidas no meio acadêmico internacional, entretanto, não têm sido sistematicamente aplicadas no Brasil. Geralmente, os estudos empíricos procedidos com dados do mercado acionário brasileiro concentram-se apenas na primeira etapa dessas metodologias. O objetivo deste artigo foi testar e comparar os modelos CAPM (Capital Asset Pricing Model), 3-fatores e 4-fatores a partir de uma metodologia de teste preditivo, utilizando duas etapas – regressões em séries temporais e cross-section – com erros-padrão calculados pela técnica de Fama e Macbeth (1973). Apesar dos resultados indicarem a superioridade do modelo 4- fatores em relação ao modelo 3-fatores, e esse em relação ao CAPM, nenhum dos modelos testados foram suficientes na explicação das variações dos retornos das ações do mercado brasileiro. Contrário a algumas evidências empíricas que não utilizam a metodologia preditiva, os efeitos tamanho e momento parecem não estar presentes no mercado de capitais brasileiro, enquanto há indícios da presença do efeito valor e relevância do mercado em explicar retornos esperados. Os achados dessa pesquisa levantaram alguns questionamentos, principalmente, devido à originalidade metodológica no mercado nacional e o tema ser ainda incipiente e polêmico no meio acadêmico brasileiro.Universidade Federal de Santa Catarina2009-01-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://periodicos.ufsc.br/index.php/adm/article/view/2175-8077.2009v11n23p19210.5007/2175-8077.2009v11n23p192Revista de Ciências da Administração; V. 11, n. 23, janeiro/abril de 2009; 192-2162175-80771516-3865reponame:Revista de Ciências da Administraçãoinstname:Universidade Federal de Santa Catarina (UFSC)instacron:UFSCporhttps://periodicos.ufsc.br/index.php/adm/article/view/2175-8077.2009v11n23p192/12643Mussa, AdrianoRogers, PabloSecurato, José Robertoinfo:eu-repo/semantics/openAccess2022-11-21T14:12:52Zoai:periodicos.ufsc.br:article/11348Revistahttp://www.periodicos.ufsc.br/index.php/admPUBhttps://periodicos.ufsc.br/index.php/adm/oairevista@cse.ufsc.br||mfpcris@gmail.com||rca.cse@contato.ufsc.br2175-80771516-3865opendoar:2022-11-21T14:12:52Revista de Ciências da Administração - Universidade Federal de Santa Catarina (UFSC)false |
dc.title.none.fl_str_mv |
Models of expected returns on the brazilian market: Empirical tests using predictive methodology Modelos de retornos esperados no mercado brasileiro: testes empíricos utilizando metodologia preditiva |
title |
Models of expected returns on the brazilian market: Empirical tests using predictive methodology |
spellingShingle |
Models of expected returns on the brazilian market: Empirical tests using predictive methodology Mussa, Adriano |
title_short |
Models of expected returns on the brazilian market: Empirical tests using predictive methodology |
title_full |
Models of expected returns on the brazilian market: Empirical tests using predictive methodology |
title_fullStr |
Models of expected returns on the brazilian market: Empirical tests using predictive methodology |
title_full_unstemmed |
Models of expected returns on the brazilian market: Empirical tests using predictive methodology |
title_sort |
Models of expected returns on the brazilian market: Empirical tests using predictive methodology |
author |
Mussa, Adriano |
author_facet |
Mussa, Adriano Rogers, Pablo Securato, José Roberto |
author_role |
author |
author2 |
Rogers, Pablo Securato, José Roberto |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Mussa, Adriano Rogers, Pablo Securato, José Roberto |
description |
Predictive methodologies for test of the expected returns models are largely diffused on the international academic environment. However, these methods have not been used in Brazil in a systematic way. Generally, empirical studies proceeded with Brazilian stock market data are concentrated only in the first step of these methodologies. The purpose of this article was test and compare the models CAPM, 3-factors and 4-factors using a predictive methodology, considering two steps – temporal and cross-section regressions – with standard errors obtained by the techniques of Fama and Macbeth (1973). The results indicated the superiority of the 4-fators model as compared to the 3-fators model, and the superiority of the 3- factors model as compared to the CAPM, but no one of the tested models were enough on the explanation of the Brazilian stock returns. Contrary to some empirical evidences, that do not use predictive methodology, the size and momentum effect seem do not exist on the Brazilian capital markets, but there are evidences of the value effect and the relevance of the market for explanation of expected returns. These finds rise some questions, mainly caused by the originality of the methodology on the local market and by the fact that this subject is still incipient and polemic on the Brazilian academic environment. |
publishDate |
2009 |
dc.date.none.fl_str_mv |
2009-01-01 |
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://periodicos.ufsc.br/index.php/adm/article/view/2175-8077.2009v11n23p192 10.5007/2175-8077.2009v11n23p192 |
url |
https://periodicos.ufsc.br/index.php/adm/article/view/2175-8077.2009v11n23p192 |
identifier_str_mv |
10.5007/2175-8077.2009v11n23p192 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://periodicos.ufsc.br/index.php/adm/article/view/2175-8077.2009v11n23p192/12643 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade Federal de Santa Catarina |
publisher.none.fl_str_mv |
Universidade Federal de Santa Catarina |
dc.source.none.fl_str_mv |
Revista de Ciências da Administração; V. 11, n. 23, janeiro/abril de 2009; 192-216 2175-8077 1516-3865 reponame:Revista de Ciências da Administração instname:Universidade Federal de Santa Catarina (UFSC) instacron:UFSC |
instname_str |
Universidade Federal de Santa Catarina (UFSC) |
instacron_str |
UFSC |
institution |
UFSC |
reponame_str |
Revista de Ciências da Administração |
collection |
Revista de Ciências da Administração |
repository.name.fl_str_mv |
Revista de Ciências da Administração - Universidade Federal de Santa Catarina (UFSC) |
repository.mail.fl_str_mv |
revista@cse.ufsc.br||mfpcris@gmail.com||rca.cse@contato.ufsc.br |
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1789435141276303360 |