Analysis of multi-scale systemic risk in Brazil's financial market
Autor(a) principal: | |
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Data de Publicação: | 2014 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Revista de Administração (São Paulo) |
Texto Completo: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0080-21072014000200003 |
Resumo: | This work analyzes whether the relationship between risk and returns predicted by the Capital Asset Pricing Model (CAPM) is valid in the Brazilian stock market. The analysis is based on discrete wavelet decomposition on different time scales. This technique allows to analyze the relationship between different time horizons, since the short-term ones (2 to 4 days) up to the long-term ones (64 to 128 days). The results indicate that there is a negative or null relationship between systemic risk and returns for Brazil from 2004 to 2007. As the average excess return of a market portfolio in relation to a risk-free asset during that period was positive, it would be expected this relationship to be positive. That is, higher systematic risk should result in higher excess returns, which did not occur. Therefore, during that period, appropriate compensation for systemic risk was not observed in the Brazilian market. The scales that proved to be most significant to the risk-return relation were the first three, which corresponded to short-term time horizons. When treating differently, year-by-year, and consequently separating positive and negative premiums, some relevance is found, during some years, in the risk/return relation predicted by the CAPM. However, this pattern did not persist throughout the years. Therefore, there is not any evidence strong enough confirming that the asset pricing follows the model. |
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Revista de Administração (São Paulo) |
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Analysis of multi-scale systemic risk in Brazil's financial marketstock pricingrisk-return ratioCAPMwaveletsBrazilian stockThis work analyzes whether the relationship between risk and returns predicted by the Capital Asset Pricing Model (CAPM) is valid in the Brazilian stock market. The analysis is based on discrete wavelet decomposition on different time scales. This technique allows to analyze the relationship between different time horizons, since the short-term ones (2 to 4 days) up to the long-term ones (64 to 128 days). The results indicate that there is a negative or null relationship between systemic risk and returns for Brazil from 2004 to 2007. As the average excess return of a market portfolio in relation to a risk-free asset during that period was positive, it would be expected this relationship to be positive. That is, higher systematic risk should result in higher excess returns, which did not occur. Therefore, during that period, appropriate compensation for systemic risk was not observed in the Brazilian market. The scales that proved to be most significant to the risk-return relation were the first three, which corresponded to short-term time horizons. When treating differently, year-by-year, and consequently separating positive and negative premiums, some relevance is found, during some years, in the risk/return relation predicted by the CAPM. However, this pattern did not persist throughout the years. Therefore, there is not any evidence strong enough confirming that the asset pricing follows the model.Departamento de Administração da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo2014-06-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0080-21072014000200003Revista de Administração (São Paulo) v.49 n.2 2014reponame:Revista de Administração (São Paulo)instname:Universidade de São Paulo (USP)instacron:USP10.5700/rausp1143info:eu-repo/semantics/openAccessBortoluzzo,Adriana BruscatoMinardi,Andrea Maria Accioly FonsecaPassos,Bruno Caio Fernandoeng2014-07-31T00:00:00Zoai:scielo:S0080-21072014000200003Revistahttp://rausp.usp.br/PUBhttps://old.scielo.br/oai/scielo-oai.phprausp@usp.br||reinhard@usp.br1984-61420080-2107opendoar:2014-07-31T00:00Revista de Administração (São Paulo) - Universidade de São Paulo (USP)false |
dc.title.none.fl_str_mv |
Analysis of multi-scale systemic risk in Brazil's financial market |
title |
Analysis of multi-scale systemic risk in Brazil's financial market |
spellingShingle |
Analysis of multi-scale systemic risk in Brazil's financial market Bortoluzzo,Adriana Bruscato stock pricing risk-return ratio CAPM wavelets Brazilian stock |
title_short |
Analysis of multi-scale systemic risk in Brazil's financial market |
title_full |
Analysis of multi-scale systemic risk in Brazil's financial market |
title_fullStr |
Analysis of multi-scale systemic risk in Brazil's financial market |
title_full_unstemmed |
Analysis of multi-scale systemic risk in Brazil's financial market |
title_sort |
Analysis of multi-scale systemic risk in Brazil's financial market |
author |
Bortoluzzo,Adriana Bruscato |
author_facet |
Bortoluzzo,Adriana Bruscato Minardi,Andrea Maria Accioly Fonseca Passos,Bruno Caio Fernando |
author_role |
author |
author2 |
Minardi,Andrea Maria Accioly Fonseca Passos,Bruno Caio Fernando |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Bortoluzzo,Adriana Bruscato Minardi,Andrea Maria Accioly Fonseca Passos,Bruno Caio Fernando |
dc.subject.por.fl_str_mv |
stock pricing risk-return ratio CAPM wavelets Brazilian stock |
topic |
stock pricing risk-return ratio CAPM wavelets Brazilian stock |
description |
This work analyzes whether the relationship between risk and returns predicted by the Capital Asset Pricing Model (CAPM) is valid in the Brazilian stock market. The analysis is based on discrete wavelet decomposition on different time scales. This technique allows to analyze the relationship between different time horizons, since the short-term ones (2 to 4 days) up to the long-term ones (64 to 128 days). The results indicate that there is a negative or null relationship between systemic risk and returns for Brazil from 2004 to 2007. As the average excess return of a market portfolio in relation to a risk-free asset during that period was positive, it would be expected this relationship to be positive. That is, higher systematic risk should result in higher excess returns, which did not occur. Therefore, during that period, appropriate compensation for systemic risk was not observed in the Brazilian market. The scales that proved to be most significant to the risk-return relation were the first three, which corresponded to short-term time horizons. When treating differently, year-by-year, and consequently separating positive and negative premiums, some relevance is found, during some years, in the risk/return relation predicted by the CAPM. However, this pattern did not persist throughout the years. Therefore, there is not any evidence strong enough confirming that the asset pricing follows the model. |
publishDate |
2014 |
dc.date.none.fl_str_mv |
2014-06-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0080-21072014000200003 |
url |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0080-21072014000200003 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
10.5700/rausp1143 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
text/html |
dc.publisher.none.fl_str_mv |
Departamento de Administração da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo |
publisher.none.fl_str_mv |
Departamento de Administração da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo |
dc.source.none.fl_str_mv |
Revista de Administração (São Paulo) v.49 n.2 2014 reponame:Revista de Administração (São Paulo) instname:Universidade de São Paulo (USP) instacron:USP |
instname_str |
Universidade de São Paulo (USP) |
instacron_str |
USP |
institution |
USP |
reponame_str |
Revista de Administração (São Paulo) |
collection |
Revista de Administração (São Paulo) |
repository.name.fl_str_mv |
Revista de Administração (São Paulo) - Universidade de São Paulo (USP) |
repository.mail.fl_str_mv |
rausp@usp.br||reinhard@usp.br |
_version_ |
1748936716931039232 |