Brazilian equity risk premium analysis: a macroeconomic approach

Detalhes bibliográficos
Autor(a) principal: Abe, Bruno Jordan Orfei
Data de Publicação: 2015
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Texto Completo: http://hdl.handle.net/10362/15112
Resumo: Double Degree Masters in Economics Program from Insper and NOVA School of Business and Economics
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spelling Brazilian equity risk premium analysis: a macroeconomic approachExcess returnsExpected returnsConsumptionWealthCointegrationDouble Degree Masters in Economics Program from Insper and NOVA School of Business and EconomicsThis research studies the role of fluctuations in the aggregate consumption-wealth ratio proposed by Lettau and Ludvigson (2001) as a predictor of stock returns in the Brazilian economy. Using quarterly data, evidence for predictability of asset growth was found with an ̅2 of over 45% and a highly significant coefficient as expected, in contrast to absence of statistical evidence for predictability of stock returns or excess returns. Regressions containing those fluctuations also resulted in worse ̅2. For the data used, dividend yield was not capable of showing predictive power also. The predictability of the returns on the Brazilian economy is not rejected but data fails to show the expected results. Finding macroeconomic data that represent the same agent was a big obstacle. After testing many different datasets and different model specifications, data still failed to show any explanatory power over returns or excess returns.NSBE - UNLSilva, André CastroBrito, RicardoRUNAbe, Bruno Jordan Orfei2015-06-09T11:22:51Z2015-012015-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/15112TID:201475065enginfo:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2024-05-22T17:18:48Zoai:run.unl.pt:10362/15112Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T16:49:43.720611Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv Brazilian equity risk premium analysis: a macroeconomic approach
title Brazilian equity risk premium analysis: a macroeconomic approach
spellingShingle Brazilian equity risk premium analysis: a macroeconomic approach
Abe, Bruno Jordan Orfei
Excess returns
Expected returns
Consumption
Wealth
Cointegration
title_short Brazilian equity risk premium analysis: a macroeconomic approach
title_full Brazilian equity risk premium analysis: a macroeconomic approach
title_fullStr Brazilian equity risk premium analysis: a macroeconomic approach
title_full_unstemmed Brazilian equity risk premium analysis: a macroeconomic approach
title_sort Brazilian equity risk premium analysis: a macroeconomic approach
author Abe, Bruno Jordan Orfei
author_facet Abe, Bruno Jordan Orfei
author_role author
dc.contributor.none.fl_str_mv Silva, André Castro
Brito, Ricardo
RUN
dc.contributor.author.fl_str_mv Abe, Bruno Jordan Orfei
dc.subject.por.fl_str_mv Excess returns
Expected returns
Consumption
Wealth
Cointegration
topic Excess returns
Expected returns
Consumption
Wealth
Cointegration
description Double Degree Masters in Economics Program from Insper and NOVA School of Business and Economics
publishDate 2015
dc.date.none.fl_str_mv 2015-06-09T11:22:51Z
2015-01
2015-01-01T00:00:00Z
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/10362/15112
TID:201475065
url http://hdl.handle.net/10362/15112
identifier_str_mv TID:201475065
dc.language.iso.fl_str_mv eng
language eng
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.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
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reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
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repository.mail.fl_str_mv info@rcaap.pt
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