Revisitando o modelo de apreçamento de ativos a la carhart para o mercado acionário brasileiro

• Main Author: Melo Neto, Antonio Ribeiro de
• Publication Date: 2008
• Format: Master thesis
• Language: por
• Source: Repositório Institucional da Universidade Federal do Ceará (UFC)
• dARK ID: ark:/83112/0013000027b9r
• Download full: http://www.repositorio.ufc.br/handle/riufc/6592
• topic: Mercado Acionário Brasileiro

This paper revisit the Asset Pricing Theory developed by Fama and French (1993) and Carhart (1997) to the Brazilian stock market, analyzing this market explanation power of the most traditional and relevant asset pricing models, the Capital Asset Pricing Model and the factor models which capture the size, book-to-market and momentum effects. The methodology used to factor selection and portfolio composition is exactly the same one developed in the original versions. As a natural extension, four new portfolios to be priced are constructed, based on book and market values effects separately. The results corroborate qualitatively and quantitatively the original results for American stock market, working as an evidence of the models explanation power, including the case where these new portfolios are priced.