Banca de DEFESA: Cláudia Faria Maciel

Uma banca de DEFESA de MESTRADO foi cadastrada pelo programa.
DISCENTE : Cláudia Faria Maciel
DATA : 26/06/2019
HORA: 13:30
LOCAL: Sala 401, prédio 17, 4º andar, Campus II, Av. Amazonas, 7675, Belo Horizonte – MG
TÍTULO:

Performance of Factor Models in Explaining Asset-Pricing Anomalies in the Brazilian Capital Market

PALAVRAS-CHAVES:

Asset pricing; Carhart; Fama and French; Risk Factors; Market Anomalies

PÁGINAS: 85
GRANDE ÁREA: Ciências Sociais Aplicadas
ÁREA: Administração
RESUMO:

In the mid-1980s, several studies provided evidence of abnormal behavior in the return of financial assets, indicating that there were risk premiums associated with different factors in the market. Such anomalies generated results that were contrary to the basic assumptions of the Capital Asset Pricing Model (CAPM) and were not explained by the model. The relevance of these factors led different models of asset pricing to emerge in the literature, seeking to improve the explanatory power of returns. This discussion became even more intense from the seminal studies of Fama and French (1993) and Carhart (1997), which presented new factorial models based on fundamentalist indicators, which incorporated variables based on the most debated anomalies in the financial literature. Considering these discussions, this dissertation proposed to verify, through empirical tests, which of the three factors of Fama and French (1993), the four factors of Carhart (1997) and the five factors of Fama and French ( 2015), presents better performance in explaining the size, book-to-market, momentum, profitability and investment in the Brazilian stock market. This study aims to add new contributions on the pricing of assets and on models that explain the process that generates stock returns, helping to make financial decisions in situations of risk. In order to test the models, we used a predictive test methodology, which applies two-step regressions – time-series and cross-section, developed by Fama and MacBeth (1973). In the models tested, the market, size, book-to-market, momentum, profitability and investment factors were used as independent variables; and the dependent variables were the excess return of the portfolios in relation to the risk-free interest rate. The results observed for the first step regressions and for the Gibbons, Ross and Shanken (1989) test showed that the five-factor model of Fama and French (2015) presented better performance in explaining the average returns compared to other models. The model that presented the worst performance for this stage was the three-factor of Fama and French (1993). When cross-section regressions were estimated, it was possible to verify that, although the five-factor model presented greater predictive power, none of the models was able to explain the variations of the returns of the formed portfolios.

MEMBROS DA BANCA:
Externa à Instituição - CAROLINA MAGDA DA SILVA ROMA - FURG
Presidente - LAISE FERRAZ CORREIA
Interna - LUCELIA VIVIANE VAZ RAAD
Externo ao Programa - SILVIO ALVES DE SOUZA