AÃÃes e fundos de investimentos em aÃÃes: Fatores de Riscos Comuns? / Investment fund actions and in action: Factors of Common Risks?
AUTOR(ES)
Josà Alan Teixeira da Rocha
DATA DE PUBLICAÇÃO
2008
RESUMO
In this article, was analyzed the capacity of valuation and forecast on the main stock investment funds in the Brazilian market, using the Capital Asset Pricing Model (CAPM), the Fama e French (1993) factor model and the Carhart (1997) four-factor model. According to the results, we have a better performance of the CAPM vis-Ã-vis the factor models, even for the investment funds that over perform the market. This result can be seen as an evidence of the necessity to develop a factor model a la Fama and French, but specific for investment funds.
ASSUNTO(S)
finanÃas modelo capm stocks investment funds fama &french factor model fundos de investimento em aÃÃes modelo de trÃs fatores de fama e french, modelo de quatro fatores de carhart asset pricing models carhart four-factor model economia modelos de apreÃamento de ativos finance capm
ACESSO AO ARTIGO
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