Fatores comuns de mercado, tamanho, valor e diferenciais de juros nos retornos das ações do mercado brasileiro / Common factors of market, value, size and interest differential in stock returns in Brazilian market

AUTOR(ES)

Vivian Yumi Yoshimoto Murakoshi

DATA DE PUBLICAÇÃO

2007

RESUMO

This article tests the existence of systematic influences on Brazilian stock returns from July 1996 to December 2005. It is found that the inclusion of factors related to market, value, size, credit and maturity spreads provides better explanation capacity of the stock returns variability than the CAPM. The premium related to market, to value and to innovation in credit risk and maturity spreads were not null and may suggest the use of a multi-factor asset pricing model in Brazil

ASSUNTO(S)

mercado acionário brasileiro prêmio de risco modelos de apreçamento de ativos brazilian stock market asset pricing models economia risk premium

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