Revisitando o modelo de apreÃamento de ativos A La Carhart para o mercado acionÃrio brasileiro / Revisiting the model to the satisfaction of assets Carhart For the stock market 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.


modelo de fatores stock market capital asset pricing model mercado acionÃrio factor model ciencias sociais aplicadas capital asset pricing model

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