UTILIZAÇÃO DO MODELO MULTI-FATORIAL DA CONSULTORIA BARRA NA PREVISÃO DE RETORNO DE AÇÕES / USE OF MULTI-FATORIAL MODEL OF BARRA TO FORECAST STOCK RETURNS
AUTOR(ES)
FREDERICO FERREIRA SARMENTO
DATA DE PUBLICAÇÃO
2000
RESUMO
The main objective of this work is to estimate stocks return forecasts using the BARRA multiple factor model developed for the brazilian market. Three methodologies were applied to estimate the projection of the factors return. The first on is based on a moving average approach and the other two are based on regressions of the factors return against unexpected changes in some macroeconomic variables. These projections were then translated into forecasts for stocks return. Theresults show that the obtained forecasts have useful information to identify relative movement on stock prices.
ASSUNTO(S)
mercado de acoes modelos multi-fatoriais previsao de retorno de acoes actions market multiple factors model stocks return forecast
ACESSO AO ARTIGO
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