UTILIZATION OF A FOUR-FACTOR AS A SUPPLEMENTARY TOOL FOR THE ADMINISTRATION OF PORTIFOLIOS OF IBRX STOCKS / ANÁLISE DA UTILIZAÇÃO DE UM MODELO DE QUATRO FATORES COMO FERRAMENTA AUXILIAR PARA GESTÃO DE CARTEIRAS BASEADAS NO IBRX

AUTOR(ES)
DATA DE PUBLICAÇÃO

2008

RESUMO

The IBrX is an index that evaluates the return of a theoretical portfolio composed of one a hundred stocks selected as the most trader as the São Paulo Stock Exchange. This research has made use of stocks that composed the IBrX index during the period between May of 2002 until December 2007 as its database, examining the influence of beta, market value, price/earnings ratio and book to market ratio, on Brazilian market performance, comparing the results obtained with other research done in Brazil. In investigating the influence of beta, this study aimed to verify if the premises made by CAPM( Capital Asset Pricing Model) should be considered valid in the model here proposed. The estimation techniques used in this study to estimate the degree of influence of variables were SUR (Seemingly Unrelated Regression) and TSCS (Time Series Cross-Sectional Analysis). The results point out the price/earnings ratio and market value variables, as being significant. However, the book value/market value index was the variable that presented the strongest stability, being significant in all models proposed. In relation to CAPM (Capital Asset Pricing Model) the study point out that all analyzed variables have presented in some extent a degree of influence in cross-section variations of average stock returns, signalizing that in addition to beta, other factors are associated with stock performance.

ASSUNTO(S)

ibrx valor de mercado market value capm ibrx capm

ACESSO AO ARTIGO

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