| Título: |
USE OF MULTI-FATORIAL MODEL OF BARRA TO FORECAST STOCK RETURNS
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| Instituição: |
PONTIFÃCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO - PUC-RIO
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| Autor(es): |
FREDERICO FERREIRA SARMENTO
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| Colaborador(es): |
TARA KESHAR NANDA BAIDYA - Orientador
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| Data da catalogação: |
25 11:10:20.000000/07/2002 |
| Tipo: |
THESIS
|
Idioma(s): |
PORTUGUESE - BRAZIL
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| Referência [pt]: |
https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/DEI/serieConsulta.php?strSecao=resultado&nrSeq=2770@1 |
| Referência [en]: |
https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/DEI/serieConsulta.php?strSecao=resultado&nrSeq=2770@2 |
| Referência DOI: |
https://doi.org/10.17771/PUCRio.acad.2770
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Resumo:
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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.
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