ETDs @PUC-Rio
| Título: | A STUDY OF PRICING ANOMALIES IN THE BRAZILIAN STOCK MARKET USING THE FOUR-FACTOR PRICING MODEL | |||||||
| Autor: |
HEITOR DE SOUZA LIMA JUNIOR |
|||||||
| Colaborador(es): |
TARA KESHAR NANDA BAIDYA - Orientador |
|||||||
| Catalogação: | 13/NOV/2003 | Língua(s): | PORTUGUESE - BRAZIL |
|||||
| Tipo: | TEXT | Subtipo: | THESIS | |||||
| Notas: |
[pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio. [en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio. |
|||||||
| Referência(s): |
[pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=4121&idi=1 [en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=4121&idi=2 |
|||||||
| DOI: | https://doi.org/10.17771/PUCRio.acad.4121 | |||||||
| Resumo: | ||||||||
|
The initial aim of the present study is to characterize the
existence of the traditional CAPM pricing anomalies (Size,
Value and Momentum effects) for the Brazilian stock market
for the period from June, 1994 to December, 2001. Evidences
obtained show the occurrence of Size effect accompanied by
the existence of a strong market-risk premium (Rm-Rf)
explanatory power. Subsequently, asset pricing tests are
carried out using the time-series regression framework,
through SUR (Seemingly Unrelated Regressions) methodology
and Gibbons, Ross e Shanken (1989) test. The results
demonstrate the Fama and French three-factor pricing model
superiority both when compared to the CAPM and to the four-
factor pricing model.
|
||||||||