Publication
Comparative analysis of actual and estimated returns of stock of Brazilian companies
| Summary: | This paper aims to verify if values estimated with the models proposed by authors Sharpe and Fama and French are efficient to guide investors. To achieve the proposed objective, a comparative analysis of the realized and estimated stock returns of 60 Brazilian companies from 2000 to 2018 was performed, by calculating the variations between the actual and estimated returns and identifying whether the realized returns are close to calculated. As these models are used as a decision support tool in variable income investments, the work is relevant, since the studies carried out tend to demonstrate whether such models are efficient for pricing stock returns and assisting the investor in decision making. In addition, the article aims to fill the research gap on the efficiency of asset pricing models in the Brazilian stock market, encompassing both a larger number of stocks to be analyzed and a broader research period, which adds several scenarios. (expansion, stagnation, economic crises and recession). The results obtained from the comparative analysis of the real and estimated returns using the Sharpe asset pricing models and the three and five factor models proposed by Fame and French indicate that only a small percentage of the calculated returns occurred according to the returns made in the. period of analysis, which shows that such models should be used with other decision support tools in variable income investments. |
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| Main Authors: | Machado, Kascilene Gonçalves |
| Subject: | Modelo de precificação de ativos Modelo 3-Fatores de Fama e French Modelo 5-Fatores de Fama e French risco-brasil ações. |
| Year: | 2020 |
| Country: | Brazil |
| Document type: | article |
| Access type: | unknown |
| Associated institution: | IBICT |
| Language: | Portuguese |
| Origin: | Oasisbr |
| Summary: | This paper aims to verify if values estimated with the models proposed by authors Sharpe and Fama and French are efficient to guide investors. To achieve the proposed objective, a comparative analysis of the realized and estimated stock returns of 60 Brazilian companies from 2000 to 2018 was performed, by calculating the variations between the actual and estimated returns and identifying whether the realized returns are close to calculated. As these models are used as a decision support tool in variable income investments, the work is relevant, since the studies carried out tend to demonstrate whether such models are efficient for pricing stock returns and assisting the investor in decision making. In addition, the article aims to fill the research gap on the efficiency of asset pricing models in the Brazilian stock market, encompassing both a larger number of stocks to be analyzed and a broader research period, which adds several scenarios. (expansion, stagnation, economic crises and recession). The results obtained from the comparative analysis of the real and estimated returns using the Sharpe asset pricing models and the three and five factor models proposed by Fame and French indicate that only a small percentage of the calculated returns occurred according to the returns made in the. period of analysis, which shows that such models should be used with other decision support tools in variable income investments. |
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Funded activities
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