In this paper, we present empirical evidence to investigate whether the propositions of the model of Frazzini and Pedersen (2014) apply to the Brazilian stock market. Using data from the year 2000 up to the first quarter of 2017, we find that the SML of this Market had a lower slope than that predicted by CAPM. In fact, it turned out to be negative, and this result was observed both in the time-series and in the cross-sectional analyzes. As a methodology to raise this evidence, 10 portfolios were created, organized in ascending order according to their respective betas. We calculated the returns relative to each portfolio and, with them, it was possible to verify that the portfolios with the highest beta performed less excess returns. In ad...
Initially, we test the hypothesis that actively managed funds presents alphas (excess return) when c...
Este trabalho apresenta um estudo sobre a possibilidade de estimação dos betas de mercado a partir d...
This paper will follow Pettengill et al.’s (1995) approach to examine the unconditional and conditio...
The efficient market hypothesis and various models of asset pricing brought the concept of the new r...
Empirical studies have found evidence that the market risk, or market beta, tends to increase in cri...
This paper analyzes the risk-return performance, graphically and quantitatively - measured under va...
From the assumption of efficient markets, the discovery of the meaning of the relations among the as...
This work investigates the ability of the conditional CAPM to explain anomalous returns related to m...
This thesis seeks to explain the driving factors behind the Betting Against Beta (Frazzini and Pede...
This paper seeks to better understand the relation between the beta and some company fundamentals, s...
Este trabalho apresenta os mais variados conceitos e maneiras de mensuração do risco de um ativo no ...
For empirical purposes, value stocks are usually defined as those traded at low price-to-earnings ra...
The beta anomaly, known as high (low) beta stocks always produce low (high) abnormal returns, is one...
This work studies the variables that determine or influence significantly the value of portfolios in...
ABSTRACT The study sought to apply the model developed by Gokhale et al. (2015) to identify the exis...
Initially, we test the hypothesis that actively managed funds presents alphas (excess return) when c...
Este trabalho apresenta um estudo sobre a possibilidade de estimação dos betas de mercado a partir d...
This paper will follow Pettengill et al.’s (1995) approach to examine the unconditional and conditio...
The efficient market hypothesis and various models of asset pricing brought the concept of the new r...
Empirical studies have found evidence that the market risk, or market beta, tends to increase in cri...
This paper analyzes the risk-return performance, graphically and quantitatively - measured under va...
From the assumption of efficient markets, the discovery of the meaning of the relations among the as...
This work investigates the ability of the conditional CAPM to explain anomalous returns related to m...
This thesis seeks to explain the driving factors behind the Betting Against Beta (Frazzini and Pede...
This paper seeks to better understand the relation between the beta and some company fundamentals, s...
Este trabalho apresenta os mais variados conceitos e maneiras de mensuração do risco de um ativo no ...
For empirical purposes, value stocks are usually defined as those traded at low price-to-earnings ra...
The beta anomaly, known as high (low) beta stocks always produce low (high) abnormal returns, is one...
This work studies the variables that determine or influence significantly the value of portfolios in...
ABSTRACT The study sought to apply the model developed by Gokhale et al. (2015) to identify the exis...
Initially, we test the hypothesis that actively managed funds presents alphas (excess return) when c...
Este trabalho apresenta um estudo sobre a possibilidade de estimação dos betas de mercado a partir d...
This paper will follow Pettengill et al.’s (1995) approach to examine the unconditional and conditio...