A adição do Fator de Risco Momento ao Modelo de Precificação de Ativos dos Três Fatores de Fama & French aplicado ao mercado acionário brasileiro

ABSTRACTThe objective of this article is to investigate the validity of the Four Factor Asset Pricing Model for the Brazilian stock market. This model is defined by the addition of the Moment Risk Factor to the Three Factor Model of Fama and French. Therefore the four factors are: the Market, as indicated by the Capital Asset Pricing Model (CAPM); the Size of the Enterprise, defined by the market value of the net equity; the Book-to-Market Index or B/M, defined by the relation between the book value and market value; and the Moment, that is defined by the accumulated performance of the returns of the stocks. This methodology was the same as adopted by Fama and French (1993). Shares listed on the Sao Paulo Stock Exchange-BOVESPA in the period 1995 to 2006 were used. The significance of each factor was tested using the statistic t of Student. The validity of the model was tested by analysis of the coefficients of determination, R2, of the temporal regressions. Results verified showed evidences that the Four Factor Model is valid for the Brazilian stock market and that it is superior to the Three Factor Model as well as the CAPM to explain the variations of stock returns of the sample. The relevance of each risk factor varied in accordance with the characteristics of the portfolios