O MODELO DE 3 FATORES DE FAMA E FRENCH AINDA EXPLICA OS RETORNOS NO MERCADO ACIONÁRIO BRASILEIRO?

Authors

  • Ana Cristina Rocha Wardini Rayes Senso Corretora
  • Gustavo Silva Araújo Faculdade IBMEC
  • Claudio Henrique Barbedo Faculdade IBMEC

DOI:

https://doi.org/10.14210/alcance.v19n1.p52-61

Abstract

Fama e French (1993) evidenciaram que os retornos dos ativos norte-americanos podem ser explicados com base nas características das empresas. A literatura sobre o assunto no Brasil corroborava este resultado. O presente trabalho investiga se o modelo de Fama e French ainda explica os retornos dado que houve uma quebra estrutural em termos de liquidez na BMF&BOVESPA. O estudo utilizou tanto ações individuais quanto agrupadas em carteiras. São encontradas evidências de que os fatores SMB (tamanho) e HML (razão entre valor contábil e valor de mercado) não explicam mais os retornos no mercado brasileiro.

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Published

2012-05-18

Issue

Vol. 19 No. 1(Jan-Mar) (2012)

Section

Article

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