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Dissecting Anomalies with the Five-factor Model for the Brazilian Stock Market
Brazilian Review of Finance
View Archive Info| Field | Value | |
| Title |
Dissecting Anomalies with the Five-factor Model for the Brazilian Stock Market
Dissecando Anomalias com o Modelo de Cinco Fatores para Mercado Acionário Brasileiro |
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| Creator |
Garcia, Alexandre Schwinden; Economics Dept., Federal University of Santa Catarina, Florianópolis, SC, Brazil
Santos, André Alves Portela; Economics Dept., Federal University of Santa Catarina, Florianópolis, SC, Brazil |
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| Subject |
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Anomalies, Factor pricing models, Risk factors. — Financial Economics Anomalias; Fatores de risco; Modelos fatoriais de apreçamento. G120; G110 |
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| Description |
This article estimates for the Brazilian market the multifactor pricing model proposed by Fama and French (2015, 2016) and provides a detail of five anomalies: beta, net share issues, momentum, volatility and accruals. The results indicate that the inclusion of the profitability factor proposed in Fama and French (2015) plays a crucial role in reducing the magnitude of the intercepts and of the GRS statistic for all size-anomaly sorted portfolios considered in the article. Consistent with international evidence, the results indicate, among other things, that (i) companies that repurchase shares have higher returns and are more conservative in terms of investment, (ii) firms with lower volatility have higher returns, and are less sensitive to the market returns, (iii) small firms are more aggressive in terms of investment and less profitable, (iv) high beta was associated with higher returns only among small firms and (v) average returns of companies with high accruals is higher in comparison to those of companies with low accruals.
Este artigo estima para o mercado brasileiro o modelo multifatorial proposto por Fama e French (2015, 2016) e provê um detalhamento de cinco anomalias: beta, emissão líquida de ações, momento, volatilidade e accruals. Os resultados apontam que a inclusão do fator rentabilidade proposto no modelo de Fama e French (2015) tem papel crucial na redução da magnitude dos interceptos médios e da estatística GRS para todos os portfólios tamanho-anomalia considerados no artigo. Consistente com a evidência internacional, os resultados indicam, dentre outras coisas, que (i) empresas que recompram ações apresentam maiores retornos e são mais conservadoras em termos de investimento, (ii) firmas com menor volatilidade apresentaram maiores retornos, são menos sensíveis aos retornos do mercado e tem carga positiva no fator tamanho, (iii) firmas menores são mais agressivas em termos de investimento e menos rentáveis, (iv) alto beta esteve associado a maiores retornos somente entre firmas menores e (v) retornos médios de empresas com altos accruals superaram retornos médios de empresas com baixos accruals. |
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| Publisher |
Link to the Brazilian Society of Finance
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| Contributor |
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| Date |
2018-06-30
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Double blind reviewed articles — Avaliado por Pares Empirical |
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| Format |
application/pdf
application/pdf |
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/74602
10.12660/rbfin.v16n1.2018.74602 |
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| Source |
Brazilian Review of Finance; Vol 16, No 1 (2018): January-March; 81-122
Revista Brasileira de Finanças; Vol 16, No 1 (2018): January-March; 81-122 1984-5146 1679-0731 |
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| Language |
por
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/74602/72495
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/74602/72497 |
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| Rights |
Copyright (c) 2018 Brazilian Review of Finance
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