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Pricing uncertainty in the Brazilian stock market: do size and sustainability matter?

Author

Listed:
  • Cristiane Gea

    (Universidade Federal Fluminense (UFF))

  • Marcelo Cabus Klotzle

    (Pontifical Catholic University of Rio de Janeiro)

  • Luciano Vereda

    (Universidade Federal Fluminense (UFF))

  • Antonio Carlos Figueiredo Pinto

    (Pontifical Catholic University of Rio de Janeiro)

Abstract

This article analyzes the pricing of innovations in the Brazilian stock market during periods of economic uncertainty. Cross-sectional data were analyzed using the generalized method of moments technique, and our findings indicate that during such periods, innovations negatively impact excess stock returns. Furthermore, our findings suggest that innovations during economic uncertainty improve the pricing of financial assets, making them a significant risk factor. These results are corroborated by those for the Corporate Sustainability Index and the Small Caps Index in the robustness analysis.

Suggested Citation

  • Cristiane Gea & Marcelo Cabus Klotzle & Luciano Vereda & Antonio Carlos Figueiredo Pinto, 2023. "Pricing uncertainty in the Brazilian stock market: do size and sustainability matter?," SN Business & Economics, Springer, vol. 3(1), pages 1-37, January.
    • Handle: RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00400-5
    DOI: 10.1007/s43546-022-00400-5
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    More about this item

    Keywords

    Economic policy uncertainty; Policy uncertainty; Stock market; Finance; CCAPM; Asset pricing;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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