IDEAS home Printed from
MyIDEAS: Login to save this article or follow this journal

Stocks and Mutual Funds: Common Risk Factors?

  • Paulo Rogerio Faustino Matos

    (Federal University of Ceará)

  • José Alan Teixeira da Rocha

    (BNB Northeast Bank)

Registered author(s):

    In this article we analyze the capacity to price and predict the returns of stock mutual funds in the Brazilian market, using the capital asset pricing model (CAPM) and the factor models developed by Fama and French (1993) and Carhart (1997). The first results show an expected outcome: better pricing performance of the CAPM vis-à -vis the other models for mutual funds that track the São Paulo Stock Exchange Index (Ibovespa). The main contribution, however, consists of the evidence that the factor models perform better in pricing and in-sample forecasting of the returns of funds that outperform the market and have higher total assets. This evidence suggests that models should be constructed based on specific factors for investment funds that capture these effects, which is corroborated by the preliminary results in Linhares, Matos and Zech (2009).

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    File Function: Full text
    Download Restriction: no

    Article provided by Fucape Business School in its journal Brazilian Business Review.

    Volume (Year): 6 (2009)
    Issue (Month): 1 (January)
    Pages: 21-41

    in new window

    Handle: RePEc:bbz:fcpbbr:v:6:y:2009:i:1:p:21-41
    Contact details of provider: Postal: Fucape Business School Brazilian Business Review Av. Fernando Ferrari, 1358, Boa Vista CEP 29075-505 Vitória-ES
    Phone: +55 27 4009-4423
    Fax: +55 27 4009-4422
    Web page:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:bbz:fcpbbr:v:6:y:2009:i:1:p:21-41. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sarah Lasso)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.