IDEAS home Printed from https://ideas.repec.org/a/bbz/fcpbbr/v8y2011i4p67-88.html
   My bibliography  Save this article

Analysis of the use of a four-factor model as a tool to help manage portfolios based on the IBrX

Author

Listed:
  • Luiz Eduardo Carvalho Terra de Faria

    (Pontifícia Universidade Católica do Rio de Janeiro (PUC-RIO))

  • Walter Lee Ness Jr.

    (Pontifícia Universidade Católica do Rio de Janeiro (PUC-RIO))

  • Marcelo Cabus Klotzle

    (Pontifícia Universidade Católica do Rio de Janeiro (PUC-RIO))

  • Antonio Carlos Figueiredo Pinto

    (Pontifícia Universidade Católica do Rio de Janeiro (PUC-RIO))

Abstract

Using the price series of the assets that compose the IBrX in the period from May 2002 to December 2007, this article examines the influence of the variables beta, market value, price-earnings ratio and book-to-market ratio on the behavior of the Brazilian stock market, comparing the results with those of other studies carried out in Brazil. On investigating the influence of beta, we sought to verify if the premises of the CAPM are valid in the model proposed. We used the SUR and TSCS techniques to estimate the influence of the variables. The results indicate the significance of price-earnings and market value, but the book-to-market ratio presented the greatest stability and was significant in all the proposed models. In relation to the CAPM, the study shows that all the variables analyzed had some degree of influence on the cross-sectional variations of the average stock returns, indicating that other factors besides beta can be associated with the behavior of the assets.

Suggested Citation

  • Luiz Eduardo Carvalho Terra de Faria & Walter Lee Ness Jr. & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto, 2011. "Analysis of the use of a four-factor model as a tool to help manage portfolios based on the IBrX," Brazilian Business Review, Fucape Business School, vol. 8(4), pages 67-88, October.
    • Handle: RePEc:bbz:fcpbbr:v:8:y:2011:i:4:p:67-88
    as

    Download full text from publisher

    File URL: http://bbronline.com.br/index.php/bbr/article/download/288/437
    File Function: Full text
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bbz:fcpbbr:v:8:y:2011:i:4:p:67-88. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Lasso (email available below). General contact details of provider: https://edirc.repec.org/data/fucapbr.html .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.