IDEAS home Printed from https://ideas.repec.org/p/aap/wpaper/154.html
   My bibliography  Save this paper

Determinants of the Implied Equity Risk Premium in Brazil

Author

Listed:
  • Antonio Zoratto Sanvicente
  • Mauricio Rocha Alves de Carvalho

Abstract

This paper tests determinants of the equity risk premium (ERP) in Brazil. We use implied ERP, based on the Elton (1999) critique. ERP for Brazil is calculated as a mean of large samples of individual stock prices in each month in the January, 1995 to November, 2010 period. As determinants of changes in the ERP we obtain, as significant, and in the expected direction: changes in the CDI rate; country debt risk spread; equity market volatility; and US market liquidity premium. The influence of the proposed determining factors is tested with the use of time series regression analysis.

Suggested Citation

  • Antonio Zoratto Sanvicente & Mauricio Rocha Alves de Carvalho, 2012. "Determinants of the Implied Equity Risk Premium in Brazil," Business and Economics Working Papers 154, Unidade de Negocios e Economia, Insper.
    • Handle: RePEc:aap:wpaper:154
    as

    Download full text from publisher

    File URL: https://repositorio.insper.edu.br/server/api/core/bitstreams/d6761f95-a5c6-4ddc-af63-1927844fecd4/content?authentication-token=eyJhbGciOiJIUzI1NiJ9.eyJlaWQiOiIwNmRmYmM2MS1iNGQ1LTQ1YzgtYjlmNS1lYTk1ZDQwYTIwNzkiLCJzZyI6W10sImF1dGhlbnRpY2F0aW9uTWV0aG9kIjoicGFzc3dvcmQiLCJleHAiOjE3NDA2MDE0NzV9.bkmzZ6Vkv5K8NsMeHzpYkHXFthSh_rEQrmtDcOZvpwM
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    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:aap:wpaper:154. 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: Biblioteca Telles (email available below). General contact details of provider: https://edirc.repec.org/data/inspebr.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.