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Estudo de modelos de apreçamento de ativos de risco antes e depois da crise financeira de 2008 no mercado brasileiro

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  • Adriana Bruscato Bortoluzzo
  • Maria Kelly Venezuela
  • Maurício Mesquita Bortoluzzo
  • Wilson Toshiro Nakamura

Abstract

Este artigo faz um estudo comparativo entre três modelos de apreçamento de ativos de risco, o CAPM de Sharpe-Lintner, o modelo de 3 fatores de Fama e French e o modelo de 4 fatores de Cahart. Apresentamos uma metodologia de alocação dos ativos nas carteiras para mercados emergentes. Diferente de estudos anteriores, o foco da comparação dos modelos está em suas capacidades de previsão. O período foi subdividido para tornar possível a análise dos desempenhos nos períodos da crise financeira de 2008, anterior e posterior à crise. Os resultados apontam para um melhor desempenho dos modelos multifatoriais em todos os períodos. Para o período pós-crise, o modelo de 4 fatores apresenta uma melhora de 36,85% na qualidade de previsão comparado ao modelo de 3 fatores.

Suggested Citation

  • Adriana Bruscato Bortoluzzo & Maria Kelly Venezuela & Maurício Mesquita Bortoluzzo & Wilson Toshiro Nakamura, 2016. "Estudo de modelos de apreçamento de ativos de risco antes e depois da crise financeira de 2008 no mercado brasileiro," Business and Economics Working Papers 231, Unidade de Negocios e Economia, Insper.
    • Handle: RePEc:aap:wpaper:231
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    References listed on IDEAS

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