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Macroeconomic factors and value and growth strategies: evidence from Brazil

Author

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  • Carrasco Gutierrez, Carlos Enrique
  • Peixoto Messias, Iasmin Emillyn

Abstract

In this work we apply the arbitrage pricing theory (APT) model to study the effects of macroeconomic variables on investment strategies involving value and growth stocks listed on the Brazilian Stock Exchange (B3). To build and order the portfolios, we use four fundamental market indicators that permit identifying value and growth stocks. The macroeconomic variables used are real GDP, exchange rate, unemployment rate, money supply (M1), interest rate and consumer confidence index. The principal results are that growth strategies during the period studied were mainly influenced by unemployment, inflation and exchange while value strategies were preponderantly affected by GDP. In relation to the market risk factor, it was statistically significant for all the value and growth portfolios, and in general the market betas of the values stocks were greater than those of the growth stocks.

Suggested Citation

  • Carrasco Gutierrez, Carlos Enrique & Peixoto Messias, Iasmin Emillyn, 2022. "Macroeconomic factors and value and growth strategies: evidence from Brazil," MPRA Paper 114875, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:114875
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    References listed on IDEAS

    as
    1. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
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    4. Garcia, Rene & Bonomo, Marco, 2001. "Tests of conditional asset pricing models in the Brazilian stock market," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 71-90, February.
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    6. Karthigai Prakasam Chellaswamy & Natchimuthu N & Muhammadriyaj Faniband, 2020. "Stock Market Sensitivity to Macroeconomic Factors: Evidence from China and India," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(2), pages 146-159.
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    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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