Uma análise dos fatores de risco das ações no Brasil entre 2001 e 2022
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2022
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Nunes, Clemens V. de Azevedo
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Fama and French (1992) compared the CAPM and identified that company size and value variables correlated with the expectation of excess return and risk. Along these lines, some international authors have created empirical models to quantify systematic risk other than the CAPM. In this way, Costa Jr. and Neves (2000) and Murakoshi and Brito (2009) found evidence of international findings in the Brazilian market. With this in mind, and assuming Brazil as a country with a possible influence of illiquidity on the returns of the stocks of smaller companies (MURAKOSHI; BRITO, 2009), trying to test for the database from 2001 to 2022 the effects of size, relation book value over market value, long-term interest differential, rates on loans to legal entities and illiquidity, in explaining the expectations of return on Brazilian stocks. Using a methodology similar to Murakoshi and Brito (2009), and estimating using SUR (ZELLNER, 1962), an improvement in explanatory power was noticed when adding size and value premium in the model. In addition, size premiums had mostly significant estimated coefficients, a result that differs from Murakoshi and Brito (2009). Also, analyzing the Covid-19 shock in 2020 stocks returns, capturing a measured systematic risk magnitude reduction, and an alpha capture of this negative return. The impact was greater in smaller companies and lower book valueto-price ratio.