Expectativa do retorno da classe de renda variável no Brasil
Data
2015-02-03
Autores
Mori, Enzo
Orientador(res)
Dana, Samy
Métricas
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Resumo
This work seeks to find out which model (CAPM and Grinold and Kroner) is the best to estimate the return of the Bovespa index, ex-ante. The full index was not used, but a simplified version of the index using the top 25 positions of the index over all quarters from 2000 to 2013. This group has represented more than 60% of the index. In the end, it was observed that the CAPM model was able to present the best explanatory power in both the observed and expected return ratio, as the absolute error measures. The only model that Grinold and Kroner had a better outcome was the mean absolute percentage error.