Mercado acionário brasileiro e modelos de precificação de ativos: um estudo das anomalias das Empresas listadas na BM&FBOVESPA.

Abstract

This article aimed to investigate the variability of stock returns in the Brazilian stock market, taking into account two asset pricing models: CAPM and Fama and French Three Factor Model. For that, we used the same methodology used by Fama and French (1993). The sample consisted of shares listed on the BM & FBOVESPA, in the period from 2008 to 2015 (July / 2008 to July / 2016), having as a reference the research carried out by Machado (2009). The analysis of the explanatory power of the models was tested by means of the adjusted coefficient of determination (adjusted R2) of the temporal regressions. The results found point to a superiority in the explanatory power of the Model of three factors in relation to the CAPM. The addition of the Size factor (SMB) and the Book-to-Market index (HML) brought an increase in the explanatory capacity of variations in stock returns. The existence of a value anomaly called the Size effect was also proven, however the same was not found for the anomaly called the Value effect.