Camp e modelo de precificação de ativos de três fatores de fama e french (1993): um estudo das empresas Brasileiras listadas na b3 no período pré estabilidade econômica.

Abstract

This monograph deals with the study of the three-factor asset pricing model of Fama and French (1993) and its explanatory power in the Brazilian stock market. This research aims to investigate the asset pricing model of Three Factors of Fama and French (1993), to investigate its behavior in the Brazilian stock market in pre-economic stability, ie, before the real plan. To do this, it was necessary to confront this model, with Sharpe's CAPM (1970), which is still the most widely used model in the Brazilian stock market. This research had a descriptive, explanatory and quantitative methodological character. The sample of this research consisted of shares listed in B3 (BRAZIL, BOLSA, BALCÃO) from 1987 to 1993, with reference to Emídio and Barbosa (2017) and Machado (2009) articles that studied the model in the Brazilian market after the economic stability, and that also served for comparative analysis between the analyzed timelines. The explanatory power of the models was tested by means of the adjusted coefficient of determination (adjusted R²) of the time regressions. The results showed the preeminence of the Three Fame and French model of CAPM. The complementation of the size effect (SMB) and the Book-to-Market (HML) index increased the explanatory capacity of the variations of stock returns, even in times of economic instability that Brazil was experiencing. In addition, the existence of the size effect was confirmed, but there was no value effect anomaly.