ELIAS, K. P. Q.; Elias, Kaio Pereira Quirino.
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.