Utilize este identificador para referenciar este registo: http://hdl.handle.net/10362/15112
Título: Brazilian equity risk premium analysis: A macroeconomic approach
Autor: Abe, Bruno Jordan Orfei
Orientador: Silva, André Castro
Brito, Ricardo
Palavras-chave: Excess returns
Expected returns
Data de Defesa: Jan-2015
Resumo: This research studies the role of fluctuations in the aggregate consumption-wealth ratio 𝑐𝑎𝑦 proposed by Lettau and Ludvigson (2001) as a predictor of stock returns in the Brazilian economy. Using quarterly data, evidence for predictability of asset growth was found with an 𝑅̅2 of over 45% and a highly significant coefficient as expected, in contrast to absence of statistical evidence for predictability of stock returns or excess returns. Regressions containing those fluctuations also resulted in worse 𝑅̅2. For the data used, dividend yield was not capable of showing predictive power also. The predictability of the returns on the Brazilian economy is not rejected but data fails to show the expected results. Finding macroeconomic data that represent the same agent was a big obstacle. After testing many different datasets and different model specifications, data still failed to show any explanatory power over returns or excess returns.
Descrição: Double Degree Masters in Economics Program from Insper and NOVA School of Business and Economics
URI: http://hdl.handle.net/10362/15112
Designação: A Work Project presented as part of the requirements for the Award of a Master Degree in Economics from the NOVA – School of Business and Economics
Aparece nas colecções:NSBE: Nova SBE - MA Dissertations

Ficheiros deste registo:
Ficheiro Descrição TamanhoFormato 
Abe_2015.pdf1,13 MBAdobe PDFVer/Abrir

FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpace
Formato BibTex MendeleyEndnote 

Todos os registos no repositório estão protegidos por leis de copyright, com todos os direitos reservados.