Five risk factors model: pricing sectoral portfolios in the Brazilian stock market
DOI:
https://doi.org/10.16930/2237-7662/rccc.v16n48.2376Keywords:
Pricing Model, 5-Risk Factors, Brazilian Stock Market, Sector Portfolios, SUR Regression.Abstract
The assets risk premium is the central variable of the finance models that seek to estimate the cost of capital of the companies, the cost of this employee, for example, in the evaluation of the stock price. There are several models used to calculate the risk premium, with Fama and French models being widely known and widely disseminated. In 2015, Fama and French introduced a new model with the introduction of two new risk premiums. Due to the relevance of the theme and the possibility of obtaining new information from this new model, the objective of this paper is to conduct a study in the Brazilian stock market from a sample composed of companies listed on the São Paulo Stock Exchange (BMF&Bovespa), testing the ability of sectoral pricing in the risk factors present in the recent 5-factor model, proposed by Fama and French (2015a). In order to carry out the research, the companies listed on the Bovespa were used between January 2008 and December 2015. The results point to a greater importance of the investment risk premium, being statistically significant in three of the five sectors of the economy studied.References
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