Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets
Ano de defesa: | 2013 |
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Autor(a) principal: | |
Orientador(a): | |
Banca de defesa: | |
Tipo de documento: | Dissertação |
Tipo de acesso: | Acesso aberto |
Idioma: | eng |
Instituição de defesa: |
Não Informado pela instituição
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Programa de Pós-Graduação: |
Não Informado pela instituição
|
Departamento: |
Não Informado pela instituição
|
País: |
Não Informado pela instituição
|
Palavras-chave em Português: | |
Link de acesso: | http://hdl.handle.net/10438/10566 |
Resumo: | This work applies the intertemporal asset pricing model developed by Campbell (1993) and Campbell and Vuolteenaho (2004) to the Brazilian 2x3 Fama-French stock portfolios from January 2003 to April 2012 and to the US 5x5 Fama-French portfolios in dfferent time periods. The variables suggested by Campbell and Vuolteenaho (2004) to forecast US market excess returns from 1929 to 2001 were also good excess return predictors for the Brazilian market on the recent period, except the term structure yield spread. However, we found that an increase in the small stock value spread predicts a higher market excess return, which is not consistent with the intertemporal model explanation for the value premium. Moreover, using the residuals of the forecasting VAR to define the test portfolios’ cash flow and discount rate shock risk sensitivity, we found that the resulting intertemporal model explains little of the variance in the cross section of returns. For the US market, we conclude that the proposed variables’ ability to forecast market excess returns is not constant in time. Campbell and Vuolteenaho’s (2004) success in explaining the value premium for the US market in the 1963 to 2001 sub-sample is a result of the VAR specification in the full sample, since we show that none of the variables are statistically significant return predictors in this sub-sample. |
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Colletta, Renato DallaEscolas::EESPPereira, Pedro L. VallsDomingues, Gabriela BertolMergulhão, João de Mendonça2013-02-27T21:05:31Z2013-02-27T21:05:31Z2013-01-31COLLETTA, Renato Dalla. Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2013.http://hdl.handle.net/10438/10566This work applies the intertemporal asset pricing model developed by Campbell (1993) and Campbell and Vuolteenaho (2004) to the Brazilian 2x3 Fama-French stock portfolios from January 2003 to April 2012 and to the US 5x5 Fama-French portfolios in dfferent time periods. The variables suggested by Campbell and Vuolteenaho (2004) to forecast US market excess returns from 1929 to 2001 were also good excess return predictors for the Brazilian market on the recent period, except the term structure yield spread. However, we found that an increase in the small stock value spread predicts a higher market excess return, which is not consistent with the intertemporal model explanation for the value premium. Moreover, using the residuals of the forecasting VAR to define the test portfolios’ cash flow and discount rate shock risk sensitivity, we found that the resulting intertemporal model explains little of the variance in the cross section of returns. For the US market, we conclude that the proposed variables’ ability to forecast market excess returns is not constant in time. Campbell and Vuolteenaho’s (2004) success in explaining the value premium for the US market in the 1963 to 2001 sub-sample is a result of the VAR specification in the full sample, since we show that none of the variables are statistically significant return predictors in this sub-sample.Esse trabalho é uma aplicação do modelo intertemporal de apreçamento de ativos desenvolvido por Campbell (1993) e Campbell e Vuolteenaho (2004) para as carteiras de Fama-French 2x3 brasileiras no period de janeiro de 2003 a abril de 2012 e para as carteiras de Fama-French 5x5 americanas em diferentes períodos. As varíaveis sugeridas por Campbell e Vuolteenaho (2004) para prever os excessos de retorno do mercado acionário americano no period de 1929 a 2001 mostraram-se também bons preditores de excesso de retorno para o mercado brasileiro no período recente, com exceção da inclinação da estrutura a termo das taxas de juros. Entretanto, mostramos que um aumento no small stock value spread indica maior excesso de retorno no futuro, comportamento que não é coerente com a explicação para o prêmio de valor sugerida pelo modelo intertemporal. Ainda, utilizando os resíduos do VAR preditivo para definir o risco de choques de fluxo de caixa e de choques nas taxas de desconto das carteiras de teste, verificamos que o modelo intertemporal resultante não explica adequadamente os retornos observados. Para o mercado norte-americano, concluímos que a habilidade das variáveis propostas para explicar os excessos de retorno do mercado varia no tempo. O sucesso de Campbell e Vuolteenaho (2004) em explicar o prêmio de valor para o mercado norte-americano na amostra de 1963 a 2001 é resultado da especificação do VAR na amostra completa, pois mostramos que nenhuma das varíaveis é um preditor de retorno estatisticamente significante nessa sub-amostra.engAvaliação de riscosMercado de capitaisRisco (Economia)ICAPMModelo intertemporalEconomiaAvaliação de riscosMercado de capitaisRisco (Economia)Taxas de jurosCash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock marketsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALTese MPFE Renato D Colletta.pdfTese MPFE Renato D 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|
dc.title.eng.fl_str_mv |
Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets |
title |
Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets |
spellingShingle |
Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets Colletta, Renato Dalla Avaliação de riscos Mercado de capitais Risco (Economia) ICAPM Modelo intertemporal Economia Avaliação de riscos Mercado de capitais Risco (Economia) Taxas de juros |
title_short |
Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets |
title_full |
Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets |
title_fullStr |
Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets |
title_full_unstemmed |
Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets |
title_sort |
Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets |
author |
Colletta, Renato Dalla |
author_facet |
Colletta, Renato Dalla |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Pereira, Pedro L. Valls Domingues, Gabriela Bertol |
dc.contributor.author.fl_str_mv |
Colletta, Renato Dalla |
dc.contributor.advisor1.fl_str_mv |
Mergulhão, João de Mendonça |
contributor_str_mv |
Mergulhão, João de Mendonça |
dc.subject.por.fl_str_mv |
Avaliação de riscos Mercado de capitais Risco (Economia) ICAPM Modelo intertemporal |
topic |
Avaliação de riscos Mercado de capitais Risco (Economia) ICAPM Modelo intertemporal Economia Avaliação de riscos Mercado de capitais Risco (Economia) Taxas de juros |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Avaliação de riscos Mercado de capitais Risco (Economia) Taxas de juros |
description |
This work applies the intertemporal asset pricing model developed by Campbell (1993) and Campbell and Vuolteenaho (2004) to the Brazilian 2x3 Fama-French stock portfolios from January 2003 to April 2012 and to the US 5x5 Fama-French portfolios in dfferent time periods. The variables suggested by Campbell and Vuolteenaho (2004) to forecast US market excess returns from 1929 to 2001 were also good excess return predictors for the Brazilian market on the recent period, except the term structure yield spread. However, we found that an increase in the small stock value spread predicts a higher market excess return, which is not consistent with the intertemporal model explanation for the value premium. Moreover, using the residuals of the forecasting VAR to define the test portfolios’ cash flow and discount rate shock risk sensitivity, we found that the resulting intertemporal model explains little of the variance in the cross section of returns. For the US market, we conclude that the proposed variables’ ability to forecast market excess returns is not constant in time. Campbell and Vuolteenaho’s (2004) success in explaining the value premium for the US market in the 1963 to 2001 sub-sample is a result of the VAR specification in the full sample, since we show that none of the variables are statistically significant return predictors in this sub-sample. |
publishDate |
2013 |
dc.date.accessioned.fl_str_mv |
2013-02-27T21:05:31Z |
dc.date.available.fl_str_mv |
2013-02-27T21:05:31Z |
dc.date.issued.fl_str_mv |
2013-01-31 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
COLLETTA, Renato Dalla. Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2013. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/10566 |
identifier_str_mv |
COLLETTA, Renato Dalla. Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2013. |
url |
http://hdl.handle.net/10438/10566 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
bitstream.url.fl_str_mv |
https://repositorio.fgv.br/bitstreams/25576de6-b40e-4bab-a164-cb8d038cc53d/download https://repositorio.fgv.br/bitstreams/d1565aed-d030-45f6-80ea-7ed9b4cf8ffd/download https://repositorio.fgv.br/bitstreams/fde24863-11e7-4029-b115-68712f11badd/download https://repositorio.fgv.br/bitstreams/2a74110f-6ed2-4915-8057-8531a6113676/download |
bitstream.checksum.fl_str_mv |
4daf523c0cf56d0533692bcd81b813db dfb340242cced38a6cca06c627998fa1 b42404b5804fc65f56e5b6ff5675f9e7 701001182d92ebf930e21d1041a6549d |
bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 MD5 |
repository.name.fl_str_mv |
Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
|
_version_ |
1799583083845910528 |