Factor Sufficiency in Asset Pricing: An Application for the Brazilian Market
RD dos Santos Rocha, M Laurini - International Journal of Financial …, 2023 - mdpi.com
The multifactor asset pricing model derived from the Fama–French approach is extensively
used in asset risk premium estimation procedures. Even including a considerable number of …
used in asset risk premium estimation procedures. Even including a considerable number of …
Conditional pricing model with heteroscedasticity: Evaluation of Brazilian funds
LSDA COSTA, FF Blank, FLC Oliveira… - … De Administração De …, 2019 - SciELO Brasil
Empirical studies have revealed that the conditional Capital Asset Pricing Model (CAPM)
has a higher explanatory power than its unconditional version, particularly for the model in …
has a higher explanatory power than its unconditional version, particularly for the model in …
Portfolio construction and risk management: theory versus practice
SC Lee, W Eid - RAUSP Management Journal, 2018 - SciELO Brasil
Purpose This paper aims to identify a possible mismatch between the theory found in
academic research and the practices of investment managers in Brazil …
academic research and the practices of investment managers in Brazil …
Using hierarchical risk parity in the Brazilian market: An out-of-sample analysis
F Reis, A Sobreira, C Trucíos… - Available at SSRN …, 2023 - papers.ssrn.com
Portfolio allocation is an important tool for portfolio managers and investors interested in
diversification as well as improvements in out-of-sample portfolio performance. Recently …
diversification as well as improvements in out-of-sample portfolio performance. Recently …
Portfolio evaluation of volatility timing and reward to risk timing investment strategies: The brazilian case
RA Iquiapaza, GFC Vaz, SL Borges - Revista de Finanças …, 2016 - papers.ssrn.com
Revista de Finanças Aplicadas Page 1 Electronic copy available at: https://ssrn.com/abstract=3130797
www.financasaplicadas.net ISSN 2176-8854 AVALIAÇÃO DE PORTFÓLIO DAS ESTRATÉGIAS …
www.financasaplicadas.net ISSN 2176-8854 AVALIAÇÃO DE PORTFÓLIO DAS ESTRATÉGIAS …
Analysis of risk and mispricing hypotheses of accruals: Evidence from Brazil
Purpose: Analyze how the accruals pricing is configured in the brazilian stock market, that is,
if it represents a market mispricing or a risk factor. Design/methodology/approach: We used …
if it represents a market mispricing or a risk factor. Design/methodology/approach: We used …
[PDF][PDF] A paridade de risco no cenário brasileiro
Este artigo se propõe a iniciar estudos no que toca à abordagem de otimização de portfólios
de investimento conhecida como paridade de risco no contexto brasileiro. Neste trabalho …
de investimento conhecida como paridade de risco no contexto brasileiro. Neste trabalho …
[PDF][PDF] Five Risk Factors Model: Pricing Sectoral Portfolios in the Brazilian Stock Market
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 …
the cost of capital of the companies, the cost of this employee, for example, in the evaluation …
Brazilian Exchanged Traded Funds (ETFs) pricing/Precificacao De Exchanged Traded Funds (ETFs) Brasileiros/Fijacion de Exchanged Traded Funds (ETFs) …
The objective of this study is to verify, based on the traditional mutual fund performance
evaluation models, which variables affect the return of Brazilian ETFs. Regressions were …
evaluation models, which variables affect the return of Brazilian ETFs. Regressions were …