The Cross-Section of Expected Stock Returns in Brazil

Revista Brasileira de Finanças, 2016

38 Pages Posted: 25 Jun 2016 Last revised: 19 Dec 2019

Date Written: April 18, 2016

Abstract

In a sample of the Brazilian stock market from 1999 to 2015, this paper shows that the book-to-market and momentum of individual firms capture some of the cross-sectional variation in average stock returns, while the market β and size do not play a role. The positive relation of cross-section of returns with book-to-market is more evident earlier, while the positive relation with momentum is stronger later in the sample. However, because none of these characteristics show explanatory power for all the subsamples studied, we are not fully convinced that they capture fundamental risk factors.

Keywords: book-to-market, momentum and size characteristics, emerging markets

JEL Classification: G11, G12, G14, N26

Suggested Citation

Varga, Gyorgy and Brito, Ricardo Dias, The Cross-Section of Expected Stock Returns in Brazil (April 18, 2016). Revista Brasileira de Finanças, 2016, Available at SSRN: https://ssrn.com/abstract=2800229 or http://dx.doi.org/10.2139/ssrn.2800229

Gyorgy Varga (Contact Author)

FCE Consulting ( email )

Brazil
552125579284 (Phone)
552122655116 (Fax)

HOME PAGE: http://www.fce.com.br

Ricardo Dias Brito

FEA-USP ( email )

Av. Prof. Luciano Gualberto 908
São Paulo SP, São Paulo 05508-900
Brazil

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