Long-Term Stock Returns in Brazil: Volatile Equity Returns for U.S.-Like Investors

37 Pages Posted: 7 Jul 2020

Date Written: March 30, 2020

Abstract

This paper tells the history of Brazilian stock market returns since the creation of the Ibovespa (the main Brazilian stock market index). From 1968 to 2019, the arithmetic mean real return of the Brazilian stock market is 21.3% per year. The equity premium is 20.1% per year, with a huge annual standard deviation of 67% . Surprisingly, such numbers are compatible with investors’ risk aversions that accommodate the very different U.S. market evidence, exposing that national investors are similar in nature. The equity premium has been higher in Brazil than in the U.S., but the much higher Brazilian volatility discourages heavier investments in stocks.

Keywords: Equity Returns, Equity Risk Premium, Emerging Market, Lifetime Portfolio Selection

JEL Classification: E21, G10, G12

Suggested Citation

Araújo, Eurilton and Brito, Ricardo Dias and Sanvicente, Antonio, Long-Term Stock Returns in Brazil: Volatile Equity Returns for U.S.-Like Investors (March 30, 2020). Available at SSRN: https://ssrn.com/abstract=3621096 or http://dx.doi.org/10.2139/ssrn.3621096

Eurilton Araújo

IBMEC, Sao Paulo ( email )

Rua Maestro Cardim, 1170 - Paraiso
V Olimpia
Sao Paulo SP 01323-001, São Paulo 04546-042
Brazil

Ricardo Dias Brito (Contact Author)

FEA-USP ( email )

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

Antonio Sanvicente

Fundação Getulio Vargas ( email )

Rua Itapeva 474 s.1202
São Paulo
Brazil
1137997918 (Phone)
01332 (Fax)

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