Dissecting Anomalies with the Five-factor Model for the Brazilian Stock Market
Main Article Content
Abstract
This article estimates for the Brazilian market the multifactor pricing model proposed by Fama and French (2015, 2016) and provides a detail of five anomalies: beta, net share issues, momentum, volatility and accruals. The results indicate that the inclusion of the profitability factor proposed in Fama and French (2015) plays a crucial role in reducing the magnitude of the intercepts and of the GRS statistic for all size-anomaly sorted portfolios considered in the article. Consistent with international evidence, the results indicate, among other things, that (i) companies that repurchase shares have higher returns and are more conservative in terms of investment, (ii) firms with lower volatility have higher returns, and are less sensitive to the market returns, (iii) small firms are more aggressive in terms of investment and less profitable, (iv) high beta was associated with higher returns only among small firms and (v) average returns of companies with high accruals is higher in comparison to those of companies with low accruals.
Article Details
Section
Long Paper
Authors that publish in the Brazilian Review of Finance agree with the following terms:
Authors maintain their moral rights and grant to Review the copyright and the first publication right with their work simultaneously licensed under a Creative Commons Attribution 3.0 License that allows the total or partial copy of the work, including for commercial use, and sharing of the work with recognition of its authors and the initial publication in this journal.
Authors are allowed to take additional contracts separately for non-exclusive distribution of the paper published in this journal (eg, in institutional repositories or to publish as a book chapter), with recognition of its authors and the initial publication in this journal.
Authors are permitted and encouraged to post their work online (eg, in institutional repositories or on their website) at any point before or during the submission process, as this can lead to productive exchanges, as well as increase the impact and citation of the published work.
The contents of the signed articles are the sole responsibility of the authors, remains their responsibility even after the transfer of the copyright. The Review reserves the right to make normative, spelling and grammar changes in the original article in order to maintain the linguistic standards, but will follow the style of the authors. RBFin also reserves the right to translate the article into another language. RBFin may impose a copyright transfer form as a condition for publishing the article.