Browsing FGV EESP - MPFE: Dissertações, Mestrado Profissional em Finanças e Economia by Author "Lagnado, Leonardo Mathiazzi"

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Introducing additional factors for the Brazilian market in the fama-french five-factor asset pricing model

Lagnado, Leonardo Mathiazzi
2016-08-23

This dissertation is aimed at evaluating the risk-return relationship of stocks by incrementing the Fama and French five-factor model (F. FAMA and R. FRENCH, 2015) with two new variables. This was done by creating a ...