Determinants of the Implied Equity Risk Premium in Brazil
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Autores
Sanvicente, Antonio Zoratto
Carvalho, Mauricio Rocha Alves de
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Citações na Scopus
Tipo de documento
Working Paper
Data
2012
Resumo
This paper tests determinants of the equity risk premium (ERP) in Brazil. We use implied ERP, based on the Elton (1999) critique. ERP for Brazil is calculated as a mean of large samples of individual stock prices in each month in the January, 1995 to November, 2010 period. As determinants of changes in the ERP we obtain, as
significant, and in the expected direction: changes in the CDI rate; country debt risk spread; equity market volatility; and US market liquidity premium. The influence of the proposed determining factors is tested with the use of time series regression analysis.
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Inglês
Notas
Membros da banca
Área do Conhecimento CNPQ
Ciências Sociais Aplicadas