Determinants of the Implied Equity Risk Premium in Brazil

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dc.contributor.authorSanvicente, Antonio Zoratto
dc.contributor.authorCarvalho, Mauricio Rocha Alves de
dc.coverage.cidadeSão Paulopt_BR
dc.coverage.paisBrasilpt_BR
dc.creatorSanvicente, Antonio Zoratto
dc.creatorCarvalho, Mauricio Rocha Alves de
dc.date.accessioned2023-07-24T17:13:41Z
dc.date.available2023-07-24T17:13:41Z
dc.date.issued2012
dc.description.abstractThis 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.
dc.description.otherThis 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.pt_BR
dc.format.extent18 p.pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.issueBEWP 154/2012
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/5920
dc.language.isoInglêspt_BR
dc.publisherInsperpt_BR
dc.relation.ispartofseriesInsper Working Paperpt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.titleDeterminants of the Implied Equity Risk Premium in Brazilpt_BR
dc.typeworking paper
dspace.entity.typePublication
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeWorking Paperpt_BR

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