Brazilian equity risk premium analysis: a macroeconomic approach

Abe, Bruno Jordan Orfei

Brazilian equity risk premium analysis: a macroeconomic approach

dc.contributor.advisor	Brito, Ricardo Dias De Oliveira
dc.contributor.author	Abe, Bruno Jordan Orfei
dc.coverage.spatial	São Paulo	pt_BR
dc.creator	Abe, Bruno Jordan Orfei
dc.date.accessioned	2021-09-13T03:17:07Z
dc.date.accessioned	2015-09-23T21:35:58Z
dc.date.available	2021-09-13T03:17:07Z
dc.date.available	2015-09-23T21:35:58Z
dc.date.issued	2015
dc.description.other	This research studies the role of fluctuations in the aggregate consumption-wealth ratio 𝑐𝑎𝑦 proposed by Lettau and Ludvigson (2001) as a predictor of stock returns in the Brazilian economy. Using quarterly data, evidence for predictability of asset growth was found with an 𝑅 ̅ 2 of near 27% and a highly significant coefficient as expected, in contrast to absence of statistical evidence for predictability of stock returns or excess returns. Regressions containing those fluctuations also resulted in worse 𝑅 ̅ 2. For the data used, dividend yield was not capable of showing predictive power also. The predictability of the returns on the Brazilian economy is not rejected but data fails to show the expected results. Finding macroeconomic data that represent the same agent was a big obstacle. After testing many different datasets and different model specifications, data still failed to show any explanatory power over returns or excess returns.	pt_BR
dc.format.extent	28 p.	pt_BR
dc.identifier.uri	https://repositorio.insper.edu.br/handle/11224/736
dc.language.iso	Português	pt_BR
dc.rights.uri	TODOS OS DOCUMENTOS DESSA COLEÇÃO PODEM SER ACESSADOS, MANTENDO-SE OS DIREITOS DOS AUTORES PELA CITAÇÃO DA ORIGEM.	pt_BR
dc.subject	Excess Returns; Expected Returns; Consumption; Wealth; Cointegration.	pt_BR
dc.subject	Excess eturns	pt_BR
dc.subject	Expected returns	pt_BR
dc.subject	Consumption	pt_BR
dc.subject	Wealth	pt_BR
dc.subject	Cointegration	pt_BR
dc.title	Brazilian equity risk premium analysis: a macroeconomic approach	pt_BR
dc.type	master thesis
dspace.entity.type	Publication
local.contributor.boardmember	Silva, Andre C.
local.type	Dissertação	pt_BR