Forças determinantes da anomalia de valor em mercados emergentes

Abstract

In asset pricing, the timeless interest of both academics and market is: will it be possible to predict the return on assets? In particular, the value anomaly implies the positive differential return between firms with high book-to-market (value) and low book-to-market (growth) value in this pricing attribute. It is evident that the value anomaly has shown poor performance. I can infer that mispricing, investor sentiment and uncertainty may be causing this unexpected behavior. Thus, the aim of this thesis is to analyze the value anomaly due to mispricing, investor sentiment and uncertainty in Latin American countries (Argentina, Brazil, Chile and Mexico). In general, this scope is justified by the importance of knowing how and under which conditions the value anomaly is effective. The thesis unfolds in: a) analysis of pricing improvement through the inclusion of two alternatives attributes for the value anomaly: excess bm and growth expectation; b) to analyze the relation with mispricing and risk in the decomposing elements of the value anomaly; and c) to investigate the effects of investor sentiment and uncertainty on the value anomaly. The results suggest that the conventional value anomaly is mispricing in most of the countries studied, but Brazil. Moreover, based on the value alternatives attributes (bme and EG), I achieved an improvement in the asset pricing of the countries. Thus, these attributes were able to improve the quality of fit of the five-factor pricing model, in which conventional HML is replaced, showing that the conventional bm may be distorted by the effects of mispricing. The bm’s mispricing was evidenced in its decomposed, since it is related to liquidity, especially in countries with lower uncertainties, in which market-to-value’s overvalued is higher. Regarding to sentiment and uncertainty, the expected effects of market sentiment are not widely verified in all its types of value anomaly. On the other hand, the uncertainty does, negatively, signaling the possibility of rational agents trading in these markets. As for firm-level sentiment, I identified that it is more relevant in Chile and Mexico, which have lower uncertainties. Thus, I can conclude that the value anomaly (HML) is an effective investment strategy when there is less propensity to irrationality in the markets.