Precificação internacional de ativos: uma análise empírica (2009-2019)

Abstract

This research aims to identify which are the factors that can drive the international stocks returns. For that, the company-level characteristics that make up the models of Fama e French (1993) 3 factors, Carhart (1997) 4 factors and Fama e French (2015) 5 factors were used. A data selection approach based on Ince e Porter (2006) and Landis e Skouras (2021) was adopted, ensuring maximum coverage, precision and bias reduction, extracting 36,513 actions from 70 countries and 155 FTSE subsectors. To test the factors that can influence the cross-section of international stocks returns, was used Fama e MacBeth (1973) cross-section regression methodology , for a global sample, and stocks from countries with lower-middle income, middle-income high and high income. Evidences shows that global market risk is not able to influence the cross section of international stock returns. The size factor indicates that, on average, small companies tend to have higher returns. Book-to-market, profitability and investment grade influence stock returns in specific cases. The momentum factor indicates that stocks that have a winning history tend to remain winners, while losers tend to remain losers.