Analyzing An Alternative Model To The Capm For Brazilian Publicly-Traded Companies

Authors

  • Thiago Petchak Gomes Universidade Federal do Parana

Keywords:

risk-return tradeoff, CAPITAL MARKET, multifactor risk-return model

Abstract

This paper aims to analyze an alternative model to the standardly applied CAPM, by testing if the following economic and financial determinants can also be a good way to forecast the stock expected return for the Brazilian publicly-traded companies: 1) income elasticity of demand; 2) degree of operating leverage; 3) degree of financial leverage; 4) the six types of balance sheets, according to the Dynamic Model; 5) and the interest rate elasticity of demand. After running fifteen linear regression models with different combinations of the suggested determinants, the results indicated that interest rate elasticity of demand was the best determinant to calculate the annual stock return for the Brazilian publicly traded companies (from 2010-2019), compared to the other four determinants.

Downloads

Download data is not yet available.

References

Banco Central do Brasil. Taxas de juros básicas – Histórico. 2020. Fonte: BCB.gov.br: https://www.bcb.gov.br/controleinflacao/historicotaxasjuros

Belotti, E. CNPJ de todas as ações listadas na bolsa para imposto de renda. 2020. Fonte: real valor blog: https://orealvalor.com.br/blog/cnpj-de-todas-as-acoes-da-b3/

Colonescu, C. Principles of Econometrics with R. 2016.

Comissao de Valores Mobiliarios. Cias Abertas: Documentos: Formulário de Demonstrações Financeiras Padronizadas (DFP). 2021. Fonte: Portal Dados Abertos CVM: http://dados.cvm.gov.br/dataset/cia_aberta-doc-dfp

Damodaran, A. Demodaran Online. Fonte: Damodaran Online: http://pages.stern.nyu.edu/~adamodar/pdfiles/acf2E/Chap4.pdf

Google Finance. Google Sheets. 2021.Fonte: Google Sheets: https://www.google.com/intl/pt-BR/sheets/about/

IPEADATA. Produto interno bruto (PIB) nominal. 2020. Fonte: Ipeadata: http://www.ipeadata.gov.br/ExibeSerie.aspx?serid=38415

Zeidan, M. F. O Modelo Dinâmico de Gestão Financeira. Rio de Janeiro: Alta Books, 2005.

Downloads

Published

18-03-2024

How to Cite

PETCHAK GOMES, T. Analyzing An Alternative Model To The Capm For Brazilian Publicly-Traded Companies. Revista de Ensino, Pesquisa e Extensão em Gestão, [S. l.], v. 7, n. 1, p. e35004, 2024. Disponível em: https://periodicos.ufrn.br/revenspesextgestao/article/view/35004. Acesso em: 24 aug. 2024.

Issue

Section

Artigos