Applicability of Investment and Profitability Effects in Asset Pricing Models
Main Article Content
Abstract
This study aims to investigate whether investment and profitability are priced and if they partially explain the variations of stock returns in the Brazilian stock market, according to the Fama and French's (2015) five-factor model. By using time series and cross-section regression, we found that book-to-market, momentum and liquidity are associated with stock returns whereas investment and profitability were not significant. We also found that there is no investment premium in Brazil. Therefore, motivated by the importance of B/M, momentum and liquidity to the Brazilian stock market, as well as by the poor performance of profitability and investment, we document that Keene and Peterson's (2007) five-factor model is superior to all other models, especially the five-factor model by Fama and French (2015).
Downloads
Download data is not yet available.
Download data is not yet available.
Article Details
How to Cite
Machado, M. A. V., Faff, R., & Silva, S. C. de S. e. (1). Applicability of Investment and Profitability Effects in Asset Pricing Models. Journal of Contemporary Administration, 21(6), 851-874. https://doi.org/10.1590/1982-7849rac2017170027
Section
Articles
This journal remains the copyright holder of articles published. In order to be published, authors must sign the Transfer of Copyrights Document, which is sent to the authors by e-mail, thus granting rights, including on translation, to the Journal of Contemporary Administration. The journal grants third parties the right to use, reproduce, and share the article according to the Creative Commons license agreement (CC-BY 4.0), as stated in the article’s PDF documents.