Determinants of the implied equity risk premium in Brazil

dc.creatorSanvicente, Antonio Zoratto
dc.creatorCarvalho, Mauricio Rocha
dc.date2020-04-10
dc.date.accessioned2022-11-03T20:59:36Z
dc.date.available2022-11-03T20:59:36Z
dc.identifierhttps://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/80038
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5044637
dc.descriptionThis paper proposes and tests market determinants of the equity risk premium (ERP) in Brazil. We use implied ERP, based on the Elton (1999) critique. We demonstrate that the calculation of implied, as opposed to historical ERP makes sense, because it varies, in the expected direction, with changes in fundamental market indicators. The ERP for Brazil is calculated as a mean of large samples of individual stock prices in each month in the January, 1995 to September, 2015 period, using the “implied risk premium” approach. As determinants of changes in the ERP we obtain, as significant, and in the expected direction: changes in CDI rate, country debt risk spread, US market liquidity premium and level of the S&P500. The influence of the proposed determining factors is tested with the use of time series regression analysis. The possibility of a change in that relationship with the 2008 crisis was also tested, and the results indicate that the global financial crisis had no significant impact on the nature of the relationship between the ERP and its determining factors. For comparison purposes, we also consider the same variables as determinants of the ERP calculated with average historical returns, as is common in professional practice. First, the constructed series does not exhibit any relationship to known market events. Second, the variables found to be significantly associated with historical ERP do not exhibit any intuitive relationship with compensation for market risk.en-US
dc.formatapplication/pdf
dc.languageeng
dc.publisherLociedade Brasileira de Finançasen-US
dc.relationhttps://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/80038/77799
dc.rightsCopyright (c) 2020 Revista Brasileira de Finançaspt-BR
dc.sourceBrazilian Review of Finance; Vol. 18 No. 1 (2020): January-March; 68-90en-US
dc.sourceRevista Brasileira de Finanças; v. 18 n. 1 (2020): Janeiro-Março; 68-90pt-BR
dc.source1984-5146
dc.source1679-0731
dc.subjectEquity Risk Premiumen-US
dc.subjectDiscounted Dividend Modelen-US
dc.subjectCapital Asset Pricing Modelen-US
dc.subjectE44en-US
dc.subjectG12en-US
dc.subjectG14en-US
dc.subjectG31en-US
dc.subjectG32.en-US
dc.titleDeterminants of the implied equity risk premium in Brazilen-US
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion
dc.typeDouble blind reviewed articlesen-US
dc.typeEmpiricalen-US
dc.typeAvaliado por Parespt-BR


Este ítem pertenece a la siguiente institución