Zugl.: Eichstätt, Ingolstadt, Univ., Diss. 2006/2007

Thesis (doctoral)--Universität St. Gallen, 2009.

Diss. Univ. St. Gallen, 2008. / Literaturverz.

Master-Arbeit Univ. St. Gallen, 2007.

[pt] Este trabalho tem por objetivo analisar os retornos das ações do Banco do Brasil (BBAS3), utilizando como ferramenta os modelos do CAPM, CAPM condicional e o CAPM intertemporal no mercado acionário brasileiro, utilizando o beta estático e o dinâmico. A análise é desenvolvida através da exposição teórica das principais causas que proporcionaram o surgimento do modelo de precificação de ativos financeiros e as condições nas quais ele foi testado e desenvolvido. Foram estimados os betas estáticos e dinâmicos, sendo que os betas dinâmicos têm um maior poder de explicação sobre os excessos de retornos. Também foi constatado que os parâmetros que medem aversão a risco relativa foram significantes, indicando que um aumento de volatilidade afeta de forma significativa o retorno esperado dos agentes. Em relação aos modelos de precificação foi possível aplicar o CAPM, o CAPM condicional e o CAPM intertemporal e validar sua aplicação uma vez que as métricas apresentadas nos resultados econométricos se mostraram robustas corroborando com a literatura. / [en] The objective of this work is to analyze the returns of Banco do Brasil s shares (BBAS3), using the CAPM models, conditional CAPM and the intertemporal CAPM in the Brazilian stock market, using static and dynamic beta. The analysis is developed through the theoretical exposition of the main causes that gave rise to the model of pricing of financial assets and the conditions under which it was tested and developed. The static and dynamic betas were estimated, and the dynamic betas have a greater power of explanation on the excesses of returns. It was also observed that the parameters that measure aversion to relative risk were significant, indicating that an increase in volatility significantly affects the expected return of the agents. Regarding the pricing models, it was possible to apply the CAPM, the conditional CAPM and the intertemporal CAPM and validate its application once the metrics presented in the econometric results were robust, corroborating with the literature.

Made available in DSpace on 2015-03-05T19:11:30Z (GMT). No. of bitstreams: 0 Previous issue date: 29 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / O propósito desta dissertação foi verificar se o Modelo de Precificação de Ativos de Capital baseado no Consumo (CCAPM) é consistente com os dados de quatro países latino-americanos: Brasil, Chile, Colômbia e México. Para alcançar este objetivo foi realizada uma regressão cross-sectional dos prêmios de risco médios sobre os betas de consumo de cada ativo em cada país analisado. Adicionalmente, de forma análoga a Lintner (1965) e Levy (1978), foi verificado se a variável ‘variâncias residuais’ mostrava-se estatisticamente significante nas regressões cross-sectional, o que seria inconsistente com o modelo. Os resultados empíricos, baseados em estimativas corrigidas para o problema dos erros nas variáveis, demonstram que há uma relação estatisticamente significativa entre os prêmios de risco médios e os betas de consumo nos países acima mencionados, com exceção do México. Apesar disto, o poder explicativo do modelo, dado pelo coeficiente de determinação R2 ajustado, foi muito baixo em todos os países. Quanto à v / The purpose of this thesis is to verify whether the Consumption based Capital Asset Pricing Model (CCAPM) is consistent with the data from four Latin-American countries: Brazil, Chile, Colombia, and Mexico. In order to reach this goal, a cross-sectional regression of the consumption betas on the mean excess returns of each asset is performed for each country analyzed. Also, similar to the studies of Lintner (1965) and Levy (1978), it is verified whether the variable ‘residual variance’ has statistical significance in the cross-sectional regressions, which would be inconsistent with the model. Empirical results showed that there is a statistical significant relationship between mean excess returns and consumption betas in the countries cited above, with exception of Mexico. Despite this, the explanatory power of the model, given by the adjusted coefficient of determination (R2), is very small in all countries. Concerning the variable ‘residual variance’, it is statistically significant for the Brazilian and Me

The thesis addresses two areas of research within financial economics: empirical asset pricing and the borderline area between finance and economics with emphasis on econometrical methods. The empirical asset pricing section considers the effects of short-sale constraints on both the stock market as well as the derivatives market. Many arbitrage relations in the economy are intimately tied to the possibility to go short. One such arbitrage relation is the put-call-parity (PCP) relation that dictates a pricing relation between several derivative instruments and their underlying assets. During the latter part of the 1980s stock options could be traded in Sweden, while at the same time shorting was not permitted. The main contribution of the paper is to show that this shorting prohibition indeed implied larger deviations from PCP. Furthermore, this effect is only relevant for firms with stocks that were not shortable abroad, as firms with stocks shortable abroad did not show any deviations from PCP. The second paper investigates the asymmetries found in the momentum effect. Previous studies have found that the momentum effect is mostly due to the fact that a portfolio of loser firms tend to continue perform poorly, rather than because a portfolio of winner firms continue to do well. The explanation for this phenomenon investigated in the paper is based on the theoretical work by Diamond and Verrecchia (1985). In this model they demonstrate that the effects of restrictions on the ability to go short will have as a result that negative news are incorporated more slowly than positive news. The main contribution of my paper is to explore this hypothesis, and provide a link to the momentum effect. This has been achieved by considering Sweden during the 1980s during which the rare situation of a complete shorting prohibition was enforced. The second section of the thesis foremost addresses the CCAPM model. In the third paper the joint effect of market frictions, different utility specifications, as well as more stringent econometrical analysis, on the CCAPM are considered. Since all these remedies tend to co-exist and should not be considered on a stand alone basis, as has been the case in the previous literature. The paper also shows how several measures of misspecification available in the literature are implemented when market frictions are present. In particular, the paper presents the Hansen and Jagannathan measure with market frictions. The final paper considers L1-norm-based alternatives to the L2-norm-based Hansen and Jagannathan (1997) measure. It is well known that L1-norm methods may show good properties in the presence of non-normal distributions, for instance, with respect to heavy-tailed and/or asymmetric distributions. These methods provide more robust estimators, since they are less easily influenced by outliers or other extreme observations. The basic intuition for this is that L2-norm methods involve squaring errors, which magnifies large deviations, while L1-norm methods are based on absolute deviations. Since financial data are known to frequently display non-normal properties, L1-norm methods have found considerable use in financial economics. / Diss. Stockholm : Handelshögskolan, 2005

Submitted by Guilherme Kira (guilhermekira@gmail.com) on 2016-04-19T16:30:44Z No. of bitstreams: 1 projeto.pdf: 1158587 bytes, checksum: b952667990d1a0e3dd53069e408c1769 (MD5) / Approved for entry into archive by BRUNA BARROS (bruna.barros@fgv.br) on 2016-04-26T13:25:13Z (GMT) No. of bitstreams: 1 projeto.pdf: 1158587 bytes, checksum: b952667990d1a0e3dd53069e408c1769 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2016-04-27T18:01:53Z (GMT) No. of bitstreams: 1 projeto.pdf: 1158587 bytes, checksum: b952667990d1a0e3dd53069e408c1769 (MD5) / Made available in DSpace on 2016-04-27T18:06:34Z (GMT). No. of bitstreams: 1 projeto.pdf: 1158587 bytes, checksum: b952667990d1a0e3dd53069e408c1769 (MD5) Previous issue date: 2016-03-15 / As empresas de capital aberto, listadas em bolsa de valores, são naturalmente aquelas que vieram apresentando retornos superiores perante às demais empresas do seu setor. Assim, será que o viés de seleção desses ativos in uencia sigini cativamente no resultado do Equity Premium Puzzle, primordialmente lançado por Mehra and Prescott (1985)? É essa pergunta que este trabalho investiga e conclui que, sim, de fato pode haver uma in uência desse viés em explicar o Puzzle . Para isso, iremos gerar uma economia cujos ativos, por hipótese, sejam preci cados de acordo com o fator estocástico de desconto (SDF) baseado em consumo, ou seja, os modelos conhecidos como CCAPM (Consumption Capital Asset Pricing Model). Assim, essa economia será gerada via simulação de Monte Carlo, de forma que iremos construir um índice benchmark dessa economia, nos quais participariam apenas os ativos que foram historicamente mais rentáveis. Adota-se tal metodologia em paralelo à forma como os reais benchmarks são construidos (S&P 500, Nasdaq, Ibovespa), em que neles participam, basicamente, as empresas de capital aberta mais negociadas em Bolsa de Valores, que são, comumente, as empresas historicamente mais rentáveis da economia. Em sequência, iremos realizar a estimação via GMM (Generalized Method of Moments) de um dos parâmetros de interesse de uma economia CCAPM: o coe ciente de aversão relativa ao risco (CRRA). Finalmente, os resultados obtidos são comparados e analisados quanto ao viés de estimação.

Universiẗat, Diss./07--Ingolstadt, 2006.

Consumption-based asset pricing models (CCAPMs) connect asset returns with consumption growth. The poor empirical performance of early consumption models has led to the development of a number of more sophisticated models. Nevertheless, most models focus on the US markets, and very few CCAPMs have been examined in the Australian context. Given the importance of CCAPMs, the purpose of this thesis is to examine the connections between asset returns in the Australian market and consumption variables. The thesis also extends the analysis to examine CCAPMs in an international setting. There are four essays in this thesis. The first essay undertakes a thorough investigation of the empirical support for consumption-based asset pricing models in the context of several major Australian asset classes. Using the generalised method of moments (GMM) econometric approach, my study begins with the classic CCAPM originally tested by Hansen and Singleton (1982, 1983). The empirical analysis is then extended to test more-recent specifications of the CCAPM, including the habit-formation models of Abel (1990) and Campbell and Cochrane (2000), and the time nonseparable model of Epstein and Zin (1991). For each of the models examined, the results provide cautious support for the CCAPM especially in relation to equity returns. Size-sorted portfolios (in particular, portfolios of small stocks) and fixed-income returns cause the CCAPM restriction to be rejected. It also presents results that raise questions over the benefits from extensions of the classic CCAPM, such as habit-persistence and recursive utility models. The second essay studies the empirical performance of a linearised version of the classic CCAPM in the Australian market. The studies of Faff and Oliver (1998) and Faff (1998) are extended by employing more recent data and examining 25 size/BM portfolios as well as industry portfolios. It is found that by using the lagged portfolio returns, the linearised CCAPM for both industry portfolios and 25 size/BM portfolios is generally not rejected. The third essay empirically examines conditional CCAPMs where the conditioning variables are consumption factors such as the consumption-wealth ratio proposed by Lettau and Ludvigson (2001a, 2001b), the surplus consumption ratio (Campbell and Cochrane, 1999), and the labour income to consumption ratio (Santos and Veronesi, 2006). Here long-horizon return predictability tests are conducted using these factors and cross-sectional tests on whether these factors are priced using both 25 Size/BM portfolios and industry portfolios. Utilising the Fama-MacBeth (1973) procedure, it is found that conditional models perform better than unconditional models. However, these conditional models do not outperform the Fama-French three-factor model. The fourth essay tests the world CCAPMs. Using data for 17 countries, the following are tested: the classic world CCAPM under the assumption of complete international markets integration, the heterogeneous world CCAPM under the framework of Constantinides and Duffie (1996) and the world habit models. The finding here is that a large risk aversion is needed to resolve the equity premium puzzle for the classic world CCAPM; however, adding a cross-country consumption dispersion factor into the model significantly lowers the coefficients of consumption risk aversion. Unconditional linear factor models are also studied where it is found that the world consumption growth and the dispersion of the cross-sectional consumption growth provide some explanatory basis for the variation in the cross section of excess stock returns. More sophisticated consumption models perform better than the classic world CCAPM. This thesis makes a worthwhile contribution to the research literature on CCAPMs in Australia which up to now has been limited. It performs out-of-sample tests of major CCAPMs utilising several Australian asset classes. It not only provides some insights into the return predictability of the aggregate market index in Australia, but also presents some evidence of the explanation of the cross section of stock returns using consumption variables. Further, this thesis adds to the understanding of the