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This thesis improves our understanding of asset prices and returns as it documents a regime shift risk premium in currencies, corrects the estimation bias in the term premium of bond yields, and shows the impact of ambiguity aversion towards parameter uncertainty on equities. The thesis consists of three essays. The first essay "The Yen Risk Premiums: A Story of Regime Shifts in Bond Markets" documents a new monetary mechanism, namely the shift of monetary policies, to account for the forward premium puzzle in the USD-JPY currency pair. The shift of monetary policy regimes is modelled by a regime switching dynamic term structure model where the risk of regime shifts is priced. Our model estimation characterises two policy regimes in the Japanese bond market---a conventional monetary policy regime and an unconventional policy regime of quantitative easing. Using foreign exchange data from 1985 to 2009, we find that the shift of monetary policies generates currency risk: the yen excess return is predicted by the Japanese regime shift premium, and the emergence of the yen carry trade in the mid 1990s is associated with the transition from the conventional to the unconventional monetary policy in Japan. The second essay "Correcting Estimation Bias in Regime Switching Dynamic Term Structure Models" examines the small sample bias in the estimation of a regime switching dynamic term structure model. Using US data from 1971 to 2009, we document two regimes driven by the conditional volatility of bond yields and risk factors. In both regimes, the process of bond yields is highly persistent, which is the source of estimation bias when the sample size is small. After bias correction, the inference about expectations of future policy rates and long-maturity term premia changes dramatically in two high-volatility episodes: the 1979--1982 monetary experiment and the recent financial crisis. Empirical findings are supported by Monte Carlo simulation, which shows that correcting small sample bias leads to more accurate inference about expectations of future policy rates and term premia compared to before bias correction. The third essay "Learning about the Persistence of Recessions under Ambiguity Aversion" incorporates ambiguity aversion into the process of parameter learning and assess the asset pricing implications of the model. Ambiguity is characterised by the unknown parameter that governs the persistence of recessions, and the representative investor learns about this parameter while being ambiguity averse towards parameter uncertainty. We examine model-implied conditional moments and simulated moments of asset prices and returns, and document an uncertainty effect that characterises the difference between learning under ambiguity aversion and learning under standard recursive utility. This uncertainty effect is asymmetric across economic expansions and recessions, and this asymmetry generates in simulation a sharp increase in the equity premium at the onset of recessions, as in the recent financial crisis.

x, 94 p. : ill. (some col.) / This paper examines how competition faced by firms affects asset risk and expected returns. Contrary to Hou and Robinson's (2006) findings, I find that cross-industry variation in competition, as measured by the concentration ratio, is not a robust determinant of unconditional expected stock returns. In contrast, within-industry competition, as measured by relative price markup, is positively related to expected stock returns. Moreover, this relation is not captured by commonly used models of expected returns. When using the Markov regime-switching model advocated by Perez-Quiros and Timmermann (2000), I test and find support for Aguerrevere's (2009) recent model of competition find risk dynamics. In particular, systematic risk is greater in more competitive industries during bad times and greater in more concentrated industries during good times. In addition, real investment by firms facing greater competition leads real investment by firms facing less competition, supporting Aguerrevere's notion that less competition results in higher growth options and hence higher risk in good times. / Committee in charge: Dr. Roberto Gutierrez, Chair; Dr. Roberto Gutierrez, Advisor; Dr. Diane Del Guercio, Inside Member; Dr. John Chalmers， Inside Member； Dr. Bruce Blonigen， Outside Member

This thesis examines stock price bubbles in the Stock Exchange of Thailand (SET) from its establishment in April 1975 until December 2012 using regime-switching bubble models, on the main aggregated market index, called the SET Index, and several disaggregated stock indices by industrial sector. The results suggest some evidence of bubble-like behaviour in these indices, most especially when a structural break is included at July 1997, the date when Thailand switched to adopting a managed floating exchange rate system. Given the limitations of published stock price indices in Thailand a new, consistent index was computed the K-NI. The econometric test results using this new index indicate strong evidence of stock price bubbles in several industrial sectors and at least some evidence of bubbles in all industry groups in the SET. Finally, the standard model is extended to study the transmission of bubbles between industry groups. The results indicate some levels of contagion in the Technology sector, as well as, in several other industry groups, while the Resources sector seems to be relatively isolated.

Dissertação (mestrado)—Universidade de Brasília, Faculdade de Economia, Administração e Contabilidade e Gestão de Políticas Públicas, Programa de Pós-Graduação em Ciências Contábeis, 2017. / Submitted by Raquel Almeida (raquel.df13@gmail.com) on 2018-03-15T20:13:01Z No. of bitstreams: 1 2017_VanessaRodriguesdosSantosCardoso.pdf: 1204775 bytes, checksum: b3244b57ef40e149d2c2d5bba50d6d27 (MD5) / Approved for entry into archive by Raquel Viana (raquelviana@bce.unb.br) on 2018-04-24T20:13:04Z (GMT) No. of bitstreams: 1 2017_VanessaRodriguesdosSantosCardoso.pdf: 1204775 bytes, checksum: b3244b57ef40e149d2c2d5bba50d6d27 (MD5) / Made available in DSpace on 2018-04-24T20:13:04Z (GMT). No. of bitstreams: 1 2017_VanessaRodriguesdosSantosCardoso.pdf: 1204775 bytes, checksum: b3244b57ef40e149d2c2d5bba50d6d27 (MD5) Previous issue date: 2018-04-24 / Os modelos de precificação de ativos são utilizados por investidores como base para a tomada de decisões, pois estimam qual seria o seu retorno em função do risco que estão dispostos a tomar. Embora o CAPM seja o modelo mais utilizado, diversos autores defendem que o seu único fator de risco não captura anomalias existentes na precificação de ativos. Nos últimos anos tem sido crescente o interesse da academia por anomalias, de forma que em 2012 já existiam 313 delas na literatura. Este estudo objetivou investigar se os recentes modelos que consideram anomalias na precificação de ativos ajustam-se satisfatoriamente ao mercado acionário brasileiro. Como objetivo secundário, o estudo também verificou se modelos com anomalias eram superiores ao CAPM quando aplicado ao setor elétrico, pois o modelo é utilizado pela Agência Reguladora para estimar o retorno sobre o capital a ser pago aos investidores pelos consumidores de energia. Para tanto, os modelos de cinco fatores de Fama e French (2015), o de quatro fatores de Hou, Xue e Zhang (2014a) e outro alternativo com seis anomalias foram testados e comparados com o CAPM, por meio de regressões de séries temporais estimadas com dados contábeis e do mercado de ações no período de junho de 2010 a dezembro de 2016. Os resultados demostram que os três modelos com anomalias testados se ajustam satisfatoriamente à variação nos preços dos ativos no Brasil e no setor elétrico. Dentre eles, o de cinco fatores de Fama e French (2015) é superior em termos de poder explicativo no mercado acionário, enquanto o modelo alternativo se mostrou superior ao CAPM no setor elétrico. Especificamente quanto às anomalias, verifica-se que tamanho, valor, investimento, rentabilidade, momento, alavancagem operacional e fricções de mercado possuem relação estatisticamente significante com o retorno dos ativos no mercado brasileiro. Entretanto, os prêmios de risco dessas anomalias foram negativos e/ou estatisticamente não diferentes de zero, indicando que estratégias de investimentos baseadas nesse tipo de risco não foram recompensadas no Brasil no período analisado. / Asset pricing models are used by investors as a basis for decision-making because they estimate how much they would return based on the risk they are willing to take. Although CAPM is the most widely used model, several authors argue that its single risk factor does not capture existing anomalies in asset pricing. In recent years the interest of the academy on anomalies has increased, so that in 2012 313 of them have been already reported in the literature. This study aimed to investigate whether recent models that consider anomalies in asset pricing fits satisfactorily to the Brazilian stock market. As a secondary objective, the study also verified whether models with anomalies were superior to CAPM when applied to the electric sector, since the model is used by the Regulatory Agency to estimate the return on capital to be paid to investors by energy consumers. To do so, the Fama and French (2015) five-factor model, the Hou, Xue and Zhang (2014a) four-factor model and an six-factor alternative model were tested and compared with CAPM, using time series regressions estimated with accounting and stock market data from June 2010 to December 2016. The results showed that the three models with anomalies tested fit satisfactorily in explaining asset price movements in Brazil and its electric industry. Among them, the Fama and French (2015) five-factor is superior in terms of explanatory power in the stock market, while the alternative model proved to be superior to CAPM in the domestic electric industry. Specifically, regarding the anomalies, we find that size, value, investment, profitability, moment, operating leverage and market frictions have a statistically significant relation with asset returns in the Brazilian market. However, the risk premiums for these anomalies are negative and / or statistically nonzero, indicating that investment strategies based on this type of risk are not rewarded in the Brazilian market in the analyzed period.

The estimation results of Brazilian risk premia are not robust in the literature. For instance, among the 133 market risk premium estimates reported on the literature, 41 are positives, 18 are negatives and the remainder are not significant. In this study, we investigate the grounds for this lack of consensus. First of all, we analyze the sensitivity of the US risk premia estimation to two relevant constraints present in the Brazilian market: the small number of assets (137 eligible stocks) and the short time-series sample available for estimation (14 years). We conclude that the second constrain, small T, has greater impact on the results. Following, we evaluate the two potential causes of problems for the risk premia estimation with small T: i) small sample bias on betas; ii) divergence between ex-post and ex-ante risk premia. Through Monte Carlo simulations, we conclude that for the T available for Brazil, the betas estimates are no longer a problem. However, it is necessary to wait until 2041 to be able to estimate ex-ante risk premia with Brazilian data. / Os resultados das estimações de prêmios de risco brasileiros não são robustos na literatura. Por exemplo, dentre 133 estimativas de prêmio de risco de mercado documentadas, 41 são positivas, 18 negativas e o restante não é significante. No presente trabalho, investigamos os motivos da falta de consenso. Primeiramente, analisamos a sensibilidade da estimação dos prêmios de risco norte-americanos a duas restrições presentes no mercado brasileiro: o baixo número de ativos (137 ações elegíveis) e a pequena quantidade de meses disponíveis para estimação (14 anos). Concluímos que a segunda restrição, T pequeno, tem maior impacto sobre os resultados. Em seguida, avaliamos as duas potenciais causas de problemas para a estimação de prêmios de risco em amostras com T pequeno: i) viés de pequenas amostras nas estimativas dos betas; e ii) divergência entre prêmio de risco ex-post e ex-ante. Através de exercícios de Monte Carlo, concluímos que para o T disponível no Brasil, a estimativa dos betas já não é mais um problema. No entanto, ainda precisamos esperar até 2041 para conseguirmos estimar corretamente os prêmios ex-ante com os dados brasileiros.

Submitted by Maike Costa (maiksebas@gmail.com) on 2017-09-01T12:06:36Z No. of bitstreams: 1 arquivototal.pdf: 2312324 bytes, checksum: bb651f68a0df8d950d036c27e29b0651 (MD5) / Approved for entry into archive by Viviane Lima da Cunha (viviane@biblioteca.ufpb.br) on 2017-09-01T14:27:52Z (GMT) No. of bitstreams: 1 arquivototal.pdf: 2312324 bytes, checksum: bb651f68a0df8d950d036c27e29b0651 (MD5) / Approved for entry into archive by Viviane Lima da Cunha (viviane@biblioteca.ufpb.br) on 2017-09-01T14:30:29Z (GMT) No. of bitstreams: 1 arquivototal.pdf: 2312324 bytes, checksum: bb651f68a0df8d950d036c27e29b0651 (MD5) / Made available in DSpace on 2017-09-01T14:30:47Z (GMT). No. of bitstreams: 1 arquivototal.pdf: 2312324 bytes, checksum: bb651f68a0df8d950d036c27e29b0651 (MD5) Previous issue date: 2017-02-17 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / This thesis aimed at analyzing the characteristics, determinants and implications of communality in liquidity for the Brazilian stock market. The analyzed sample consisted of, on average, 130 shares per year, of the companies listed on the São Paulo Stock Exchange - BM&FBOVESPA, from January 2007 to December 2015. Initially, it was sought to investigate the existence of commonality in Liquidity in the Brazilian stock market and to identify the economic-financial characteristics of the companies that made up the sample. With the use of financial volume as a measure of share liquidity, it was verified that commonality is a phenomenon present in the Brazilian stock market and that its highest values were concentrated in periods of international financial crises. In addition, it was verified the existence of a size effect on the commonality, that is, as the size of the company increases, a greater commonality in the liquidity is observed. Next, it was sought to analyze the determinants of commonality in liquidity, based on explanations on the supply side. It has been found that past commonality exerts a positive influence on the concomitant commonality. In addition, the negative influence of the market return and the positive influence of market volatility on the commonality in liquidity, showed that the commonality may be greater in periods of crisis due to capital restriction, however, it was verified that crises and the loss of Brazil's investment grade were not significant in explaining the commonality. In addition, it was sought to verify the influence of the foreign investor on the commonality with the use of five variables. The results showed that the participation of the foreign investor, measured by foreign purchases (CE) and foreign exchange participation (PECB), is significant to reduce the commonality in liquidity and that the output of foreign resources influences directly the increase of commonality. Finally, with the use of portfolios, it was sought to verify if the investors were compensated for dealing with the commonality. A premium of 0.33% per month for liquidity commonality was observed, however, not statistically significant. Regarding the risk factors analyzed, there was a market premium of 0.3% per month, but not significant. In relation to the size factor and the B/M factor, the results obtained disqualify the effect size and the effect value in the Brazilian stock market, since there was a negative premium for the risk factors of 0.005% and 2.516% per month, respectively. As for the moment factor, a monthly premium of 1.24% was obtained, significant at the 5% level. The liquidity factor presented a positive premium, but not statistically significant. Additionally, it was verified that when exposing the premium for commonality to the other risk factors, the market risk factor can capture it. Finally, it was found that commonality in liquidity is a priceless risk factor. / Esta tese teve por objetivo analisar as características, determinantes e implicações da comunalidade na liquidez para o mercado acionário brasileiro. A amostra analisada foi constituída por, em média, 130 ações por ano, das empresas listadas na Bolsa de Valores de São Paulo – BM&FBOVESPA, no período de janeiro de 2007 a dezembro de 2015. Inicialmente, buscou-se investigar a existência da comunalidade na liquidez no mercado acionário brasileiro e identificar as características econômico-financeiras das empresas que compuseram a amostra. Com a utilização do volume financeiro como medida de liquidez acionária, verificou-se que a comunalidade é um fenômeno presente no mercado acionário brasileiro e que os seus maiores valores se concentraram nos períodos das crises financeiras internacionais. Adicionalmente, verificou-se a existência de um efeito tamanho sobre a comunalidade, ou seja, à medida que aumenta o tamanho da empresa, observa-se maior comunalidade na liquidez. Em seguida, buscou-se analisar os determinantes da comunalidade na liquidez com base nas explicações do lado da oferta. Verificou-se que a comunalidade passada exerce uma influência positiva sobre a comunalidade contemporânea. Ademais, a influência negativa do retorno de mercado e a influência positiva da volatilidade de mercado sobre a comunalidade na liquidez demonstraram que a comunalidade poderá ser maior em períodos de crise em virtude da restrição de capital, no entanto, constatou-se que as crises financeiras internacionais e a perda do grau de investimento do Brasil não foram significativas na explicação da comunalidade. Adicionalmente, buscou-se verificar a influência do investidor estrangeiro sobre a comunalidade com a utilização de cinco variáveis. Os resultados demonstraram que a participação do investidor estrangeiro, mensurada pelas compras estrangeiras (CE) e pela participação estrangeira em bolsa (PECB), é significativa para a diminuição da comunalidade na liquidez e que a saída dos recursos estrangeiros influencia diretamente no aumento da comunalidade. Por fim, com a utilização de carteiras, buscou-se verificar se os investidores foram compensados por lidarem com a comunalidade. Observou-se um prêmio de 0,33% ao mês para a comunalidade na liquidez, no entanto, não significativo estatisticamente. Quanto aos fatores de risco analisados, observou-se um prêmio de mercado de 0,3% ao mês, não significativo. Em relação ao fator tamanho e ao fator B/M, os resultados obtidos descaracterizam o efeito tamanho e o efeito valor no mercado acionário brasileiro, uma vez que se verificou um prêmio negativo para os fatores de risco de -0,005% e -2,516% ao mês, respectivamente. Quanto ao fator momento, obteve-se um prêmio mensal de 1,24%, significativo ao nível de 5%. Já o fator liquidez apresentou um prêmio positivo, porém não significativo estatisticamente. Adicionalmente, verificou-se que, ao expor o prêmio para a comunalidade aos demais fatores de risco, o fator de risco de mercado conseguiu parcialmente capturá-lo. Por fim, constatou-se que a comunalidade na liquidez constitui um fator de risco precificável.

Made available in DSpace on 2015-04-16T14:48:55Z (GMT). No. of bitstreams: 1 arquivototal.pdf: 2663788 bytes, checksum: 9f4b6ec2977840f4b55d2adc8afb8a6e (MD5) Previous issue date: 2012-11-27 / Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPES / This dissertation aimed to analyze how investment and ROA are priced and whether them partially explains change stock returns in the Brazilian stock market. Initially, aimed at analyzing whether an investment and ROA premium exists. Secondly, was aimed to compare the performance of alternative three-factor model of Chen, Novy-Marx and Zhang (2010), consisting of a market risk factor, the investment and ROA factors, with the CAPM model and three-factor model of Fama and French (1993), as well as investigate the robustness of the models on commonly known stock market anomalies. To development of the study, it was used stock portfolios and to verify the performance of the model in explaining the changes of stock returns were used a set of time series regression analysis. The population consisted of all non-financial companies with stocks traded on the Bolsa de Valores de São Paulo BM&FBOVESPA, from January 1995 to June 2011.Refering to the risk factors analyzed, it was observed an average market premium of 2,303% per month. With regards to the size and book-to-market factors, it was could not find evidence of them existence in the Brazilian market, since we obtained a negative premium of 0,005% and 2,516% per month, respectively. With regards to the factors based on production, it was found for investment factor a positive and significant premium of 0,698% per month. When it comes to the ROA factor, it was obtained a positive premium of 0,263% per month, however, not statistically significant. In the analysis of portfolios formed by investment and ROA factor, it was expected that stocks with greater investment in assets tend to have lower returns than stocks with the lowest investment. This pattern can be observed, since seven of the nine portfolios formed by stocks lower investment achieved return over the portfolios formed by stocks that performed more investment in the same period, cannot rejected Hypothesis 1. Regarding the expected return, it was expected that the stock portfolios formed by high ROA submit superior returns to the returns of portfolios formed by stocks of low ROA. This pattern was observed in eight of nine portfolios formed, however, the nonexistence of a premium for the factor ROA causes the rejection of the Hypothesis 2. Comparing the three models by the adjusted R2 there was on average a superior model of Fama and French (1993) of 3.6% over the alternative model of three factors and 5.1% over the CAPM. It was observed also that the alternative model of three factors presented behavior similar of the model of Fama and French (1993) when the portfolios are sorted based on volume, momentum, leverage, EBITDA/P and PL. / Esta dissertação teve por objetivo analisar como os fatores investimento e ROA são precificados e se explicam parte das variações dos retornos das ações no mercado acionário Brasileiro. Inicialmente, buscou-se investigar a existência do prêmio para os fatores investimento e ROA. Em seguida, teve-se por objetivo comparar o desempenho do modelo alternativo de três fatores de Chen, Novy-Marx e Zhang (2010), composto pelo fator de risco mercado e os fatores investimento e ROA, com o modelo CAPM e com o de três fatores de Fama e French (1993), bem como investigar a robustez dos modelos baseados nas estratégias de valor. Para o desenvolvimento do estudo, optou-se pelo emprego de emprego de portfólios e, para analisar o desempenho do modelo na explicação das variações dos retornos das ações, foram utilizadas regressões em série de tempo. A população foi composta por todas as empresas não financeiras, com ações negociadas na Bolsa de Valores de São Paulo BM&FBOVESPA, entre 1º de janeiro de 1995 e 30 de junho de 2011. Quanto aos fatores de risco analisados, observou-se um prêmio de mercado de 2,303% ao mês. Em relação ao fator tamanho e ao fator B/M, os resultados obtidos descaracterizam o efeito tamanho e o efeito valor no mercado Brasileiro, uma vez que se verificou um prêmio negativo para os fatores de risco de 0,005% e 2,516 ao mês, respectivamente. Em relação aos fatores baseados na produção, verificou-se para o fator investimento um prêmio positivo e significativo de 0,698% ao mês. Quanto ao fator ROA, verificou-se um prêmio positivo de 0,263% ao mês, no entanto, não significativo estatisticamente. Na análise das carteiras formadas pelo fator investimento e ROA, esperava-se que as ações com maior investimento em ativos tenderiam a apresentar retorno inferior às ações que com menor investimento. Esse padrão pode ser observado, uma vez que sete das nove carteiras formadas por ações de menor investimento obtiveram retorno superior às carteiras formadas por ações que realizaram maior investimento no mesmo período, não se podendo rejeitar a Hipótese 1. Em relação à rentabilidade esperada, esperava-se que as carteiras formadas por ações de alto ROA apresentassem retornos superiores aos retornos das carteiras formadas por ações de baixo ROA. Esse padrão foi observado em oito das noves carteiras formadas, no entanto, a não existência do prêmio para o fator ROA, faz com que a Hipótese 2 seja rejeitada. Comparando-se os três modelos pelo R2 ajustado, observou-se, em média, uma superioridade do modelo de Fama e French (1993) de 3,6% em relação ao modelo alternativo de três fatores e de 5,1% em relação ao CAPM. Observou-se, também, que o modelo alternativo de três fatores apresentou comportamento semelhante ao do modelo de Fama e French (1993) na explicação das anomalias volume e momento, endividamento, EBITDA/P e PL.

I formally analyze the role of nonperforming loan (NPL) characteristics in explaining NPL profit outcomes compared to the current pricing model for NPLs. I expected that factors included in the current NPL model would not be statistically significant in determining profit outcomes as those factors were considered in determining the purchase price of the asset. Surprisingly, I find that interest rates are statistically significant and negatively correlated with IRR. This is surprising because interest rates are considered in the current NPL pricing model. The results suggest that greater weight should be given to interest rates in determining the purchase price of an asset. Also surprising, I find that properties located in New York are negatively correlated with profitability. State assumption relating to costs and holding timelines are included in the current NPL model. However, the results suggest that additional consideration should be given to properties in New York when determining a purchase price. I also find that delinquent taxes have a slightly positive correlation with NPL Profitability. This was unexpected as delinquent taxes are deducted directly from the purchase price, suggesting a slightly greater significant than their dollar amount.

A teoria sobre o custo de capital das empresas estudada desde a década de 1950 trouxe amplas contribuições aos estudos de finanças corporativas, alocação de carteiras de investimento, fusões e aquisições, ciências contábeis, entre outras aplicações. Os modelos clássicos de custo de capital compreendem modelos como o CAPM (Capital Asset Pricing Model), de Sharpe, Lintner e Mossin; o APT (Arbitrage Pricing Theory), de Ross; o modelo de 3-fatores, de Fama e French, e de 4-fatores, de Carhart, entre outros. Em virtude das diversas críticas feitas aos modelos clássicos (ELTON, 1999; FAMA; FRENCH, 2004; GRINBLATT; TITMAN, 2005; ASHTON; WANG, 2012; HOU et al., 2012), há então espaço para o surgimento de uma metodologia alternativa para estimativa do custo de capital das empresas, contexto em que surgem os modelos de Custo de Capital Implícito (ICC - Implied Cost of Capital). São cinco os principais modelos de ICC estudados e testados na literatura: Gordon e Gordon, modelo FHERM (1997), Claus e Thomas, modelo CT (2001), Gebhardt, Lee e Swaminathan, modelo GLS (2001), Ohlson e Juettner-Nauroth, modelo OJ (2005) e Easton, modelo de EASTON (2004). Todos se baseiam em expectativas sobre resultados futuros projetados, e as pesquisas que os aplicam fundamentam-se majoritariamente em projeções de analistas. Há, no entanto, diversos problemas levantados pela literatura quanto ao uso de dados produzidos por analistas (GUAY et al., 2011; HOU et al., 2012; KARAMANOU, 2012). Hou et al. (2012) propõem então uma metodologia cross-sectional de projeções de resultados das empresas, com base em dados contábeis, alternativa às projeções dos analistas e aplicável aos modelos de ICC, a qual se mostrou eficiente para os testes desenvolvidos. O objetivo desta tese foi verificar se a metodologia de projeção de lucros proposta por Hou et al. (2012), com as devidas considerações e ajustes, é válida para aplicação no mercado brasileiro e, em caso positivo, verificar qual a magnitude do Custo de Capital Implícito esperado pelos investidores para aplicação de recursos no Brasil, através da aplicação dos cinco principais modelos de ICC. Analisou-se também se os modelos de ICC podem ser considerados eficientes como ferramenta para prever os ativos que terão maiores ou menores retornos futuros e, por fim, verificou-se como o prêmio pelo risco implícito se compara com o prêmio pelo risco do CAPM, e qual das duas abordagens é mais eficiente como ferramenta de precificação de ativos. Para tanto, foi analisada uma janela de dados de 1994 a 2014. As principais conclusões obtidas foram: (i) o modelo de Hou et al. (2012) ajustado tem desempenho muito positivo para fins de projeção de lucros no Brasil, com capacidade de prever 69,8% dos lucros futuros; (ii) o prêmio pelo risco implícito apurado para o Brasil para o período de 1994 a 2014 é da magnitude de 7,5% a.a., em linha com a literatura internacional e nacional; (iii) identificou-se a importância de se efetuarem ajustes e controles inflacionários, em especial, para aplicar os modelos GLS e CT, sob risco de subestimar o ICC nesses modelos; (iv) verificou-se que o único modelo, entre os testados, contraindicado para aplicação no Brasil é o FHERM, cujas simplificações teóricas e de premissas levam a resultados muito voláteis e pouco capazes de prever os retornos futuros das ações; e (v) na análise comparativa entre os modelos de ICC e os modelos clássicos de custo de capital, concluiu-se que as metodologias de ICC testadas são eficientes como ferramenta para previsão da performance futura dos ativos, diferentemente do CAPM tradicional que apresentou resultados inferiores e não conclusivos para tais fins. Por fim, salienta-se a potencial contribuição dos modelos de ICC para análises relacionadas às finanças comportamentais e prêmios de liquidez. / The theory on companies\' cost of capital has been studied since the 1960s, bringing forward extensive contributions to the study of corporate finance, allocation of investment portfolios, mergers and acquisitions, accounting, among other several applications. The classical models of cost of capital include, for example, the CAPM (Capital Asset Pricing Model) of Shrape, Lintnet and Mossin, the APT (Arbitrage Pricing Theory) of Ross, the 3-factor model of Fama and French and the 4-factor model of Carhart. Due to the several criticisms directed at the classical models and its limitations (ELTON, 1999; FAMA; FRENCH, 2004; GRINBLATT; TITMAN, 2005; ASHTON; WANG, 2012; HOU et al., 2012), this context made room for the emergence of an alternative methodology for estimating the firms\' cost of capital, represented by the Implied Cost of Capital models (ICC). There are five main models of ICC studied and tested in the literature: Gordon and Gordon, FHERM Model (1997), Claus and Thomas, CT Model (2001), Gebhardt Lee and Swaminathan, GLS Model (2001), Ohlson and Juettner-Nauroth, OJ Model (2005) and Easton, EASTON Model (2004). All such models are based on expectations about projected future earnings, and studies that apply these methods are predominantly based on analysts\' estimates. There are, however, several problems raised by the literature regarding the use of analysts projections (GUAY et al., 2011; HOU et al., 2012; KARAMANOU, 2012). Hou et al. (2012) then proposed a cross-sectional approach to estimate the firms\' future earnings, as an alternative methodology to apply in the ICC models, which was proved very efficient. Given this context, the objective of this thesis is to verify whether the cross-sectional methodology proposed by Hou et al. (2012) to estimate future earnings, with due adjustments to the local market\'s characteristics, is valid for application in Brazil. If so, we should then verify what the magnitude of the ICC expected by investors in Brazil is, estimated using the five main ICC models. Also, this thesis should analyse if the ICC models can be considered efficient as a tool to predict which assets should have larger or smaller future returns. Finally, we should compare the risk premium estimated by the ICC models and risk premium estimated by the CAPM, and identify which of the two approaches is more efficient for asset pricing. In order to achieve such goals, a window of data from 1994 to 2014 was analysed. The main results achieved were: (i) the adjusted model of Hou et al. (2012) has shown very positive performance for projecting earnings in Brasil, with power to predict 69,8% of future earnings; (ii) the implicit risk premium for the Brazilian market from 1994 to 2014 is of 7,5% per year, which corroborates the national and international literature; (iii) it was identified the need of controlling for inflation effects, specially when implementing the GLS and CT models, at risk of underestimating the ICC if not taking the due precautions; (iv) the only model, among the tested, which was identified as unfit for applying to the Brazilian market was FHERM, since its theorical simplifications lead to too volatile results, which are poorly capable of predicting future returns; and (v) when comparing the ICC to the classical models, it was concluded that the ICC methodologies are efficient as a tool to infer future asstes\' performance, while the traditional CAPM presents poor and unconclusuve results for such purpose. At last, we stress the potencial contribution of the ICC models to the study of behavioral finance and liquidity premiums.