Submitted by Maicon Juliano Schmidt (maicons) on 2015-06-15T13:29:03Z No. of bitstreams: 1 Alexandre Berlanda Costa.pdf: 625532 bytes, checksum: 7a02a02ff657753f6ba5d14030cb8622 (MD5) / Made available in DSpace on 2015-06-15T13:29:03Z (GMT). No. of bitstreams: 1 Alexandre Berlanda Costa.pdf: 625532 bytes, checksum: 7a02a02ff657753f6ba5d14030cb8622 (MD5) Previous issue date: 2015-02-27 / Nenhuma / A existência da Anomalia de Ações de Baixo Risco (AABR) conflita com duas teorias econômicas tradicionais: a hipótese da eficiência de mercados e o trade-off risco/retorno. Essa anomalia permite que os agentes de mercado explorem uma provável ineficiência do mercado adotando uma estratégia de investir em ações de baixo risco e obter retornos superiores se comparados com ações de risco maior. Estudos anteriores já comprovaram a presença da AABR no mercado brasileiro. Além de investigar a presença, essa pesquisa investiga também a persistência e a magnitude da AABR, utilizando cinco modelos de precificação de ativos com os seguintes fatores de risco: mercado, tamanho, valor, momento e iliquidez. O método escolhido consiste na análise do desempenho de carteiras de ativos (Qn) formadas por quintis dos coeficientes betas de mercado obtidos em cada modelo, sendo o desempenho das carteiras determinado por quatro medidas de performance. As carteiras de ativos são formadas e avaliadas com ações negociadas na BM&FBOVESPA no período de 2001 a 2013; sendo os coeficientes betas dos ativos estimados em relação à carteira teórica IBOVESPA. A comparação das performances das carteiras Q1 e Q5 possibilitou identificar a presença e persistência da AABR na maioria das estratégias de montagem e retenção de carteiras. Os resultados, apesar de persistentes e economicamente relevantes, não são estatisticamente significantes. Na comparação entre os modelos de precificação, o modelo de Dois Fatores foi o que apresentou os melhores resultados em todas as medidas de performance, demonstrando a importância do efeito de liquidez na escolha dos ativos para a determinação da AABR. / The existence of the Low-Beta Stocks Anomaly (LBSA) conflicts with two traditional economic theories: the efficient-market hypothesis and the risk-return tradeoff. This anomaly could allow market participants to exploit a market inefficiency through adopting a strategy of investing in low risk stocks, hence obtaining superior returns compared to those of higher risk stocks. Previous studies have identified the presence of the AABR in the Brazilian market. This research investigates not only the presence of the LBSA in the Brazilian Market but also its persistence and magnitude of the LBSA by using five asset pricing models, including factors such as market risk, size, value, momentum and illiquidity. The method adopted herein consists in analyzing the performance of stocks’ portfolios (Qn) that were built based on the market beta coefficients obtained in each model. This performance was evaluated through four performance measures. Stock’s portfolios were build with stocks traded in the BM&FBOVESPA stock exchange, in the period 2001-2013. Stocks’ beta coefficients were estimated considering the IBOVESPA index’s theoretical portfolio as a proxy for the market portfolio. Through the comparison of Q1 and Q5 portfolios’ performance, it was possible to identify the presence and persistence of the LSBA in most of the portfolio building and holding strategies adopted. The results, however persistent and economically significant, were not statistically significant. Comparing the different asset pricing models, the Two-Factor model achieved the best results in all performance measures, demonstrating the importance of the liquidity effect on the choice of the assets to exploit the LBSA.

Submitted by Maicon Juliano Schmidt (maicons) on 2015-07-13T19:06:44Z No. of bitstreams: 1 Davi Souza Simon.pdf: 27929950 bytes, checksum: e9a606d561ddb714e9de3c9022521f97 (MD5) / Made available in DSpace on 2015-07-13T19:06:44Z (GMT). No. of bitstreams: 1 Davi Souza Simon.pdf: 27929950 bytes, checksum: e9a606d561ddb714e9de3c9022521f97 (MD5) Previous issue date: 2013-01-31 / Nenhuma / Esta dissertação teve como objetivo estudar a presença no mercado brasileiro de ações da anomalia das ações de baixo risco (AABR), reportada originalmente por Black, Jensen, e Scholes (1972), na qual as ações de menor coeficiente beta apresentam resultados superiores aos das ações de beta elevado, contrariando as previsões do modelo CAPM, segundo as quais o retorno é função linear direta do risco dos investimentos realizados. Para isto, esse estudo teve como base cotações diárias ajustadas para proventos de ações listadas na BM&FBOVESPA durante um período de 18 anos (1995 a 2012), e consistiu na realização de diversos estudos de carteiras de investimentos nos quais as carteiras foram montadas agrupando as ações por ordem de coeficiente beta (estimados com base nos 750 dias anteriores tendo o IBOVESPA como variável explicativa). Os estudos foram realizados considerando cinco critérios alternativos de presença mínima das ações nas negociações dos 750 dias anteriores à seleção de ativos, de modo a permitir a análise da anomalia sobre diferentes restrições de liquidez, resultando na análise de um total de 86.350 carteiras. As evidências mostram que as carteiras formadas por ações de menor beta apresentam retornos mais elevados do que as carteiras de maior beta em cerca de oitenta por cento dos casos analisados, contrariando as previsões do modelo CAPM. Verificou-se também uma inversão do comportamento anômalo das carteiras durante as crises econômicas iniciadas em 1999, 2003 e 2007. Por meio de testes-t de diferenças de médias, verificou-se que as diferenças diretas entre as carteiras de menor e maior beta não são estatisticamente significantes na maior parte dos momentos de seleção. A realização de teste não paramétrico de diferença (teste de Kolmogorov-Smirnov) aponta pela não rejeição da hipótese de que os retornos das carteiras de menor e maior beta foram extraídos de distribuições estatísticas diferentes, levanta dúvidas e sugere a realização de estudos quanto à melhor forma de teste de diferenças de médias em amostras tão amplas quanto à adotada no presente estudo. Independentemente da questão da significância estatística dos resultados, a significância prática em função do maior retorno obtido pelas carteiras de beta baixo em 80% dos momentos de seleção de ativos aponta para a necessidade de estudos quanto aos motivos que poderiam explicar a anomalia, considerando inclusive formas alternativas para sua mensuração. / This dissertation aims to study the presence in the Brazilian stock market of the low-risk stocks anomaly, originally reported by Black, Jensen, and Scholes (1972), in which stocks with low beta coefficients present higher results than those of high-beta stocks, contrary to the CAPM predictions, under which the return is a direct and linear function of the investment’s systematic risk. For this purpose, this study is based on the daily prices (adjusted for dividends) of stocks listed on BM&FBOVESPA for a period of 18 years (1995-2012), and consisted of several portfolio studies in which the portfolios were assembled by grouping stocks through the order of their betas (estimated based on 750 days prior to portfolio selection). In order to allow the analysis of the anomaly on different liquidity constraints, five alternative criteria for the stocks minimum trading presence on the 750 days prior to the selection of assets were considered, totaling 86,350 portfolios analyses. Evidence shows that low-beta stocks’ portfolios have higher returns than high-beta stocks’ portfolios, in about eighty percent of the cases, contrary to predictions of the CAPM. There was also a reversal of the anomalous behavior of the portfolios during the economic crises started in 1999, 2003 and 2007. Through t-tests of differences in mean returns, it was found that the differences between the low-beta and the high beta portfolios are not statistically significant in most of studies performed. Through a nonparametric statistical test (Kolmogorov-Smirnov test), the hypothesis that low-beta and high-beta stocks portfolios returns were extracted from different statistical distributions was not rejected, raising questions and suggesting further studies as to the most appropriate approach to test mean differences in samples as large as the one adopted in the present study. Regardless of the issue on the results’ statistical significance, the practical significance due to the higher returns of low-beta portfolios when compared to high-beta portfolios, in about 80% of the asset selection moments, points to the need of further studies on the reasons that could explain the anomaly, considering alternative approaches on how to measure it.

O objetivo deste trabalho é comparar diferentes formas de estimação de modelos de apreçamento de ativos. Além dos métodos tradicionais, que utilizam toda a amostra no processo de estimação dos parâmetros do modelo, será utilizado o método rolling, que estima os parâmetros através da utilização de janelas móveis de tamanho fixo. Com isso, utilizando a técnica de backtesting, procura-se averiguar se o método rolling proporciona um ganho na qualidade de ajuste em modelos de apreçamento de ativos. / The aim of this project is to compare methods of estimating asset pricing models. In addition to using traditional methods, which estimate the models parameters by using the entire sample at once, the rolling method will be used. This method estimates the models parameters by using a rolling window of fixed size through the sample. By using backtesting, we seek to investigate whether the rolling approach provides an improvement in the goodness of fit in asset pricing models.

This thesis contributes to the literature in the finance and accounting field throughout its three empirical chapters. The first empirical chapter contributes to the literature on accounting conservatism in several ways; first, it investigates the accounting conservatism of US insurance companies using four measures, namely, non-operating accruals, skewness of earnings and cash flows, book to market ratio and asymmetric timeliness measures. Second, this paper compares these four measures in order to determine the association and differences between them. Finally, the level of accounting conservatism of the insurance companies is compared to that of a sample of commercial banks to check whether they have similar levels of accounting conservatism. The results of the first chapter suggest that the changes in accounting performance, as measured by return over assets, can be partly explained by accounting conservatism, since it is measured by the accumulation of non-operating accruals, skewness of operating cash flow and accruals, book to market ratio, adjusted book to market ratio and Basu's asymmetric measure. All of these four measures give robust evidence that insurance companies' accounts tended to be conservative for the whole sample period, and that the level of conservatism has risen over the years. More interestingly, a t test for the differences in means suggests that accruals conservatism show on average a higher level of accounting conservatism than book value conservatism does. Finally, our results, based on a constant sample consist of 92 banks and 46 insurance companies whose data are available for all the sample years; they suggest that both insurance companies and banks have similar levels of accounting conservatism due to their similar reporting characteristics. The second empirical chapter contributes to the existing literature on equity valuation in two ways. First, it confirms the importance of imposing linear information dynamics when predicting the equity values of insurance companies, because the restricted models result in fewer error metrics. Second, it highlights the role of the accruals components in the equity valuation of US insurance companies by demonstrating that the incorporation of accrual components in the residuals income valuation model suggested by Ohlson (1995) has smaller error metrics than those of aggregate net income. Our results are based on a sample of US insurance companies, which consists of 718 firm-year observations over the period from 2001 to 2012. For instance, our results suggest that total accruals, changes in insurance reserve, changes in account receivables, and deferred acquisition costs have an incremental ability to predict equity market value over abnormal earnings and book values. Furthermore, the predictive ability of changes in insurance reserves is higher than the predictive ability of changes in account receivables and the change in deferred acquisition costs without imposing the LIM structures. However, when the LIM structure is imposed the predictive ability of changes in deferred acquisition costs is higher than the predictive ability of both changes in accounts receivable and changes in insurance reserves. Our final empirical chapter contributes to the literature on accounting anomalies by investigating the value to price anomaly (V/P), where the fundamental value (V) is estimated using the residual income valuation model. Motivated by the findings of Hwang and Lee (2013), Fama and French (2015), and Fama and French (2016), Chapter Four asks whether V/P strategies reflect the risks factor or whether this is better explained by market inefficiency, and whether Fama and French's five-factor model can explain the excess return of V/P. To answer the previous questions we use data from the merger of COMPUSTAT, CRSP, I/B/E/S for all the non-financial firms listed in AMEX, NYSE, and NASDAQ during the period from 1987 to 2015. Our findings suggest that the V/P ratio is positively correlated to future stock returns after controlling for several firm characteristics, which are known to be proxies of common risks. Our results indicate that the omission of risk factors is not likely to be an explanation of the V/P effect. To answer the second question, we compare the performances of different asset pricing models by calculating the GRS F-statistics. Our findings clearly indicate that the five-factor model of Fama and French performs better than either the CAPM or the traditional Fama and French three factor model. These results confirm that the excess returns of V/P strategy vary due to the differences in size, the B/M ratio, operating profit and betas across quintile portfolios. However, these factors cannot explain all the variation in excess returns; moreover, the stocks in the high V/P may be riskier than the stocks in the low V/P portfolios in certain other dimensions.

Este trabalho procura aprofundar o estudo de anomalias ao CAPM no mercado acionário brasileiro e explorar as relações destas anomalias com a característica dificuldade financeira, a qual é representada pela classificação de risco das empresas, usando estratégias de compra e venda a descoberto baseadas nas anomalias. As anomalias estudadas serão o efeito de momento, momento nos lucros, a volatilidade idiossincrática, o crescimento dos ativos, o investimento em capital e o efeito contrário. Nosso objetivo é examinar o impacto da característica dificuldade financeira sobre o retorno esperado das ações de empresas do grupo de menor classificação de risco. Para cumprir nosso objetivo, inicialmente usamos todas as ações da Bolsa de Valores de São Paulo (Bovespa) para comparar estas com a amostra de empresas que possuem classificação de crédito de longo prazo. O período estudado é de Janeiro de 2000 a Dezembro de 2012. Os métodos usados foram baseados em ordenação de carteiras e regressões univariadas e multivariadas de corte transversal. Encontramos algumas evidências de que empresas com classificação de crédito sugerem retornos anormais diferentes daqueles da amostra de todas as empresas. Este resultado foi significante, negativo e persistente em todas as especificações. Evidenciamos também que para empresas do menor tercil de classificação de crédito, o efeito contrário está presente e com retornos anormais positivos e significantes de 2,02% a.m. Isto nos dá alguma evidência de que a deterioração de crédito poderia ter um impacto no retorno ajustado exigido pelos investidores. / In this paper, we extend the CAPM anomalies study field in the Brazilian stock market and we explore the relationship between these anomalies and financial distress, represented by a credit rating classification, using anomaly-based trading strategies. The anomalies selected for this study are: momentum effect, earnings momentum, idiosyncratic volatility, asset growth, capital investment and the reversal effect. Our main goal is to investigate the impact of financial distress on the expected return of companies in lowest credit rating group. To fulfill this goal, first we use all the stocks in the São Paulo Stock Exchange (Bovespa), to compare these with the subset of companies which have a long-term credit rating. We studied the period from January 2000 through December 2012. The procedures carried in this study are based on portfolio sorts and cross-sectional univariate and multivariate regressions. We find evidence that the subsample of companies with a credit rating have abnormal returns different from that of the whole sample. These results are statistically significant, negative and persistent across all specifications. We also find some evidence that for companies in the lowest tercile of credit rating, the reversal effect is present and with positive and statistically significant abnormal returns in the magnitude of 2.02% per month. This gives some evidence that credit deterioration could have an impact on the risk-adjusted return required by investors.

This research attempts to test the performance of the Fama-French three-factor model (1993) in explaining the stock portfolio returns on the China A-share Stock Market from 1996 to 2005. We will follows Drew, Naughton and Veeraraghavan (2003) method, who adopted the Fama and French's (1993) method to test small sample stock markets. We find the positive relation between book-to-market ratio and stock excess returns, and the negative relationship between size and stock excess returns. And our result demonstrated that the three-factor model is more accurate in predicting stock excess returns than the CAPM, since the adjusted R² value increased and the intercept are not significantly different from zero. The size effect is stronger than the BTM ratio effect. Moreover, our results present that stock profitability is related to size and BTM ratio in China stock market. However, the relationship between stock profitability and size and BTM ratio are unconditional.

馬可夫轉換模型是Hamilton(1989)所提出，他應用此模型的非線性特性研究美國的景氣循環。本文將此模型應用到財務領域當中，希望能從財務報表所揭露的某些訊息來掌握該公司在不同期間的報酬率變化，本文選用價值資產效果及公司規模效果，這兩各種效果對資產報酬率的解釋能力最為顯著，假使運用的得宜，模型的預測能力高，則投資者根據不同的資產特性轉換投資策略，長期間能獲得較佳的投資報酬率。同時，應用平滑過程使模型對狀態的認定更為精確，但在公司規模效果得到的成效明顯優於價值型資產效果，離群值的影響明顯對模型的推論造成嚴重的影響，最後，本文也就補救方法的可行性與否做為結論。

<p>Capital Asset Pricing Model (CAPM) är den prissättningsmodell som mest frekvent används av aktörer på den finansiella marknaden samt i litteratur för att förklara sambandet mellan risk och förväntad avkastning. Teorin grundades under 1960-talet av William Sharpe och tidiga empiriska tester av modellen visade att den med hög förklaringsgrad kunde estimera en framtida förväntad avkastning givet en viss risknivå. På senare år har dock CAPM fått stark kritik eftersom nya empiriska undersökningar demonstrerat att modellen inte längre verkar visa en rättvisande avkastning i förhållande till risk.</p><p>För att undersöka om den över 40 år gamla modellen fortfarande visar någorlunda rättvisande beskrivningar av verkligheten har vi ställt oss frågan: Går det att med hjälp av historiska data förutspå en riskfylld tillgångs avkastning på den svenska aktiemarknaden?</p><p>Vid besvarade av denna fråga har studien syftet Att med hjälp av portföljer studera huruvida sambandet mellan risk och avkastning, vilket postuleras av CAPM, stämmer på den nutida svenska aktiemarknaden.</p><p>Vi har utifrån vår kunskapssyn kritisk rationalism använt oss av en kvantitativ metod för att försöka ge svar på problemställningen, vilken angreps med ett deduktivt tillvägagångssätt. Den teoretiska referensramen behandlar teorier som portföljval, den effektiva marknadshypotesen och CAPM. Det empiriska materialet består av historiska aktiekurser vilka bearbetades och användes till att komponera flertalet portföljer. Dessa portföljer har sedan analyserats genom regressionsanalys och jämförts med ett aktiemarknadsindex i syfte att besvara vår problemställning.</p><p>Det som framkommit genom studien är att det till viss del med hjälp av historiska data går att förutspå en riskfylld tillgångs avkastning på den svenska aktiemarknaden. Även om vi delvis kan ge stöd åt den testade modellen anser vi inte att betavärdet, som ensamt förklarande variabel och mått på risk, bör tillämpas vid beslutsfattande av investeringar, något som CAPM förutsätter att det ska göra. Det linjära samband som CAPM postulerar bedömer vi vara bristande i tillämpbarhet på dagens komplicerade aktiemarknad eftersom fler variabler än historiska data påverkar aktiekurserna.</p>

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

Capital Asset Pricing Model (CAPM) är den prissättningsmodell som mest frekvent används av aktörer på den finansiella marknaden samt i litteratur för att förklara sambandet mellan risk och förväntad avkastning. Teorin grundades under 1960-talet av William Sharpe och tidiga empiriska tester av modellen visade att den med hög förklaringsgrad kunde estimera en framtida förväntad avkastning givet en viss risknivå. På senare år har dock CAPM fått stark kritik eftersom nya empiriska undersökningar demonstrerat att modellen inte längre verkar visa en rättvisande avkastning i förhållande till risk. För att undersöka om den över 40 år gamla modellen fortfarande visar någorlunda rättvisande beskrivningar av verkligheten har vi ställt oss frågan: Går det att med hjälp av historiska data förutspå en riskfylld tillgångs avkastning på den svenska aktiemarknaden? Vid besvarade av denna fråga har studien syftet Att med hjälp av portföljer studera huruvida sambandet mellan risk och avkastning, vilket postuleras av CAPM, stämmer på den nutida svenska aktiemarknaden. Vi har utifrån vår kunskapssyn kritisk rationalism använt oss av en kvantitativ metod för att försöka ge svar på problemställningen, vilken angreps med ett deduktivt tillvägagångssätt. Den teoretiska referensramen behandlar teorier som portföljval, den effektiva marknadshypotesen och CAPM. Det empiriska materialet består av historiska aktiekurser vilka bearbetades och användes till att komponera flertalet portföljer. Dessa portföljer har sedan analyserats genom regressionsanalys och jämförts med ett aktiemarknadsindex i syfte att besvara vår problemställning. Det som framkommit genom studien är att det till viss del med hjälp av historiska data går att förutspå en riskfylld tillgångs avkastning på den svenska aktiemarknaden. Även om vi delvis kan ge stöd åt den testade modellen anser vi inte att betavärdet, som ensamt förklarande variabel och mått på risk, bör tillämpas vid beslutsfattande av investeringar, något som CAPM förutsätter att det ska göra. Det linjära samband som CAPM postulerar bedömer vi vara bristande i tillämpbarhet på dagens komplicerade aktiemarknad eftersom fler variabler än historiska data påverkar aktiekurserna.