This work utilizes zero-beta CAPM to derive an alternative form dubbed the ZCAPM. The ZCAPM posits that asset prices are a function of market risk composed of two components: average market returns and cross-sectional market volatility. Market risk associated with average market returns in the CAPM market model is known as beta risk. We refer to market risk related to cross-sectional market volatility as zeta risk. Using U.S. stock returns from January 1965 to December 2010, out-of-sample cross-sectional asset pricing tests show that the ZCAPM better predicts stock returns than popular three- and four-factor models. These and other empirical tests lead us to conclude that the ZCAPM holds promise as a robust asset pricing model.

Made available in DSpace on 2016-04-25T16:44:54Z (GMT). No. of bitstreams: 1 Stefan C Lee.pdf: 425129 bytes, checksum: b42eba077dbf34d3a8fc08b95deafb31 (MD5) Previous issue date: 2007-05-09 / This dissertation analyzes the relationship between the return on equity and the cost of equity, as suggested by the CAPM: Capital Asset Pricing Model, for non financial Brazilian companies. Among the various kinds of returns on equity, the net profit divided by shareholder s accounting equity was adopted as the principal return, having advantages including widespread utilization and simplicity. Sector samples, taken from the paper and pulp, steel, textile and petrochemical sectors, and a non sector sample, composed of 105 companies, were analyzed. The differences between ROE and cost of equity were calculated for the period between 1995 and 2005 and the parametrical t Student and non parametrical Wilcoxon statistic tests were carried out to compare means. The results reveal a pessimistic scenario for investments in Brazil and, from the five samples, only one from the steel sector sample reported a compatible ROE with the cost of equity. Most of non financial Brazilian companies do not have equal or higher returns than the cost of equity and, worse of all, these returns are many times lower than federal interest rates. Complementary analysis with the multi regression technique indicated a paradox due to the coexistence of a high cost of equity, shareholder s value destruction, and continuity, creation, and growth of investments. Future studies are proposed to understand and rationalize the results / O trabalho se propõe a analisar a relação entre o retorno sobre o patrimônio líquido e o custo do capital próprio, medido pelo Capital Asset Pricing Model, das empresas não financeiras brasileiras. Dentre os diversos retornos do capital próprio, o lucro líquido sobre o patrimônio líquido contábil foi o principal adotado, tendo como vantagens também a simplicidade e difusão. Foram extraídas amostras setoriais de papel e celulose, de metalurgia e siderurgia, têxtil e de petroquímica, e uma não setorial, que foi composta por 105 empresas. As diferenças entre os retornos sobre o patrimônio líquido e o custo do capital próprio foram coletadas para o período de 1995 a 2005 e foram realizados os testes paramétrico t Student e não paramétrico Wilcoxon de igualdade de médias. Os resultados obtidos apontam um cenário pessimista para investimentos no Brasil, uma vez que das cinco amostras, apenas a do setor de metalurgia e siderurgia teve retornos sobre o patrimônio líquido compatíveis com o custo do capital próprio. A maioria das empresas brasileiras não financeiras não consegue igualar ou superar o custo do capital próprio e, em vários casos, não conseguem sequer superar a taxa base. Análises complementares baseadas em regressões multivariadas indicaram um paradoxo entre as coexistências de um alto custo de capital próprio, destruição de valor aos acionistas, e a continuidade, a criação e a ampliação dos investimentos. Estudos futuros são propostos para a compreensão e racionalização dos resultados