Ensaios em econometria aplicada

Resumo

We employ standard econometric techniques to investigate the empirical performance of a broad variety of asset pricing models - some of which are hallmarks in the literature, such as the CAPM and the Fama and French three factor model, and others that have achieved recent prominence. For our exercises, we use the returns of portfolios related to over 30 anomalies identified in the literature. Results show that the most parsimonious model we analyze, the Araujo-Galvao-Issler model, is the one with the most explanatory power, as well as one of the only models with statistically insignificant pricing errors and small Hansen-Jagannathan distances. Moreover, it is the more robust model, achieving strong results when pricing a myriad of anomalies, unlike other models that typically do well only in specific datasets.

Ficha do documento

Tipo

Tese

Ano

2024

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/36501

Temas

Economia

Palavras-chave

EconometriaPrevisãoFinançasCrimeInflaçãoEconometricsForecastingFinanceInflationEconomiaModelo de precificação de ativosFinanças - Modelos matemáticos