Estimando o prêmio de mercado brasileiro

Resumo

Risky investments assume that profits are on average higher than those obtained from risk-free assets; this difference is traditionally called an equity risk premium. Its importance is unequivocal: for investors, when deciding on being exposed to the stock market's risks; for corporation managers, in project selection and even for government agencies when regulating utility company returns and supervising pension funds. However, this applicability requires trustworthy values to be used in the models. This paper analyses estimates obtained by three different approaches covering the period of January of 1996 to December of 2008. In the historical approach, the results vary from 5% to 7% for the IBrX and FGV-100 indexes; in the prospective approach (which reflects the expected premium) the result was 3.35%; finally, in the indirect approach (by market models), negative equity premiums were found, an unexpected but significant result.

Ficha do documento

Tipo

Artigo científico

Ano

2011

Instituição

Associação Nacional dos Programas de Pós-graduação em Administração

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

DOI

10.1590/S1415-65552011000500009

Identificador

oai:repositorio.fgv.br:10438/20904

Temas

Economia

Palavras-chave

Market premiumRisk premiumIndexesDividendsCAPMPrêmio de mercadoPrêmio de riscoÍndicesDividendosAvaliação de ativos - Modelo (CAPM)Administração de empresasAdministração de riscoAdministração financeiraCapital (Economia) - CustosModelo de precificação de ativos