Arbitragem com fundamentos latentes em um modelo fatorial de efeitos mistos Outros Idiomas

ID:
8610
Resumo:
Neste artigo, propomos um modelo de fator único com efeitos mistos para dados em painel de modo a criar uma carteira de arbitragem que identifica diferenças de fundamentos latentes ao nível da firma. Com base neste modelo, é possível verificar que, embora as características que afetam os retornos são variáveis desconhecidas, é possível identificar a força da combinação destes fundamentos latentes para cada empresa, seguindo uma abordagem simples com dados históricos. Como resultado, uma estratégia de arbitragem que comprou as ações com os melhores fundamentos (carteira de fundamentos fortes) e vendeu as ações com os piores fundamentos (carteira com fundamentos fracos) apresentou retornos ajustados ao risco significativos no mercado dos EUA para o período entre julho de 1986 e junho de 2008. Para assegurar a robustez, realizamos análises subperíodo, sazonais e ajustamos para os custos de negociação, reforçando as evidências empíricas de que, usando uma regra simples investimento, que identificou esses fundamentos latentes na estrutura de retornos passados, a estratégia apresenta resultados positivos.
Citação ABNT:
GONÇALVES, A. S.; IQUIAPAZA, R. A.; BRESSAN, A. A. Latent Fundamentals Arbitrage with a Mixed Effects Factor Model. Revista Brasileira de Finanças, v. 10, n. 3, p. 317-335, 2012.
Citação APA:
Gonçalves, A. S., Iquiapaza, R. A., & Bressan, A. A. (2012). Latent Fundamentals Arbitrage with a Mixed Effects Factor Model. Revista Brasileira de Finanças, 10(3), 317-335.
Link Permanente:
http://www.spell.org.br/documentos/ver/8610/arbitragem-com-fundamentos-latentes-em-um-modelo-fatorial-de-efeitos-mistos/i/pt-br
Tipo de documento:
Artigo
Idioma:
Inglês
Referências:
Acharya, Viral V., & Pedersen, Lasse H. 2005. Asset Pricing with Liquidity Risk. Journal of Financial Economics, 77, 375–410.

Ang, Andrew, & Bekaert, Geert. 2007. Stock Return Predictability: Is It There? The Review of Financial Studies, 20, 651–707.

Ang, Andrew, Hodrick, Robert J., Xing, Yuhang, & Zhang, Xiaoyan. 2006. The Cross-Section of Volatility and Expected Returns. The Journal of Finance, 61, 259–299

Berkowitz, Stephen A., Logue, Dennis E., & Noser, Eugene A. 1988. The Total Costs of Transactions on the NYSE. The Journal of Finance, 43, 97–112.

Binswanger, Mathias. 2004. How Important are Fundamentals?-Evidence from a Structural VAR Model for the Stock Markets in the US, Japan and Europe. Journal of International Financial Markets, 14, 185–201.

Bodie, Zvi, Kane, Alex, & Marcus, Alan. 2001. Investments. Irwin: McGraw-Hill, New York.

Carhart, Michael. 1997. On Persistence in Mutual Fund Performance. The Journal of Finance, 52, 57–82.

Chan, Louis K. C., & Lakonishok, Josef. 2004. Value and Growth Investing: Review and Update. Financial Analysts Journal, 58, 71–86.

Chen, Long, Petkova, Ralitsa, & Zhang, Lu. 2008. The Expected Value Premium. Journal of Financial Economics, 87, 269–280.

Chou, Pin-Huang, Ho, Po-Hsin, & Ko, Kuang-Cheng. 2011. Do Industries Matter in Explaining Stock Returns and Asset Pricing Anomalies? Journal of Banking & Finance.

Cohen, Randolph B., Polk, Chirstopher, & Vuolteenaho, Tuomo. 2009. The Price Is (Almost) Right. The Journal of Finance, 64, 2739–2782.

Croux, Christophe, Dhaene, Geert, & Hoorelbeke, Dirk. 2004. Robust Standard Errors for Robust Estimators. Discussion Papers Series 03.16, K.U. Leuven, CES.

Elton, Edwin, Gruber, Martin J., Das, Sanjiv, & Hlavaka, Matthew. 1993. Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios. Review of Financial Studies, 6, 1–22.

Fama, Eugene, & French, Kenneth. 1992. The Cross-Section of Expected Stock Returns. Journal of Finance, 47, 427–465.

Fama, Eugene, & French, Kenneth. 1993. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33, 3–56.

Fama, Eugene, & French, Kenneth. 1996. Multifactor Explanations of Asset Pricing Anomalies. The Journal of Finance, 51, 55–84.

Fama, Eugene, & French, Kenneth. 1998. Value versus Growth: The International Evidence. The Journal of Finance, 53, 1975–1999.

Fama, Eugene, & French, Kenneth. 2004. The Capital Asset Pricing Model: Theory and Evidence. The Journal of Economic Perspectives, 18, 25–46.

Fama, Eugene, & French, Kenneth. 2006. The Value Premium and the CAPM. The Journal of Finance, 61, 2163–2185.

Fitzmaurice, Garrett M., Laird, Nan M., & Ware, James H. 2004. Applied Longitudinal Analysis. Hoboken: John Wiley & Sons.

Friend, Irwin, & Blume, Marshall E. 1970. Measurement of Portfolio Performance under Uncertainty. American Economic Review, 60, 607–636.

Hirshleifer, David A., Hou, Kewei, & Teoh, Siew H. 2009. Accruals, Cash Flows, and Aggregate Stock Returns. Journal of Financial Economics, 91, 389–406.

Huber, Peter J., & Ronchetti, Elvezio. 2009. Robust Statistics. New Jersey: John Wiley and Sons.

Jagannathan, Ravi, & McGrattan, Ellen. 1995. The CAPM Debate. Federal Reserve Bank of Minneapolis Quarterly Review, 19, 2–17.

Jegadeesh, Narasimhan, & Titman, Sheridan. 1993. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. The Journal of Finance, 48, 65–91.

Jensen, Michael, Black, Fischer, & Scholes, Myron. 1972. The Capital Asset Pricing Model: Some Empirical Tests. Pages 79–125

Kang, Qiang, Liu, Qiao, & Qi, Rong. 2010. Predicting Stock Market Returns with Aggregate Discretionary Accruals. Journal of Accounting Research, 48, 815–858.

Lakonishok, Josef, Shleifer, Andrei, & Vishny, Robert W. 1994. Contrarian Investment, Extrapolation, and Risk. The Journal of Finance, 49, 1541–1578.

Lintner, John. 1965. The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. Review of Economics and Statistics, 47, 13–37.

Liu, Weimin. 2006. A Liquidity-Augmented Capital Asset Pricing Model. Journal of Financial Economics, 82, 631–671.

Louis, Rosmy J., & Eldomiaty, Tarek. 2010. How Do Stock Prices Respond to Fundamental Shocks in the Case of the United States? Evidence from NASDAQ and DJIA. The Quarterly Review of Economics and Finance, 50, 310–322.

Markowitz, Harry M. 1952. Portfolio Selection. The Journal of Finance, 7, 77–91.

Mossin, Jan. 1966. Equilibrium in a Capital Asset Market. Econometrica, 34, 768–783.

of: Franke, J., H¨ardle, W., & Martin, R. D. (eds), Robust and Nonlinear Time Series. New York: Lectures Notes in Statistics.

of: Jensen, M. (ed), Studies in the Theory of Capital Markets. New York: Praeger Publishers.

Petkova, Ralitsa, & Zhang, Lu. 2005. Is Value Riskier Than Growth? Journal of Financial Economics, 78, 187–202.

Ross, Stephan A. 1976. The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory, 13, 341–360.

Rousseeuw, Peter J., & Yohai, Victor J. 1984. Robust Regression by Means of S-Estimators. Pages 256–272

Sharma, Vivek, Hur, Jungshik, & Lee, Hei-Wai. 2008. Glamour versus Value: Trading Behavior of Institutions and Individual Investors. Journal of Financial Research, 31, 65–84.

Sharpe, William F. 1963. A Simplified Model of Portfolio Analysis. Management Science, 9, 277–293.

Sharpe, William F. 1964. Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. The Journal of Finance, 19, 425–442.

Stein, Jeremy. 2009. Presidential Address: Sophisticated Investors and Market Efficiency. The Journal of Finance, 64, 1517–1548.

Subrahmanyam, Avanidhar. 2010. The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? European Financial Management, 16, 27–42.

Yohai, Victor J. 1987. High Breakdown-Point and High Efficiency Estimates for Regression. The Annals of Statistics, 15, 642–65.