Long-term stock returns in Brazil: volatile equity returns for U.S.-like investors

Eurilton Araújo, Ricardo Brito () and Antonio Sanvicente ()

No 2020_06, Working Papers, Department of Economics from University of São Paulo (FEA-USP)

Abstract: This paper tells the history of Brazilian stock market returns since the creation of the Ibovespa (the main Brazilian stock market index). From 1968 to 2019, the arithmetic mean return of the Brazilian stock market is 21.3% per year. The equity premium is 20.1% per year, with a huge standard deviation of 67% . Surprisingly, such numbers are compatible with investors’ risk aversions that accommodate the very different U.S. market evidence, reinforcing the belief that national investors are similar in nature. The equity premium has been higher in Brazil than in the U.S., but the much higher Brazilian volatility discourages heavier investments in stocks.

Keywords: Equity returns; Equity risk premium; Emerging market; Lifetime portfolio selection (search for similar items in EconPapers)
JEL-codes: E21 G10 G12 (search for similar items in EconPapers)
Date: 2020-06-19
New Economics Papers: this item is included in nep-mac, nep-ore and nep-rmg
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Long‐term stock returns in Brazil: Volatile equity returns for U.S.‐like investors (2021)
Working Paper: Long-term stock returns in Brazil: volatile equity returns for U.S.-like investors (2020)
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