Asset pricing in the Brazilian financial market: five-factor GAMLSS modeling

Renan O. Regis, Raydonal Ospina (), Wilton Bernardino and Francisco Cribari-Neto
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Renan O. Regis: Universidade Federal de Pernambuco
Raydonal Ospina: Universidade Federal de Pernambuco
Wilton Bernardino: Universidade Federal de Pernambuco
Francisco Cribari-Neto: Universidade Federal de Pernambuco

Empirical Economics, 2023, vol. 64, issue 5, No 15, 2373-2409

Abstract: Abstract We model asset prices in Brazil using the five-factor asset pricing model. We show that Gaussian regression models fail to capture the full data dynamics. We then fit Generalized Additive Models for Location Scale and Shape with data-selected underlying laws. They are based on laws related to the Student t distribution, appear to be correctly specified and deliver good data fits. All estimated models are evaluated using performance measures that are standard in the literature.

Keywords: Asset pricing theory; Brazilian financial market; Fama–French model; Five-factor model; GAMLSS modeling (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s00181-022-02316-3

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