The Cross-Section of Expected Stock Returns in Brazil

Gyorgy Varga () and Ricardo Brito ()
Additional contact information
Gyorgy Varga: FCE

Brazilian Review of Finance, 2016, vol. 14, issue 2, 151-187

Abstract: In a sample of the Brazilian stock market from 1999 to 2015, this paper shows that the book-to-market and momentum of individual firms capture some of the cross-sectional variation in average stock returns, while the market ß and size do not play a role. The positive relation of cross-section of returns with book-to-market is more evident earlier, while the positive relation with momentum is stronger later in the sample. However, because none of these characteristics show explanatory power for all the subsamples studied, we are not fully convinced that they capture fundamental risk factors.

Keywords: Book-to-market; Momentum and size characteristics; Emerging markets (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 N26 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/download/60916/60797 (application/pdf)
http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/60916 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:brf:journl:v:14:y:2016:i:2:p:151-187

Access Statistics for this article

Brazilian Review of Finance is currently edited by Marcio Laurini

More articles in Brazilian Review of Finance from Brazilian Society of Finance
Bibliographic data for series maintained by Marcio Laurini ().