Pricing uncertainty in the Brazilian stock market: do size and sustainability matter?

Cristiane Gea (), Marcelo Cabus Klotzle (), Luciano Vereda () and Antonio Carlos Figueiredo Pinto ()
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Cristiane Gea: Universidade Federal Fluminense (UFF)
Marcelo Cabus Klotzle: Pontifical Catholic University of Rio de Janeiro
Luciano Vereda: Universidade Federal Fluminense (UFF)
Antonio Carlos Figueiredo Pinto: Pontifical Catholic University of Rio de Janeiro
Authors registered in the RePEc Author Service: Luciano Vereda Oliveira

SN Business & Economics, 2023, vol. 3, issue 1, 1-37

Abstract: Abstract This article analyzes the pricing of innovations in the Brazilian stock market during periods of economic uncertainty. Cross-sectional data were analyzed using the generalized method of moments technique, and our findings indicate that during such periods, innovations negatively impact excess stock returns. Furthermore, our findings suggest that innovations during economic uncertainty improve the pricing of financial assets, making them a significant risk factor. These results are corroborated by those for the Corporate Sustainability Index and the Small Caps Index in the robustness analysis.

Keywords: Economic policy uncertainty; Policy uncertainty; Stock market; Finance; CCAPM; Asset pricing (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s43546-022-00400-5

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