Using irregularly spaced returns to estimate multi-factor models: application to Brazilian equity data

Alvaro Veiga and Leonardo Souza

No 487, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) from EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)

Abstract: Multi-factor models constitute a useful tool to explain cross-sectional covariance in equities returns. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an empirical example with the 389 most liquid equities in the Brazilian Market. The market index shows itself significant to explain equity returns while the US$/Brazilian Real exchange rate and the Brazilian standard interest rate does not. This example shows the usefulness of the estimation method in further using the model to fill in missing values and to provide interval forecasts.

Date: 2003-06-30
New Economics Papers: this item is included in nep-fin
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Journal Article: Using Irregularly Spaced Returns to Estimate Multi-factor Models: Application to Brazilian Equity Data (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:fgv:epgewp:487

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