Macroeconomic factors and value and growth strategies: evidence from Brazil

Carlos Enrique Carrasco Gutierrez and Iasmin Emillyn Peixoto Messias
Authors registered in the RePEc Author Service: Carlos Enrique Carrasco-Gutierrez

MPRA Paper from University Library of Munich, Germany

Abstract: In this work we apply the arbitrage pricing theory (APT) model to study the effects of macroeconomic variables on investment strategies involving value and growth stocks listed on the Brazilian Stock Exchange (B3). To build and order the portfolios, we use four fundamental market indicators that permit identifying value and growth stocks. The macroeconomic variables used are real GDP, exchange rate, unemployment rate, money supply (M1), interest rate and consumer confidence index. The principal results are that growth strategies during the period studied were mainly influenced by unemployment, inflation and exchange while value strategies were preponderantly affected by GDP. In relation to the market risk factor, it was statistically significant for all the value and growth portfolios, and in general the market betas of the values stocks were greater than those of the growth stocks.

Keywords: value strategies; growth strategies; financial returns; APT; macroeconomic variables (search for similar items in EconPapers)
JEL-codes: G1 G12 (search for similar items in EconPapers)
Date: 2022-01-01
New Economics Papers: this item is included in nep-fdg
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