Anomalias no Mercado no Mercado de Ações Brasileiro: uma Modificação do Modelo de Fama de Fama e French

Anomalies on the Brazilian Stock Market: a Modification of the Fama and French Model

Pierre Lucena and Antonio Carlos Figueiredo
Authors registered in the RePEc Author Service: Pierre Lucena

MPRA Paper from University Library of Munich, Germany

Abstract: The aim of this paper is to present and to test a modification in the traditional Fama and French Multifactor Model (1996), from the necessities of adaptation for the Brazilian case. This model takes into consideration two anomalies, which have to be added to the CAPM Model: size and book-to-market. We made here an application with the results presented for the 205 stocks negotiated on BOVESPA (Brazilian Stock Market), and we also made a modification on the original model from the verification of the problems with the assumptions that need some corrections. Then, we incorporated some parameters of the ARCH and GARCH Models. The results demonstrate that the heteroscedasticity autoregressive models can be used to improve the original Fama and French Model when applied to the Brazilian market. The conclusion of the paper also indicated that the modifications of the model present statistically significant results, in the majority of cases, corroborating what was suggested by the tests.

Keywords: Fama and French model; emerging markets; BOVESPA; ARCH model; market efficiency (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2008-09
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