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

Lucena, Pierre and Figueiredo, Antonio Carlos (2008): Anomalias no Mercado no Mercado de Ações Brasileiro: uma Modificação do Modelo de Fama de Fama e French. Published in: RAC Eletrônica , Vol. 2, (2008): pp. 509-530.

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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.

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