Fatores de risco macroeconômicos e os retornos das ações

Abstract

This work evaluates if exchange rate and interest are relevant risk factors in explaining stock returns. The empirical analysis is conducted with a sample of shares of Brazilian companies traded at BOVESPA, between 2001 and 2018. The risk factors considered are represented by arbitrage portfolios purchased in shares that are exposed to the factors and sold in neutral stocks. Exposure to risk factors is assessed by the partial correlation of the returns of test portfolios with the returns of these arbitrage portfolios. To evaluate the relevance of proposed risk factors for stock pricing, firstly I estimate these partial correlations (betas). In a second stage, I evaluate whether there is a relationship between these coefficients (betas) and the expected returns in the cross section of test portfolios. The results show that foreign exchange and interest are relevant risk factors in explaining stock returns in Brazil. We also conclude that, in general, the model proposed from macroeconomic risk factors in this work is more explanatory for the Brazilian stock returns than the CAPM and Fama & French 3 Factor model. However, the Carhart 4 Factor model was the most explanatory among all, due to the risk factor (WML). The model proposed here, however, is more parcimoniious (one fator less), and based on finance theory, not in empirical anomalies.