Ações e fundos de investimentos em ações: fatores de riscos comuns ?
In this article, was analyzed the capacity of valuation and forecast on the main stock investment funds in the Brazilian market, using the Capital Asset Pricing Model (CAPM), the Fama e French (1993) factor model and the Carhart (1997) four-factor model. According to the results, we have a better pe...
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| Formato: | tesis de maestría |
| Estado: | Versión publicada |
| Fecha de publicación: | 2008 |
| País: | Brasil |
| Recursos: | Universidade Federal do Ceará (UFC) |
| Repositorio: | Repositório Institucional da Universidade Federal do Ceará (UFC) |
| Idioma: | portugués |
| OAI Identifier: | oai:repositorio.ufc.br:riufc/5647 |
| Acesso em linha: | http://www.repositorio.ufc.br/handle/riufc/5647 |
| Access Level: | acceso abierto |
| Palavra-chave: | Finanças Fundos de Investimento em Ações |
| Resumo: | In this article, was analyzed the capacity of valuation and forecast on the main stock investment funds in the Brazilian market, using the Capital Asset Pricing Model (CAPM), the Fama e French (1993) factor model and the Carhart (1997) four-factor model. According to the results, we have a better performance of the CAPM vis-à-vis the factor models, even for the investment funds that over perform the market. This result can be seen as an evidence of the necessity to develop a factor model a la Fama and French, but specific for investment funds. |
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