ARTÍCULO
TITULO

The Cross-Section of Expected Stock Returns in Brazil

Gyorgy Varga    
Ricardo Dias de Oliveira Brito    

Resumen

In a sample of the Brazilian stock market from 1999 to 2015, this paper shows that the book-to-market and momentum of individual firms capture some of the cross-sectional variation in average stock returns, while the market ß and size do not play a role. The positive relation of cross-section of returns with book-to-market is more evident earlier, while the positive relation with momentum is stronger later in the sample. However, because none of these characteristics show explanatory power for all the subsamples studied, we are not fully convinced that they capture fundamental risk factors.

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