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- Title
Estimando o Prêmio de Mercado Brasileiro.
- Authors
Junior, Walter Gonçalves; Rochman, Ricardo Ratner; Junior, William Eid; Chalela, Luciana Ribeiro
- Abstract
Risky investments assume that profits are on average higher than those obtained from risk-free assets; this difference is traditionally called an equity risk premium. Its importance is unequivocal: for investors, when deciding on being exposed to the stock market's risks; for corporation managers, in project selection and even for government agencies when regulating utility company returns and supervising pension funds. However, this applicability requires trustworthy values to be used in the models. This paper analyses estimates obtained by three different approaches covering the period of January of 1996 to December of 2008. In the historical approach, the results vary from 5% to 7% for the IBrX and FGV-100 indexes; in the prospective approach (which reflects the expected premium) the result was 3.35%; finally, in the indirect approach (by market models), negative equity premiums were found, an unexpected but significant result.
- Subjects
BRAZIL; FINANCIAL risk; PENSION trusts; ASSETS (Accounting); STOCK price indexes; CAPITAL assets pricing model; DIVIDENDS
- Publication
RAC: Revista de Administração Contemporânea, 2011, Vol 15, Issue 5, p931
- ISSN
1415-6555
- Publication type
Article