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- Title
Estimando o Prêmio de Mercado Brasileiro pós-crise de 2008.
- Authors
dos Santos Oliveira, Ramon Augusto; Mendes do Nascimento, Eduardo; Eugênio Coelho, Weverton
- Abstract
By presenting crucial role in various studies and financial applications, the market premium or the surplus of return, can be obtained by means of the difference between the return of the market and the return of the riskfree assets. An investor has basically two forms of investment, risky assets or assets free of risk, commonly adopted as government bonds and inflation - linked. In order for this investor to agree to allocate his assets to risky assets, that is, in order for him to accept a degree of risk, this investor will need to be rewarded, in other words, he will demand a surplus of return, called a premium of risk. Although its calculation is intuitive and relatively simple, when it is put into practice generates subjectivity in the estimation of its variables, where there is no definite way to estimate the market return as well as the return to the risk-free asset. Thus, the present study investigates the effects of different forms of Pets on the market premium as well as the use of different proxies to represent the risky assets and risk-free assets. The chosen period was from 2009 to 2015. The choice of the sample can be explained by the fact that we obtained series with great volatility during the 2008 period, which would have a strong impact on results. The results for the market premium obtained vary from -1.36% per annum to 9.40% per year in the averages approach using the Ibovespa, IBRX100 and IGC indexes as market and Selic rate and CDI assets free of risk. According to the model of Gordon, 6.31% was obtained by CDI and 6.60% by Selic. Finally, the estimation by the regression model of the panel data type provided a negative premium, something unexpected that goes against common but significant sense. There was a time dependence of the market premium in relation to the estimated period and very different results as the proxies used for variables.
- Subjects
RETURN on assets; GOVERNMENT securities; RISK premiums; PANEL analysis; REGRESSION analysis
- Publication
Revista de Contabilidade & Controladoria, 2018, Vol 10, Issue 3, p8
- ISSN
1984-6266
- Publication type
Article
- DOI
10.5380/rc&c.v10i3.56217