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- Title
Existe value premium para os fundos imobiliários brasileiros? Uma análise para o período 2013 a 2018.
- Authors
Pereira Haas, Gabriel; Jaspe Feltrin, Rafael; França Almeida, Helberte João; Simiano Nunes, Maurício
- Abstract
With a declining base interest rate in the Brazilian economy and less volatility than stocks, real estate funds became more attractive to investors. Moreover, under the lens of this appreciation, it is possible to analyze them similarly to stocks, which allows us to see them under the prism of value versus growth, in which value assets are the ones with a low market-to-book ratio, whereas growth stocks feature a high ratio. The results found show us a superior performance by the value portfolio, however this portfolio also boasts a higher risk, which can be verified by looking at its volatility and beta. As the higher return commands a higher risk, the real estate funds market is in accord with the CAPM hypothesis. Therefore, we can conclude that there is no value premium in the Brazilian real estate funds market.
- Subjects
INTEREST rates; REAL estate investment; PORTFOLIO performance; MUTUAL funds; GROWTH stocks; CAPITAL assets pricing model
- Publication
Revista Brasileira de Economia de Empresas / Brazilian Journal of Business Economics, 2021, Vol 21, Issue 1, p117
- ISSN
1676-8000
- Publication type
Article