Betting against beta para os mercados acionários da América Latina
DOI:
https://doi.org/10.53660/PRW-1686-3312Palavras-chave:
Bettng Against Beta, Mercados Acionários, América LatinaResumo
Estudos recentes sobre a eficiência do CAPM para prever retornos foram questionados por vários acadêmicos e umas das constatações foi que a inclinação da curva do SML na prática é menor do que o resultado teórico do CAPM. Isto implica em um portfólio comprado em ações de beta defensivo e vendido em ações de beta alavancado gerando retornos positivos. Os pesquisadores Frazzini e Pedersen (2013) acharam evidências disto por meio do modelo fatorial Betting against Beta (BAB), no qual eles aplicaram esta modelagem para 20 mercados internacionais de ações, mercados de títulos americanos de renda fixa e de crédito. O objetivo desta pesquisa é estender este estudo para os mercados acionários da América Latina como Brasil, México e Chile. O resultado obtido deste estudo mostra que os portfólios com beta maior apresentam alfas e índices de Sharpe menores quando comparados aos portfólios de beta menor, portanto resultados diferentes do modelo BAB para os mercados acionários internacionais.
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