Fundamentos teóricos e empíricos de apreçamento de ativos

Saito, Richard; de Losso da Silveira Bueno, Rodrigo

doi:10.1590/S0034-75902007000200007

RAE-CLÁSSICOS

Fundamentos teóricos e empíricos de apreçamento de ativos

Richard Saito^I; Rodrigo de Losso da Silveira Bueno^II

^IProfessor da FGV-EAESP E-mail: richard.saito@fgv.br

^IIProfessor da FGV-EAESP E-mail: rodrigo.bueno@fgv.br

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Aprovado em 12.02.2007.

BARBACHAN, J. S. F.; ORNELAS, J. R. H. Apreçamento de opções IDI usando o modelo CIR. Estudos Econômicos, v. 33, n. 2, p. 287-323, 2003.
BLACK, F.; SCHOLES, M. The pricing of options and corporate liabilities. The Journal of Political Economy, v. 81, n. 3, p. 637-654, 1973.
BODIE, Z.; KANE, A.; MARCUS, A. J. Investments 6th ed. New York: McGraw-Hill, 2005.
BONOMO, M. Finanças aplicadas ao Brasil Rio de Janeiro: FGV Editora, 2002.
COX, J. C.; INGERSOLL, J. E.; ROSS, S. A. An intertemporal general equilibrium model of asset prices. Econometrica, v. 53, n. 2, p. 363-384, 1985a.
COX, J. C.; INGERSOLL, J. E.; ROSS, S. A. A theory of the term structure of interest rates. Econometrica, v. 53, n. 2, p. 385-408, 1985b.
FAMA, E. F.; FRENCH, K. R. The capital asset pricing model: theory and evidence. Journal of Economic Perspectives, v. 18, n. 3, p. 25-46, 2004.
FAMA, E. F.; FRENCH, K. R. Common risk factors in the returns of stock and bonds. Journal of Financial Economics, v. 33, n. 1, p. 3-56, 1993.
FAMA, E. F.; MCBETH, J. D. Risk, return, and equilibrium: empirical tests. Journal of Political Economy, v. 81, n. 3, p. 607-636, 1973.
JENSEN, M. C. Capital markets: theory and evidence. Bell Journal of Economics and Management, v. 3, n. 2, p. 357-398, 1972.
HANSEN, L. P. Large sample properties of generalized method of moments estimators. Econometrica, v. 50, n. 4, p. 1029-1054, 1982.
HANSEN, L. P.; SINGLETON, K. J. Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns. Journal of Political Economy, v. 91, n. 2, p. 249-268, 1983.
HAUGEN, R. A. Modern Investment Theory 5th. ed. Upper Saddle River: Prentice Hall, 2001.
HEATH, D.; JARROW, R.; MORTON, A. Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation. Econometrica, v. 60, n. 1, p. 77-105, 1992.
HO, T. S. Y.; LEE, S.-B. Term structure movements and pricing interest rate contingent claims. The Journal of Finance, v. 41, n. 5, p. 1011-1029, 1986.
HULL, J.; WHITE, A. Pricing interest-rate derivatives securities. The Review of Financial Studies, v. 3, n. 4, p. 573-592, 1990.
LETTAU, M.; LUDVIGSON, S. Resurrecting the (C) CAPM: a cross-sectional test when risk premia are time-varying. Journal of Political Economy, v. 109, n. 6, p. 1238-1287, 2001.
LINTNER, J. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, v. 47, n. 1, p. 13-37, 1965.
LUCAS JR., R. E. Asset pricing in an exchange economy. Econometrica, v. 46, n. 6, p. 1429-45, 1978.
MARKOWITZ, H. Portfolio selection. Journal of Finance, v. 7, n. 1, p. 77-99, 1952.
MOSSIN, J. Equilibrium in capital asset market. Econometrica, v. 34, n. 4, p. 768-783, 1966.
OLIVEIRA, A. A. S. Modelos de estrutura a termo de taxa de juros: um teste empírico. Rio de Janeiro, 2003. 34 p. Dissertação (Mestrado em Economia) Escola de Pós-Graduação em Economia EPGE, Fundação Getulio Vargas.
SHARPE, W. F. Capital asset prices: a theory of market equilibrium. Journal of Finance, v. 19, n. 3, p. 425-442, 1964.
SHARPE, W. F. ET AL. Investments 3rd ed. Upper Saddle River, NJ: Prentice Hall, 1999.
YOGO, M. A consumption-based explanation of expected stock returns. The Journal of Finance, v. 61, n. 2, p. 539-580, 2006.
VASICEK, O. A. An equilibrium characterization of the term structure. Journal of Financial Economics, v. 5, n. 2, p. 177-188, nov. 1977.
VIEIRA NETO, C. A. Modelagem da estrutura a termo da taxa de juros e avaliação de contratos derivativos São Paulo, 1999. 173 p. Tese (Doutorado em Economia) FEA-USP.

Datas de Publicação

Publicação nesta coleção
01 Ago 2011
Data do Fascículo
Jun 2007

Histórico

Aceito
12 Fev 2007
Recebido
12 Fev 2007

This work is licensed under a Creative Commons Attribution 4.0 International License.

[1] BARBACHAN, J. S. F.; ORNELAS, J. R. H. Apreçamento de opções IDI usando o modelo CIR. Estudos Econômicos, v. 33, n. 2, p. 287-323, 2003.

[2] BLACK, F.; SCHOLES, M. The pricing of options and corporate liabilities. The Journal of Political Economy, v. 81, n. 3, p. 637-654, 1973.

[3] BODIE, Z.; KANE, A.; MARCUS, A. J. Investments 6th ed. New York: McGraw-Hill, 2005.

[4] BONOMO, M. Finanças aplicadas ao Brasil Rio de Janeiro: FGV Editora, 2002.

[5] COX, J. C.; INGERSOLL, J. E.; ROSS, S. A. An intertemporal general equilibrium model of asset prices. Econometrica, v. 53, n. 2, p. 363-384, 1985a.

[6] COX, J. C.; INGERSOLL, J. E.; ROSS, S. A. A theory of the term structure of interest rates. Econometrica, v. 53, n. 2, p. 385-408, 1985b.

[7] FAMA, E. F.; FRENCH, K. R. The capital asset pricing model: theory and evidence. Journal of Economic Perspectives, v. 18, n. 3, p. 25-46, 2004.

[8] FAMA, E. F.; FRENCH, K. R. Common risk factors in the returns of stock and bonds. Journal of Financial Economics, v. 33, n. 1, p. 3-56, 1993.

[9] FAMA, E. F.; MCBETH, J. D. Risk, return, and equilibrium: empirical tests. Journal of Political Economy, v. 81, n. 3, p. 607-636, 1973.

[10] JENSEN, M. C. Capital markets: theory and evidence. Bell Journal of Economics and Management, v. 3, n. 2, p. 357-398, 1972.

[11] HANSEN, L. P. Large sample properties of generalized method of moments estimators. Econometrica, v. 50, n. 4, p. 1029-1054, 1982.

[12] HANSEN, L. P.; SINGLETON, K. J. Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns. Journal of Political Economy, v. 91, n. 2, p. 249-268, 1983.

[13] HAUGEN, R. A. Modern Investment Theory 5th. ed. Upper Saddle River: Prentice Hall, 2001.

[14] HEATH, D.; JARROW, R.; MORTON, A. Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation. Econometrica, v. 60, n. 1, p. 77-105, 1992.

[15] HO, T. S. Y.; LEE, S.-B. Term structure movements and pricing interest rate contingent claims. The Journal of Finance, v. 41, n. 5, p. 1011-1029, 1986.

[16] HULL, J.; WHITE, A. Pricing interest-rate derivatives securities. The Review of Financial Studies, v. 3, n. 4, p. 573-592, 1990.

[17] LETTAU, M.; LUDVIGSON, S. Resurrecting the (C) CAPM: a cross-sectional test when risk premia are time-varying. Journal of Political Economy, v. 109, n. 6, p. 1238-1287, 2001.

[18] LINTNER, J. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, v. 47, n. 1, p. 13-37, 1965.

[19] LUCAS JR., R. E. Asset pricing in an exchange economy. Econometrica, v. 46, n. 6, p. 1429-45, 1978.

[20] MARKOWITZ, H. Portfolio selection. Journal of Finance, v. 7, n. 1, p. 77-99, 1952.

[21] MOSSIN, J. Equilibrium in capital asset market. Econometrica, v. 34, n. 4, p. 768-783, 1966.

[22] OLIVEIRA, A. A. S. Modelos de estrutura a termo de taxa de juros: um teste empírico. Rio de Janeiro, 2003. 34 p. Dissertação (Mestrado em Economia) Escola de Pós-Graduação em Economia EPGE, Fundação Getulio Vargas.

[23] SHARPE, W. F. Capital asset prices: a theory of market equilibrium. Journal of Finance, v. 19, n. 3, p. 425-442, 1964.

[24] SHARPE, W. F. ET AL. Investments 3rd ed. Upper Saddle River, NJ: Prentice Hall, 1999.

[25] YOGO, M. A consumption-based explanation of expected stock returns. The Journal of Finance, v. 61, n. 2, p. 539-580, 2006.

[26] VASICEK, O. A. An equilibrium characterization of the term structure. Journal of Financial Economics, v. 5, n. 2, p. 177-188, nov. 1977.

[27] VIEIRA NETO, C. A. Modelagem da estrutura a termo da taxa de juros e avaliação de contratos derivativos São Paulo, 1999. 173 p. Tese (Doutorado em Economia) FEA-USP.

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Fundamentos teóricos e empíricos de apreçamento de ativos

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