LIQUIDEZ E VALOR NO MERCADO DE AÇÕES BRASILEIRO: MODELO DE CINCO FATORES

Abstract

Thepaper had as objective to explain the causes of discrepancies of stock’s prices from fundamental enterprises from variables analyzed by classic asset pricing models,looking for to explain the discrepancies from addition of a liquidity index. With application and modification of traditional models, has been verified the efficacy of these models in Brazil. Were formed stocks portfolios having as basis variables of return, size or market value, book-to-market and liquidity index. The analysis period was September 1995 to August 2014, with annual rebalancing of the portfolios. The theoretic contribution is a model built from data panel and including autoregressive, average media and conditional variance components building an Autoregressive Media Average/Generalized Autoregressive Conditional Heteroskedasticity – ARMA/GARCH model. Explained the discrepancies between market tendencies and value fundamentals including a liquidity index factor, formed by Principal Component Analysis, being the expected return explained from a five factors model.

Keywords:
Liquidity; Five Factors Model; ARMA/GARCH; Factorial Analysis