Estimando o Prêmio de Mercado Brasileiro
Risky investments assume that profits are on average higher than those obtained from risk-free assets; this difference is traditionally called an equity risk premium. Its importance is unequivocal: for investors, when deciding on being exposed to the stock market’s risks; for corporation managers, i...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)
2011-09-01
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| Series: | RAC: Revista de Administração Contemporânea |
| Subjects: | |
| Online Access: | http://www.anpad.org.br/periodicos/arq_pdf/a_1237.pdf |
| _version_ | 1827843204311941120 |
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| author | Luciana Ribeiro Chalela William Eid Junior Ricardo Ratner Rochman Walter Gonçalves Junior |
| author_facet | Luciana Ribeiro Chalela William Eid Junior Ricardo Ratner Rochman Walter Gonçalves Junior |
| author_sort | Luciana Ribeiro Chalela |
| collection | DOAJ |
| description | Risky investments assume that profits are on average higher than those obtained from risk-free assets; this difference is traditionally called an equity risk premium. Its importance is unequivocal: for investors, when deciding on being exposed to the stock market’s risks; for corporation managers, in project selection and even for government agencies when regulating utility company returns and supervising pension funds. However, this applicability requires trustworthy values to be used in the models. This paper analyses estimates obtained by three different approaches covering the period of January of 1996 to December of 2008. In the historical approach, the results vary from 5% to 7% for the IBrX and FGV-100 indexes; in the prospective approach (which reflects the expected premium) the result was 3.35%; finally, in the indirect approach (by market models), negative equity premiums were found, an unexpected but significant result. |
| first_indexed | 2024-03-12T08:21:24Z |
| format | Article |
| id | doaj.art-15a74cb2bdf64d40999bee0e3f500a10 |
| institution | Directory Open Access Journal |
| issn | 1415-6555 1982-7849 |
| language | English |
| last_indexed | 2024-03-12T08:21:24Z |
| publishDate | 2011-09-01 |
| publisher | Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD) |
| record_format | Article |
| series | RAC: Revista de Administração Contemporânea |
| spelling | doaj.art-15a74cb2bdf64d40999bee0e3f500a102023-09-02T18:22:19ZengAssociação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)RAC: Revista de Administração Contemporânea1415-65551982-78492011-09-01155931954Estimando o Prêmio de Mercado BrasileiroLuciana Ribeiro ChalelaWilliam Eid JuniorRicardo Ratner RochmanWalter Gonçalves JuniorRisky investments assume that profits are on average higher than those obtained from risk-free assets; this difference is traditionally called an equity risk premium. Its importance is unequivocal: for investors, when deciding on being exposed to the stock market’s risks; for corporation managers, in project selection and even for government agencies when regulating utility company returns and supervising pension funds. However, this applicability requires trustworthy values to be used in the models. This paper analyses estimates obtained by three different approaches covering the period of January of 1996 to December of 2008. In the historical approach, the results vary from 5% to 7% for the IBrX and FGV-100 indexes; in the prospective approach (which reflects the expected premium) the result was 3.35%; finally, in the indirect approach (by market models), negative equity premiums were found, an unexpected but significant result.http://www.anpad.org.br/periodicos/arq_pdf/a_1237.pdfmarket premiumrisk premiumindexesdividendsCAPM. |
| spellingShingle | Luciana Ribeiro Chalela William Eid Junior Ricardo Ratner Rochman Walter Gonçalves Junior Estimando o Prêmio de Mercado Brasileiro RAC: Revista de Administração Contemporânea market premium risk premium indexes dividends CAPM. |
| title | Estimando o Prêmio de Mercado Brasileiro |
| title_full | Estimando o Prêmio de Mercado Brasileiro |
| title_fullStr | Estimando o Prêmio de Mercado Brasileiro |
| title_full_unstemmed | Estimando o Prêmio de Mercado Brasileiro |
| title_short | Estimando o Prêmio de Mercado Brasileiro |
| title_sort | estimando o premio de mercado brasileiro |
| topic | market premium risk premium indexes dividends CAPM. |
| url | http://www.anpad.org.br/periodicos/arq_pdf/a_1237.pdf |
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