A contribuição dos Modelos de Avaliação para a previsão do retorno dos títulos finançeiros de empresa do PSI20 - Análise Comparativa entre Capital Asset Pricing Model e Arbitrage Pricing Theory

O crescimento económico de um país depende dos fundos disponíveis, quer para o financiamento da formação de capital quer para a sua reposição. Fundos obtidos pelas empresas e organismos públicos através de diversas formas, entre as quais, se destaca a emissão de valores mobiliários. Os aforradores, detentores de recursos, ao comprarem valores mobiliários, aliam uma alta rentabilidade a uma elevada liquidez na remuneração dos seus investimentos. As bolsas de valores são o meio onde as empresas, os organismos públicos e os aforradores, têm a possibilidade de verem esses interesses conciliados de uma maneira eficiente, eficaz e transparente, garantindo assim, uma maior liquidez aos títulos financeiros transaccionados em bolsa de valores. As empresas possuem várias alternativas de financiamento, o mercado de capitais é considerado pelos gestores, a fonte onde o rendimento ou o retorno obtido pode ser maior, perante a contrapartida de se incorrer um maior risco. Este mercado surge como alternativa aos empréstimos bancários, as empresas podem, dessa forma, adquirir financiamento de terceiros, os quais se tornarão accionistas dessa empresa. Podem emitir novas acções no mercado accionista de forma a atrair investidores externos que garantam a sustentabilidade do negócio. As acções possuem diversas caracteristicas e modalidades e fazem com que o capital da empresa seja partilhado por todos os seus accionistas, tendo em conta a proporção por eles adquirida individualmente. Esta dissertação investiga a dinâmica de compra e de venda das acções no mercado bolsista, os factores que determinam o seu preço, assim como os modelos que permitem a avaliação das mesmas e a inferência da taxa de retorno esperada por um investidor. A avaliação das acções é o tema de maior importância para esta análise, mais concretamente, a determinação e previsão do preço, e não apenas o preço propriamente dito, pois este é facultado diáriamente por vários jornais e também na internet. Perante o estudo da determinação de preços de uma acção num horizonte temporal, um investidor pode inferir se as suas acções estão a ser avaliadas sob um preço justo, e mais importante, pode apurar a sua previsão consoante dados e análises de factores. Outro ponto importante abordado nesta investigação tem que ver com a possibilidade das empresas em conhecer o modo como o mercado faz a sua avaliação a fim de tomar decisões certas acerca do orçamento de capital. Apenas se deve julgar a atractividade de um negócio se se souber como são avaliadas as acções. Nos mercados financeiros existe a tendência, por parte dos agentes económicos, de relacionarem o preço com o valor dos títulos financeiros. As decisões para a transacção de títulos financeiros são tomadas segundo a sua comparação. O preço ou cotação de mercado é formado em mercados organizados, pelo que depende das regras de funcionamento do mercado, tais como, os mínimos para transacção ou a variação máxima e mínima permitida. Estão associados a uma transação dependendo assim da procura e oferta dos títulos e incorporam ainda os custos de transacção. A ideia subjacente ao modelo Capital Asset Pricing Model é a de que, os investidores esperam uma recompensa pela preocupação dos investimentos realizados com risco ou com um retorno incerto. Quando se investe em títulos com risco, espera-se um retorno extra (comparando com os Bilhetes do Tesouro sem risco, recebe-se apenas os juros) ou um prémio de risco pela preocupação. A incerteza no retorno dos títulos provem de duas fontes, nomeadamente os factores macroeconómicos, pode-se chamar também, um factor comum, e os factores específicos inerentes à actividade da empresa. O facto comum é assumido como tendo um valor esperado zero pois é medido por nova informação respeitante à macroeconomia. O modelo assume duas ideias fundamentais: em primeiro lugar, existe consenso em relação ao facto dos investidores exigirem um retorno adicional por correrem riscos, e em segundo lugar, os investidores preocupam-se geralmente com o risco de mercado geral que não pode ser eliminado através de diversificação da carteira de investimentos. Este modelo pode ser bastante eficaz pois apenas considera um único factor para o cálculo da rendibilidade esperada de um título financeiro, que é a volatilidade do mercado no geral, a qual pode ser estudada. Ao contrário dos modelos multifactoriais, que incluem vários factores macroeconómicos tornando o objectivo da análise pouco intuitivo e complexo. Existem vários modelos para avaliação dos títulos de uma empresa cotada em bolsa de valores, geralmente estes modelos utilizam taxas de juro sem risco para equilibrar carteiras diversificadas, embora seja necessário analisar o retorno de um título ou carteira sob a influência de diversas variáveis macroeconómicas. Por exemplo outro modelo aplicado neste dissertação é o modelo Arbitrage Pricing Theory que perante o seu resultado comparado com o primeiro modelo, se pode definir qual dos modelos tem uma aplicação mais conclusiva para o mercado accionista português. Este modelo de avaliação por arbitragem estabelece uma relação linear entre o excedente do retorno esperado dos activos face à taxa de juro certa (sem risco) e um conjunto de variáveis. Pressupõe que a taxa de rentabilidade de um activo com risco é uma função linear de um conjunto de factores comuns a todos os activos financeiros. Tem como ideia subjacente, a constituição de uma carteira de não arbitragem, ou seja, uma carteira que não envolve qualquer risco (sistemático ou específico) e não requer investimento inicial pois a venda de certos activos gera fundos para adquirir novos. A metodologia implementada abrange o mercado financeiro e modelos possíveis para esta questão. Para responder às hipóteses de investigação efectuou-se a aplicação efectiva do modelo CAPM e do modelo APT, com a captação de dados oficiais em instituições financeiras e na Bolsa de Valores NYSE Euronext Lisbon. Considerou-se um período temporal num passado próximo de forma a poder obter-se conclusões concretas e indicadores precisos para a sua implementação e desenvolvimento no futuro. A principal conclusão desta dissertação relaciona-se com o facto de não se verificar a total validação da aplicação dos modelos, contudo o modelo CAPM é mais conclusivo do que o modelo APT, pois pode-se afirmar que tem aplicação prática em empresas que se conheça à priori a sua capitalização bolsista e beta anual. Por exemplo, aos títulos financeiros de empresas com capitalizações bolsistas inferiores a cinco mil milhões de euros e com um beta anual inferior a 1 poderá aplicar-se o modelo, assim como a títulos de empresas com capitalizações bolsistas superiores a dez mil milhões de euros e beta anual superior 1,5. Os sectores da Banca e do Papel também poderão ter potencial de aplicação do modelo.

Size and book to market effects and the Fama French three factor asset pricing model: Evidence from the Australian stockmarket

The present study adds to the sparse published Australian literature on the size effect, the book to market (BM) effect and the ability of the Fama French three factor model to account for these effects and to improve on the asset pricing ability of the Capital Asset Pricing Model (CAPM). The present study extends the 1981–1991 period examined by Halliwell, Heaney and Sawicki (1999) a further 10 years to 2000 and addresses several limitations and findings of that research. In contrast to Halliwell, Heaney and Sawicki the current study finds the three factor model provides significantly improved explanatory power over the CAPM, and evidence that the BM factor plays a role in asset pricing.

Wealth effects of mergers and acquisitions for US firms: using alternative pricing models

This empirical study employs a different methodology to examine the change in wealth associated with mergers and acquisitions (M&As) for US firms. Specifically, we employ the standard CAPM, the Fama-French three-factor model and the Carhart four-factor models within the OLS and GJR-GARCH estimation methods to test the behaviour of the cumulative abnormal returns (CARs). Whilst the standard CAPM captures the variability of stock returns with the overall market, the Fama-French factors capture the risk factors that are important to investors. Additionally, augmenting the Fama-French three-factor model with the Carhart momentum factor to generate the four-factor captures additional pricing elements that may affect stock returns. Traditionally, estimates of abnormal returns (ARs) in M&As situations rely on the standard OLS estimation method. However, the standard OLS will provide inefficient estimates of the ARs if the data contain ARCH and asymmetric effects. To minimise this problem of estimation efficiency we re-estimated the ARs using GJR-GARCH estimation method. We find that there is variation in the results both as regards the choice models and estimation methods. Besides these variations in the estimated models and the choice of estimation methods, we also tested whether the ARs are affected by the degree of liquidity of the stocks and the size of the firm. We document significant positive post-announcement cumulative ARs (CARs) for target firm shareholders under both the OLS and GJR-GARCH methods across all three methodologies. However, post-event CARs for acquiring firm shareholders were insignificant for both sets of estimation methods under the three methodologies. The GJR-GARCH method seems to generate larger CARs than those of the OLS method. Using both market capitalization and trading volume as a measure of liquidity and the size of the firm, we observed strong return continuations in the medium firms relative to small and large firms for target shareholders. We consistently observed market efficiency in small and large firm. This implies that target firms for small and large firms overreact to new information resulting in a more efficient market. For acquirer firms, our measure of liquidity captures strong return continuations for small firms under the OLS estimates for both CAPM and Fama-French three-factor models, whilst under the GJR-GARCH estimates only for Carhart model. Post-announcement bootstrapping simulated CARs confirmed our earlier results.

A pénzügyi eszközök árazásának alaptétele, lokálisan korlátos szemimartingál árfolyamok esetén (The fundamental theorem of asset pricing for locally bounded semimartingales)

A pénzügyi eszközök árazásának alaptétele - kissé pongyolán megfogalmazva - azt állítja, hogy egy értékpapírpiacon akkor nincs arbitrázs, ha létezik egy az eredetivel ekvivalens valószínűségi mérték, amelyre vonatkozóan az értékpapírok árait leíró folyamat egy bizonyos értelemben "martingál". Az első ilyen jellegű állítást M. Harrison és S. R. Pliska bizonyították arra esetre, amikor a valószínűségi mező végesen generált. Azóta a tételnek számos általánosítása született. Ezek közül az egyik legismertebb a Dalang{Morton{ Willinger-tétel, ami már teljesen általános valószínűségi mezőből indul ki, de felteszi, hogy az időparaméter diszkrét, és az időhorizont véges. Időközben a tételnek számos folytonos időparaméterű folyamatokra vonatkozó változata is született. Az alaptételt általános esetben, vagyis amikor valószínűségi mező teljesen általános, és az értékpapírok piaci árait leíró folyamat lokálisan korlátos szemimartingál, Delbaen és W. Schachermayer bizonyították be. A Delbaen{Schachermayer-féle alaptétel a maga nemében egy igen általános áll ítás. A tétel bizonyítása igen hosszadalmas, és a funkcionálanalízis valamint a sztochasztikus folyamatok általános elméletének mély eredményeit használja. Utóbbi tudományterület nagy részét P. A. Meyer és a francia strassbourgi iskola matematikusai dolgozták ki a 60-as évek végétől kezdve. A terület megértését tehát alaposan megnehezíti, hogy a felhasznált matematikai apparátus viszonylag friss, egy része pedig csak francia nyelven érhető el. Meggyőződésünk szerint az eredeti, 1994-es Delbaen és Schachermayer-féle bizonyítás csak kevesek által hozzáférhető. A tételnek tudomásunk szerint azóta sem született tankönyvi feldolgozása, annak ellenére, hogy maga az állítás közgazdász körökben is széles körben ismerté vált, és az eredeti cikket számos szerző idézi. Az itt bemutatott bizonyítás Delbaen és Schachermayer 1992 és 2006 közötti írásain alapul. ______ The Delbaen and Schachermayer's theorem is one of the deepest results of mathematical finance. In this article we tried to rethink and slightly simplify the original proof of the theorem to make understandable for nonspecialists who are familiar with general theory of stochastic processes. We give a detailed proof of the theorem and we give new proofs for some of the used statements.

Az eszközárazás második alaptétele (The second fundamental theorem of asset pricing)

A dolgozatban röviden bemutatjuk az eszközárazás második alaptételét. A bizonyítás során felhasználjuk a Dalang-Morton-Wilinger tétel bizonyításában használt állításokat. ______ In the article we summarize the results about the second fundamental theorem of asset pricing.

Liquidity, governance and adverse selection in asset pricing

A plethora of recent literature on asset pricing provides plenty of empirical evidence on the importance of liquidity, governance and adverse selection of equity on pricing of assets together with more traditional factors such as market beta and the Fama-French factors. However, literature has usually stressed that these factors are priced individually. In this dissertation we argue that these factors may be related to each other, hence not only individual but also joint tests of their significance is called for. ^ In the three related essays, we examine the liquidity premium in the context of the finer three-digit SIC industry classification, joint importance of liquidity and governance factors as well as governance and adverse selection. Recent studies by Core, Guay and Rusticus (2006) and Ben-Rephael, Kadan and Wohl (2010) find that governance and liquidity premiums are dwindling in the last few years. One reason could be that liquidity is very unevenly distributed across industries. This could affect the interpretation of prior liquidity studies. Thus, in the first chapter we analyze the relation of industry clustering and liquidity risk following a finer industry classification suggested by Johnson, Moorman and Sorescu (2009). In the second chapter, we examine the dwindling influence of the governance factor if taken simultaneously with liquidity. We argue that this happens since governance characteristics are potentially a proxy for information asymmetry that may be better captured by market liquidity of a company's shares. Hence, we jointly examine both the factors, namely, governance and liquidity - in a series of standard asset pricing tests. Our results reconfirm the importance of governance and liquidity in explaining stock returns thus independently corroborating the findings of Amihud (2002) and Gompers, Ishii and Metrick (2003). Moreover, governance is not subsumed by liquidity. Lastly, we analyze the relation of governance and adverse selection, and again corroborate previous findings of a priced governance factor. Furthermore, we ascertain the importance of microstructure measures in asset pricing by employing Huang and Stoll's (1997) method to extract an adverse selection variable and finding evidence for its explanatory power in four-factor regressions.^

Three Essays in Empirical Asset Pricing

The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed to be promptly removed via the actions of profit seeking arbitrageurs. These extreme events motivate the three essays in this work. The first essay seeks and fails to find evidence of investor behavior consistent with the broad 'Too Big To Fail' policies enacted during the crisis by government agents. Only in limited circumstances, where government guarantees such as deposit insurance or U.S. Treasury lending lines already existed, did investors impart a premium to the debt security prices of firms under stress. The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as the very large positive values it reached in the fourth quarter of 2008 after Lehman Brothers went bankrupt. It concludes that the IIS Basis continues to exist due to limitations in market liquidity and hedging alternatives. The third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size.

Liquidity, Governance and Adverse Selection in Asset Pricing

A plethora of recent literature on asset pricing provides plenty of empirical evidence on the importance of liquidity, governance and adverse selection of equity on pricing of assets together with more traditional factors such as market beta and the Fama-French factors. However, literature has usually stressed that these factors are priced individually. In this dissertation we argue that these factors may be related to each other, hence not only individual but also joint tests of their significance is called for. In the three related essays, we examine the liquidity premium in the context of the finer three-digit SIC industry classification, joint importance of liquidity and governance factors as well as governance and adverse selection. Recent studies by Core, Guay and Rusticus (2006) and Ben-Rephael, Kadan and Wohl (2010) find that governance and liquidity premiums are dwindling in the last few years. One reason could be that liquidity is very unevenly distributed across industries. This could affect the interpretation of prior liquidity studies. Thus, in the first chapter we analyze the relation of industry clustering and liquidity risk following a finer industry classification suggested by Johnson, Moorman and Sorescu (2009). In the second chapter, we examine the dwindling influence of the governance factor if taken simultaneously with liquidity. We argue that this happens since governance characteristics are potentially a proxy for information asymmetry that may be better captured by market liquidity of a company’s shares. Hence, we jointly examine both the factors, namely, governance and liquidity – in a series of standard asset pricing tests. Our results reconfirm the importance of governance and liquidity in explaining stock returns thus independently corroborating the findings of Amihud (2002) and Gompers, Ishii and Metrick (2003). Moreover, governance is not subsumed by liquidity. Lastly, we analyze the relation of governance and adverse selection, and again corroborate previous findings of a priced governance factor. Furthermore, we ascertain the importance of microstructure measures in asset pricing by employing Huang and Stoll’s (1997) method to extract an adverse selection variable and finding evidence for its explanatory power in four-factor regressions.

Essays on asset pricing

The first chapter provides evidence that aggregate Research and Development (R&D) investment drives a persistent component in productivity growth and that this embodies a risk priced in financial markets. In a semi-endogenous growth model, this component is identified by the R&D in excess of equilibrium levels and can be approximated by the Error Correction Term in the cointegration between R&D and Total Factor Productivity. Empirically, the component results being well defined and it satisfies all key theoretical predictions: it exhibits appropriate persistency, it forecasts productivity growth, and it is associated with a cross-sectional risk premium. CAPM is the most foundational model in financial economics, but is known to empirically underestimate expected returns of low-risk assets and overestimate those with high risk. The second chapter studies how risks omission and funding tightness jointly contribute to explaining this anomaly, with the former affecting the definition of assets’ riskiness and the latter affecting how risk is remunerated. Theoretically, the two effects are shown to counteract each other. Empirically, the spread related to binding leverage constraints is found to be significant at 2% yearly. Nonetheless, average returns of portfolios that exploit this anomaly are found to mostly reflect omitted risks, in contrast to their employment in previous literature. The third chapter studies how ‘sustainability’ of assets affect discount rates, which is intrinsically mediated by the risk profile of the assets themselves. This has implications for the assessment of the sustainability-related spread and for hedging changes in the sustainability concern. This mechanism is tested on the ESG-score dimension for US data, with inconclusive evidence regarding the existence of an ESG-related premium in the first place. Also, the risk profile of the long-short ESG portfolio is not likely to impact the sign of its average returns with respect to the sustainability-spread, for the time being.

The impact of family control on firm's return

Family firm is a field of growing interest. The aim of this article is to understand whether CEOs identity impacts family firm’s stock returns. From a sample of Portuguese and Spanish family firms findings show that who manages the firms result in significantly different risk exposure. Moreover, we find that the abnormal return found by Fahlenbrach (2009) to founder-controlled firms disappear when we use valueweighted portfolios and include two new factors: market aggregate illiquidity and debt intensity to the four-factor Carhart model. Finally, our results explain why the majority of family firm is controlled by its founder.

Understanding portfolio efficiency with conditioning information

We show that unconditionally efficient returns do not achieve the maximum unconditionalSharpe ratio, neither display zero unconditional Jensen s alphas, when returns arepredictable. Next, we define a new type of efficient returns that is characterized by thoseunconditional properties. We also study a different type of efficient returns that is rationalizedby standard mean-variance preferences and motivates new Sharpe ratios and Jensen salphas. We revisit the testable implications of asset pricing models from the perspective ofthe three sets of efficient returns. We also revisit the empirical evidence on the conditionalvariants of the CAPM and the Fama-French model from a portfolio perspective.

Flexible multivariate GARCH modeling with an application to international stock markets

The goal of this paper is to estimate time-varying covariance matrices.Since the covariance matrix of financial returns is known to changethrough time and is an essential ingredient in risk measurement, portfolioselection, and tests of asset pricing models, this is a very importantproblem in practice. Our model of choice is the Diagonal-Vech version ofthe Multivariate GARCH(1,1) model. The problem is that the estimation ofthe general Diagonal-Vech model model is numerically infeasible indimensions higher than 5. The common approach is to estimate more restrictive models which are tractable but may not conform to the data. Our contributionis to propose an alternative estimation method that is numerically feasible,produces positive semi-definite conditional covariance matrices, and doesnot impose unrealistic a priori restrictions. We provide an empiricalapplication in the context of international stock markets, comparing thenew estimator to a number of existing ones.

Reflexivity in sovereign debt markets

Finanssi-instrumentin hinta määräytyy sen fundamenttitekijöiden perusteella, eikä päinvastoin. Tämä tutkimus osoittaa, että myös instrumentin hinta voi vaikuttaa fundamenttitekijöihin. Yhteys havainnollistetaan tapaustukimuksella Kreikan velkakriisistä. Hinnan ja fundamenttien välistä yhteyttä arvioidaan ja käänteisen kausaliteetin olemassaolo testataan. Tulokset tukevat ajatusta, jonka mukaan tarvitsemme dynaamisempia valuaatiomenetelmiä, jotka ottavat huomioon myös mahdolliset itseään vahvistavat hintakierteet.