期刊名称：International Journal of Advances in Management and Economics
印刷版ISSN：2278-3369
出版年度：2014
卷号：3
期号：4
出版社：International Journal of Advances in Management and Economics
摘要：The goal of this paper is to estimate and compare three alternative estimating models for predicting asset returns in Brazil and in the United States: 1) Sharpe-Lintner-Mossin CAPM model; 2) Fama and French three-factor model; 3) Reward Beta Model. In accordance with the Fama and French’s (1993) and Bornholt’s (2007) methodologies, the tests were carried out on portfolios and applied in two sub-samples of Brazilian and American stocks: the within-sample (1995:07 to 2007:06 in Brazil and 1967:07 to 2007:06 in the United States) and the out-of-sample (2007:07 to 2013:06 in Brazil and in the United States). The results of this study reinforce current perception that the CAPM and the three-factor model fall short to elucidate future returns in both countries. Our results also provide evidence that there is a systematic relationship between the Reward Betas and the excess return of the securities in Brazil and in the United States. Furthermore, the inclusion of the size and book-to-market factors amplifies the explanatory power of the Reward Beta Approach.
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