The addition of the moment risk factor for three factors asset pricing model, developed by Fama French, applied to the Brazilian stock market/A adicao do fator de risco momento ao modelo de precificacao de ativos dos tres fatores de Fama French aplicado ao mercado acionario Brasileiro

• Published in: Revista de gestão 2012-07, Vol.19 (3), p.447
• Main Authors: Mussa, Adriano, Fama, Rubens, Santos, Jose Odalio dos
• Format: Article
• Language: Spanish
• ISSN: 1809-2276
• DOI: 10.5700/rege433

The objective of this article is to investigate the validity of the "four factors assets pricing model "in the Brazilian stock market. This model is defined by the addition of the risk moment factor to the famous three factors developed by Fama and French. Therefore, the four factors are: the market, as indicated by Capital Asset Pricing Model (CAPM); the size of the enterprise, defined by the value of its net equity; the Book-to-Market rate (defined by the relation between the book value and market value); and the Moment, that is defined by the stocks valorization within a certain period of time. During this investigation it has utilized the same methodology adopted by Fama and French (1993). Such survey focused on the shares traded through the Sao Paulo Stock Exchange (BOVESPA) between 1995 and 2006. The signification of each factor was tested using to statistic T of Student. The model effectiveness was tested through coefficients of determination R2 analysis of regressions timing. The research results proof that this model is applicable to the Brazilian Stock Market, being superior to the Three Factors Model, and also to CAPM, while explaining the gains of the sampled shares. The relevance of each factor of risk varied in accordance with the characteristics of each portfolio.