THE INFLUENCE OF CONDITIONS OF THE STOCK MARKET AND MONETARY POLICY ON THE BEHAVIOROF RISK INDICATORS SIZE, BOOK-TO-MARKET RATIO AND MOMENTUM, ON THE BRAZILIAN STOCK MARKET

Abstract

Last years, empirical tests of APT (Arbitrage Pricing Theory) models have been intensified on the national and international literature, mainly using firm´s characteristics to construct risk factors in addition to the market beta. The Fama-French 3-factors model and the Carhart 4-factors model are two samples intensively tested of this type of models, with evidences of relative success. On this scenario, it is important to deepen the studies of the factor´s behavior that compose these models. Following the way of international researches, the purpose of this article is to investigate the behavior of the factors: size, book-to-market ratio and momentum, on the Brazilian stock market, in conditions of i) up and down markets ii) expansive and restrictive monetary policy. The sample was composed by all stocks listed on BOVESPA, from June of 1995 to June of 2007. The methodology was the same used by Fama & French (1993) to construct the portfolios and risk factors. The results indicated that the stock market and monetary environment influence the regularities in the factor´s behavior, on the Brazilian Stock markets.

Keywords

• capm
• apt
• fatores de risco