Stock Return Predictability at Bovespa: a Test Involving the Expected Return Factor Model

Stock Return Predictability at Bovespa: a Test Involving the Expected Return Factor Model

This paper examines the hypothesis of asst return predictability in the Brazilian Stock Market (Bovespa). Evidence suggests that seven factors explain most of the monthly differential returns of the stocks included in the sample. Within the factors that present statistically significant mean, two ar...

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Bibliographic Details
Main Authors: Gilberto de Oliveira Kloeckner, João Luiz Becker, Luciano Martin Rostagno
Format: Article
Language:English
Published: Brazilian Society of Finance 2004-12-01
Series:Revista Brasileira de Finanças
Subjects:
market efficiency
return predictability
financial markets
Online Access:http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1141

Internet

http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1141

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