NDLI: The Cross-Section of Expected Stock Returns in Brazil

Content Provider	Scilit
Author	Varga, Gyorgy Brito, Ricardo Dias
Copyright Year	2016
Description	Journal: SSRN Electronic Journal In a sample of the Brazilian stock market from 1999 to 2015, this paper shows that the book-to-market and momentum of individual firms capture some of the cross-sectional variation in average stock returns, while the market β and size do not play a role. The positive relation of cross-section of returns with book-to-market is more evident earlier, while the positive relation with momentum is stronger later in the sample. However, because none of these characteristics show explanatory power for all the subsamples studied, we are not fully convinced that they capture fundamental risk factors.
Related Links	http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/download/60916/60796 https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2800229
ISSN	10914358
e-ISSN	15565068
DOI	10.2139/ssrn.2800229
Journal	SSRN Electronic Journal
Language	English
Publisher	Elsevier BV
Publisher Date	2016-04-18
Access Restriction	Open
Subject Keyword	Journal: SSRN Electronic Journal Momentum and Size Characteristics
Content Type	Text
Resource Type	Article
Subject	Public Health, Environmental and Occupational Health Psychiatry and Mental Health

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