Dissecting Anomalies with the Five-factor Model for the Brazilian Stock Market/Dissecando Anomalias com o Modelo de Cinco Fatores para Mercado Acionario Brasileiro

• Published in: Revista Brasileira de Financas Vol. 16; no. 1; p. 81
• Main Authors: Garcia, Alexandre Schwinden, Santos, Andre Alves Portela
• Format: Journal Article
• Language: Portuguese
• Published: Sociedade Brasileira de Financas 01.01.2018

This article estimates for the Brazilian market the multifactor pricing model proposed by Fama and French (2015, 2016) and provides a detail of five anomalies: beta, net share issues, momentum, volatility and accruals. The results indicate that the inclusion of the profitability factor proposed in F...