Asset pricing analysis of book-to-market factor after deemed cost
The determination of the cost of equity is a subject extensively researched and discussed in finance, enabling the development of new related studies. In the Brazilian market, Noda, Martelanc and Kayo (2016) obtained results discordant to those found by Fama and French (1995, 1996), indicating that...
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Conselho Regional de Contabilidade de Santa Catarina
2019-10-01
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Online Access: | http://revista.crcsc.org.br/index.php/CRCSC/article/view/2781 |
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doaj-0ca421f520e24040a1fa45d6fd28d7d32020-11-24T23:51:06ZengConselho Regional de Contabilidade de Santa CatarinaRevista Catarinense da Ciência Contábil1808-37812237-76622019-10-01180e2781e278110.16930/2237-7662201927811805Asset pricing analysis of book-to-market factor after deemed costOctávio Valente Campos0Ana Carolina Vasconcelos Colares1Renata Turola Takamatsu2José Roberto de Souza Francisco3Universidade Federal de Minas GeraisUniversidade Federal de Minas GeraisUniversidade Federal de Minas GeraisUniversidade Federal de Minas GeraisThe determination of the cost of equity is a subject extensively researched and discussed in finance, enabling the development of new related studies. In the Brazilian market, Noda, Martelanc and Kayo (2016) obtained results discordant to those found by Fama and French (1995, 1996), indicating that such divergences can be explained by the high rate of inflation. Thus, the present research seeks to analyze whether after the deemed cost - as a means of resolving the effects of inflation - the returns obtained by the portfolios built on the book-to-market index (PL / VM) are statistically different from those observed by the CAPM by the Profit / Price indicator. By means of the results it was possible to conclude that the L / P index did not present itself as more effective to recognize "cheap" or "value" stocks, compared to the book-to-market index. These results are different from those found by Noda et al. (2016) and coincide with the results found by Fama and French (1995, 1996), showing that the traditional three-factor model explains the returns of the constructed portfolios based on book-to-market. Thus, it can be pointed out that the high historical inflation of the Brazilian market, in particular for firms whose assets are older, makes the accounting information of the entities less significant. However, measurements such as those carried out by deemed cost can soften the impact of inflation, granting greater representativeness to the accounting information, thus evidenced that practices such as cost attributed influence the expectations of users, as also verified by Demaria and Dufour (2007) and Cerqueira, Rezende, Dalmácio and Silva (2013).http://revista.crcsc.org.br/index.php/CRCSC/article/view/2781CAPMModelos multifatoriaisBook-to-marketCusto atribuído (deemed cost) |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Octávio Valente Campos Ana Carolina Vasconcelos Colares Renata Turola Takamatsu José Roberto de Souza Francisco |
spellingShingle |
Octávio Valente Campos Ana Carolina Vasconcelos Colares Renata Turola Takamatsu José Roberto de Souza Francisco Asset pricing analysis of book-to-market factor after deemed cost Revista Catarinense da Ciência Contábil CAPM Modelos multifatoriais Book-to-market Custo atribuído (deemed cost) |
author_facet |
Octávio Valente Campos Ana Carolina Vasconcelos Colares Renata Turola Takamatsu José Roberto de Souza Francisco |
author_sort |
Octávio Valente Campos |
title |
Asset pricing analysis of book-to-market factor after deemed cost |
title_short |
Asset pricing analysis of book-to-market factor after deemed cost |
title_full |
Asset pricing analysis of book-to-market factor after deemed cost |
title_fullStr |
Asset pricing analysis of book-to-market factor after deemed cost |
title_full_unstemmed |
Asset pricing analysis of book-to-market factor after deemed cost |
title_sort |
asset pricing analysis of book-to-market factor after deemed cost |
publisher |
Conselho Regional de Contabilidade de Santa Catarina |
series |
Revista Catarinense da Ciência Contábil |
issn |
1808-3781 2237-7662 |
publishDate |
2019-10-01 |
description |
The determination of the cost of equity is a subject extensively researched and discussed in finance, enabling the development of new related studies. In the Brazilian market, Noda, Martelanc and Kayo (2016) obtained results discordant to those found by Fama and French (1995, 1996), indicating that such divergences can be explained by the high rate of inflation. Thus, the present research seeks to analyze whether after the deemed cost - as a means of resolving the effects of inflation - the returns obtained by the portfolios built on the book-to-market index (PL / VM) are statistically different from those observed by the CAPM by the Profit / Price indicator. By means of the results it was possible to conclude that the L / P index did not present itself as more effective to recognize "cheap" or "value" stocks, compared to the book-to-market index. These results are different from those found by Noda et al. (2016) and coincide with the results found by Fama and French (1995, 1996), showing that the traditional three-factor model explains the returns of the constructed portfolios based on book-to-market. Thus, it can be pointed out that the high historical inflation of the Brazilian market, in particular for firms whose assets are older, makes the accounting information of the entities less significant. However, measurements such as those carried out by deemed cost can soften the impact of inflation, granting greater representativeness to the accounting information, thus evidenced that practices such as cost attributed influence the expectations of users, as also verified by Demaria and Dufour (2007) and Cerqueira, Rezende, Dalmácio and Silva (2013). |
topic |
CAPM Modelos multifatoriais Book-to-market Custo atribuído (deemed cost) |
url |
http://revista.crcsc.org.br/index.php/CRCSC/article/view/2781 |
work_keys_str_mv |
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