O value premium e o risco-país: um estudo comparativo dos principais mercados da América Latina

Abstract

Asset pricing is a theme widely explored in the financial literature. Nevertheless, the phenomenon of value premium remains controversial, since, although easily detected in developed and emerging markets, little is actually known about the effective economic forces that explain its existence. In this context, this paper proposes to identify the value premium in major Latin American markets, as well as to verify if the macroeconomic variable country risk could be considered an additional risk factor for conditional returns in the region. We then propose a model of five factors that consists of adding to the model of Carhart (1997) a country risk factor. The statistical procedure adopted was that of Fama and French (1993) for the period between 1994 and 2012, using data from non-financial companies listed on the stock exchanges in countries studied: Argentina, Brazil, Chile, Colombia, Mexico and Venezuela. We confirmed the existence of the value premium in four of the six markets studied: Argentina, Brazil, Chile and Venezuela. In only one of them - Brazil the country risk and the value premium were presented together as significant factors in explaining conditional returns, ie, explanatory variables that capture different effects.With regard to the two countries for which the existence of the value premium was not confirmed, the five factor model was presented as the most suitable to explain the average returns of the portfolios only in the Mexican case. With regard to Colombia and Venezuela, it should be borne in mind that the results relate to the behavior of specific companies and may not reflect a market behavior. After all, the size of these two markets has limited the number of shares that formed the analyzed portfolios.