The influence of the 2008 financial crisis on the predictiveness of risky asset pricing models in Brazil

ABSTRACT This article examines three models for pricing risky assets, the capital asset pricing model (CAPM) from Sharpe and Lintner, the three factor model from Fama and French, and the four factor model from Carhart, in the Brazilian mark et for the period from 2002 to 2013. The data is composed of shares traded on the São Paulo Stock, Commodities, and Futures Exchange (BM&FBOVESPA) on a monthly basis, excluding financial sector shares, those with negative net equity, and those without consecutive monthly quotations. The proxy for market return is the Brazil Index (IBrX) and for riskless assets savings accounts are used. The 2008 crisis, an event of immense proportions and market losses, may have caused alterations in the relationship structure of risky assets, causing changes in pricing model results. Division of the total period into pre-crisis and post-crisis sub-periods is the strategy used in order to achieve the main objective: to analyze the effects of the crisis on asset pricing model results and their predictive power. It is verified that the factors considered are relevant in the Brazilian market in both periods, but between the periods, changes occur in the statistical relevance of sensitivities to the market premium and to the value factor. Moreover, the predictive ability of the pricing models is greater in the post-crisis period, especially for the multifactor models, with the four factor model able to improve predictions of portfolio returns in this period by up to 80%, when compared to the CAPM.

摘要：本文针对2002年至2013年的巴西市场，检验了三类风险资产定价模型：夏普与林特纳提出的资本资产定价模型（Capital Asset Pricing Model, CAPM）、法玛-弗伦奇三因子模型，以及卡哈特四因子模型。研究数据取自圣保罗证券、商品及期货交易所（BM&FBOVESPA）的月度股票交易行情，剔除金融行业个股、净资产为负的标的以及无连续月度报价的股票。市场收益的代理变量为巴西指数（IBrX），无风险资产则以储蓄账户作为代表。2008年金融危机作为一场规模空前且引发市场巨额亏损的事件，或已改变风险资产间的关联结构，进而使定价模型的结果发生变动。为达成核心研究目标——剖析危机对资产定价模型结果及其预测能力的影响，本文将总研究周期划分为危机前与危机后两个子时段。研究证实，所考量的各类因子在巴西市场的两个时段内均具备统计相关性，但不同时段间，针对市场溢价与价值因子的敏感度的统计显著性出现了变化。此外，各定价模型的预测能力在危机后时段显著提升，多因子模型的表现尤为突出；相较于CAPM，四因子模型在该时段的投资组合收益预测精度最高可提升80%。