Investment fund actions and in action: Factors of Common Risks?
In this article, was analyzed the capacity of valuation and forecast on the main stock investment funds in the Brazilian market, using the Capital Asset Pricing Model (CAPM), the Fama e French (1993) factor model and the Carhart (1997) four-factor model. According to the results, we have a better performance of the CAPM vis-à-vis the factor models, even for the investment funds that over perform the market. This result can be seen as an evidence of the necessity to develop a factor model a la Fama and French, but specific for investment funds.
Advisor:Emerson Luís Lemos Marinho; Fabrício Carneiro Linhares; Paulo Rogério Faustino Matos
School:Universidade Federal do Ceará
Source Type:Master's Thesis
stocks investment funds
asset pricing models
fama french factor model;
carhart four-factor model
Date of Publication:04/16/2008