Data · dataset · 2017
Applicability of Investment and Profitability Effects in Asset Pricing Models
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Description
Abstract
This study aims to investigate whether investment and profitability are priced and if they partially explain the variations of stock returns in the Brazilian stock market, according to the Fama and French's (2015) five-factor model. By using time series and cross-section regression, we found that book-to-market, momentum and liquidity are associated with stock returns whereas investment and profitability were not significant.
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We also found that there is no investment premium in Brazil. Therefore, motivated by the importance of B/M, momentum and liquidity to the Brazilian stock market, as well as by the poor performance of profitability and investment, we document that Keene and Peterson's (2007) five-factor model is superior to all other models, especially the five-factor model by Fama and French (2015).
Links
Where it is published
- Repository landing page scielo.figshare.com/articles/dataset/Applicability_of_Investment_and_Profitability… ↗
landing page · from DataCite
- DOI doi.org/10.6084/m9.figshare.5719825.v1 ↗
DOI / persistent id · from DataCite
Documentation and papers
- Creative Commons Attribution 4.0 International creativecommons.org/licenses/by/4.0/legalcode ↗
license · from DataCite
- IsSupplementTo 10.1590/1982-7849rac2017170027 doi.org/10.1590/1982-7849rac2017170027 ↗
publication · from DataCite
Catalogue records · 2
- DataCite API api.datacite.org/dois/10.6084/m9.figshare.5719825.v1 ↗
metadata API · from DataCite
- DataCite Commons commons.datacite.org/doi.org/10.6084/m9.figshare.5719825.v1 ↗
catalogue entry · from DataCite
Topics
- Stated by source
- Economics and business
Related
Provenance · 1 source records, 9 field assertions
| Source | Key | Last seen | Raw |
|---|---|---|---|
| DataCite | 10.6084/m9.figshare.5719825.v1 | 12 d ago | JSON v1 |
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| concepts[field].fos:economics-and-business | source · DataCite | connector:datacite@1.0.0 | |
| created_date | source · DataCite | connector:datacite@1.0.0 | |
| description | source · DataCite | connector:datacite@1.0.0 | /data/attributes/descriptions |
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| title | source · DataCite | connector:datacite@1.0.0 | /data/attributes/titles/0/title |
| updated_date | source · DataCite | connector:datacite@1.0.0 |