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Abstract(s)
Esta pesquisa é realizada com o objetivo de encontrar evidências que sustentem a possibilidade de obtenção de retornos anormais nos 5 principais mercados financeiros da América Latina. A investigação centra-se, principalmente, na procura de alfas positivos, que permitam validar a tese de que estes mercados são superiores em relação aos desenvolvidos, e também na avaliação das correlações entre mercados, com vista a validar o valor da diversificação que os mesmos podem proporcionar. Os valores encontrados para a correlação dos retornos entre os mercados testados e todos os mercados desenvolvidos (0,53) distam visivelmente da correlação dos retornos dos mercados desenvolvidos entre si (acima de 0,63), o que permite afirmar que existe uma vantagem clara de diversificação de portefólios através do investimento em mercados financeiros da América Latina. Por outro lado, a obtenção de um alfa estatisticamente significativo e positivo nos modelos de 3 fatores de Fama e French e 4 fatores de Mark Carhart, para o portefólio equal-weighted, permite afirmar que os mercados da Argentina, Brasil, Chile, México e Perú apresentam retornos acima do esperado, tendo em conta os fatores explicativos de cada modelo, conclusão que se valida pelos valores de alfa obtidos (entre 0,66% e 0,725%).
This research is carried out with the objective of finding evidence that may prove the possibility of obtaining abnormal returns in the 5 main financial markets of Latin America. The investigation is, mainly, concerned in the quest of finding positive alphas, that may allow to validate the premise that these markets are superior in relation to the developed ones, and also in the assessment of correlations between markets, so that the benefits of diversification may be validated. The values found for the correlation between the tested portfolios and the market ones (0,53) are visibly distant from the correlations of the returns of developed markets with each other (above 0,63), which allows to state that there is a clear advantage in portfolio diversification, through investments in Latin America financial markets. On the other hand, by obtaining a positive and statistically significant alpha for Fama and French’s 3 factor model and for Mark Carhart’s 4 factor model, for the equal-weighted portfolio, it may be stated that Argentinian, Brazilian, Chilean, Mexican and Peruvian markets attract an higher than expected return, regarding the factors of each model, inference validated by the alpha values obtained (between 0,66% and 0,725%).
This research is carried out with the objective of finding evidence that may prove the possibility of obtaining abnormal returns in the 5 main financial markets of Latin America. The investigation is, mainly, concerned in the quest of finding positive alphas, that may allow to validate the premise that these markets are superior in relation to the developed ones, and also in the assessment of correlations between markets, so that the benefits of diversification may be validated. The values found for the correlation between the tested portfolios and the market ones (0,53) are visibly distant from the correlations of the returns of developed markets with each other (above 0,63), which allows to state that there is a clear advantage in portfolio diversification, through investments in Latin America financial markets. On the other hand, by obtaining a positive and statistically significant alpha for Fama and French’s 3 factor model and for Mark Carhart’s 4 factor model, for the equal-weighted portfolio, it may be stated that Argentinian, Brazilian, Chilean, Mexican and Peruvian markets attract an higher than expected return, regarding the factors of each model, inference validated by the alpha values obtained (between 0,66% and 0,725%).
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Keywords
Portfolio performance evaluation Mercados emergentes Mercados desenvolvidos Diversificação Risco-retorno Emerging markets Developed markets Diversification Risk-return