Stocks and Mutual Funds: Common Risk Factors?


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In this article we analyze the capacity to price and predict the returns of stock mutual funds in the Brazilian market, using the capital asset pricing model (CAPM) and the factor models developed by Fama and French (1993) and Carhart (1997). The first results show an expected outcome: better pricing performance of the CAPM vis-à-vis the other models for mutual funds that track the São Paulo Stock Exchange Index (Ibovespa). The main contribution, however, consists of the evidence that the factor models perform better in pricing and in-sample forecasting of the returns of funds that outperform the market and have higher total assets. This evidence suggests that models should be constructed based on specific factors for investment funds that capture these effects, which is corroborated by the preliminary results in Linhares, Matos and Zech (2009).

Keyword : capital asset pricing model, factor models, pricing ability, in-sample prediction, mutual funds capital asset pricing model, modelo de fatores, capacidade de apreçamento, previsão dentro da amostra, fundos de Investimento em ações

How to Cite
Matos, P. R. F., & Rocha, J. A. T. da. (2018). Stocks and Mutual Funds: Common Risk Factors?. Brazilian Business Review, 6(1), 21–41.

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