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Verificação da Aplicabilidade do Modelo de Valorização de Ativos Fama e French ao Mercado Bolsista Português
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No que diz respeito à previsão da evolução dos mercados financeiros, o Modelo de Fama and
French tem sido bem sucedido. Como tal, este estudo tem como objetivo analisar o poder explicativo do
Modelo de Seis Fatores de Fama-French no retorno médio de ações no mercado bolsista português.
Assim sendo, procedeu-se à análise do mercado bolsista português através de fatores macroeconómicos.
Para tal, foi necessário recorrer à modelação de dados através do modelo de regressão linear
múltipla. Selecionou-se sete empresas cotadas na Bolsa de Valores de Portugal (EuroNext), e dez
variáveis macroeconómicas que serviram de base para o estudo do modelo, nomeadamente: a taxa de
crescimento do produto interno bruto (PIB), a taxa de desemprego, a percentagem de dívida pública no
PIB, a taxa de juro, a taxa de inflação, a variação do preço do petróleo, a variação percentual da Taxa
de Câmbio (EUR_DOL, EUR_LIB e EUR_YUAN) e a evolução do Índice PSI20. Estas variáveis serão
analisadas trimestralmente durante o período de 2013 a 2022.
De forma a avaliar a qualidade dos modelos e a verificação dos pressupostos de um modelo de
regressão linear, foram efetuadas análises ao coeficiente de determinação ajustado, à multicolinearidade,
e aos resíduos. Os resultados indicam que as variáveis macroeconómicas como a taxa de juro, a taxa de
câmbio (EUR_YUAN) e a percentagem de dívida pública, destacam-se por serem pouco relevantes na
maioria dos modelos.
When it comes to predicting the evolution of financial markets, the Fama-French model has been successful. Therefore, the aim of this study is to analyse the explanatory power of the Fama-French six-factor model on the average return of shares in the Portuguese stock market. The Portuguese stock market was analysed using macroeconomic factors. To do this, it was necessary to use multiple linear regression modelling. Seven companies listed on the Portuguese Stock Exchange (EuroNext) were selected and ten macroeconomic variables were used to study the model, namely: the growth rate of Gross Domestic Product (GDP), the unemployment rate, the percentage of public debt in GDP, the interest rate, the inflation rate, the change in the price of oil, the percentage change in the exchange rate (EUR_DOL, EUR_LIB and EUR_YUAN) and the evolution of the PSI20 index. These variables will be analysed on a quarterly basis from 2013 to 2023. In order to assess the quality of the models and to verify the assumptions of a linear regression model, the adjusted coefficient of determination, multicollinearity and residuals were analysed. The results show that macroeconomic variables such as the interest rate, the exchange rate (EUR_YUAN) and the percentage of public debt are of little relevance in most of the models.
When it comes to predicting the evolution of financial markets, the Fama-French model has been successful. Therefore, the aim of this study is to analyse the explanatory power of the Fama-French six-factor model on the average return of shares in the Portuguese stock market. The Portuguese stock market was analysed using macroeconomic factors. To do this, it was necessary to use multiple linear regression modelling. Seven companies listed on the Portuguese Stock Exchange (EuroNext) were selected and ten macroeconomic variables were used to study the model, namely: the growth rate of Gross Domestic Product (GDP), the unemployment rate, the percentage of public debt in GDP, the interest rate, the inflation rate, the change in the price of oil, the percentage change in the exchange rate (EUR_DOL, EUR_LIB and EUR_YUAN) and the evolution of the PSI20 index. These variables will be analysed on a quarterly basis from 2013 to 2023. In order to assess the quality of the models and to verify the assumptions of a linear regression model, the adjusted coefficient of determination, multicollinearity and residuals were analysed. The results show that macroeconomic variables such as the interest rate, the exchange rate (EUR_YUAN) and the percentage of public debt are of little relevance in most of the models.
Descrição
Tese de mestrado, Estatística e Investigação Operacional (Estatística), 2023, Universidade de Lisboa, Faculdade de Ciências
Palavras-chave
Modelo de Seis Fatores de Fama and French Fatores Macroecómicos Regressão Linear Múltipla Teses de mestrado - 2024