Brazilian Market Expected Returns and Firm Fundamentals Analysis

An academic paper tests the Lyle, Callen, and Elliott accounting valuation model for estimating expected returns in the Brazilian capital market. The analysis uses Fama-Macbeth monthly cross-sectional regressions to test the model's ability to predict prices and returns. Findings suggest the model had unsatisfactory performance for return forecasting in Brazil during the study period but showed consistency for price prediction.

Use Cases

• Testing accounting-based valuation models for expected return estimation based on firm fundamentals.
• Analyzing the sensitivity of asset returns to systematic economy risk factors as described in the methodology.
• Comparing the performance of asset pricing models between emerging and developed markets like the U.S.
• Forecasting stock prices using cross-sectional regression techniques mentioned in the paper.

Strengths

• Analysis is based on a specific, peer-reviewed accounting valuation model (Lyle, Callen, and Elliott, 2013).
• Methodology employs established financial econometric techniques (Fama-Macbeth regressions).
• Provides a direct comparison of model performance between the Brazilian and American markets.

Limitations

• Row count, column definitions, and sample data are unavailable, limiting reproducibility.
• The description indicates the model had unsatisfactory performance for return forecasting in the Brazilian context during the analysis period.
• Last update date and temporal coverage of the underlying data are unknown.

Provenance

Source

Karina da Silva Carvalho Mikosz via paperswithcode.

Collection Method

Analysis likely uses financial statement and market price data, applying Fama-Macbeth monthly cross-sectional regressions.

Geography

Brazil