DO MULTIFACTOR MODELS CONTRIBUTE TO ESTIMATE THE COST OF EQUITY CAPITAL IN BRAZIL?

BASE Pub Date : 2023-08-28 DOI:10.4013/base.2023.202.03
Victor Pani, Ricardo Leal, Raphael Moses Roquete
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Abstract

This study investigates the contribution of well-known multifactor asset pricing models to estimate the cost of equity capital of Brazilian listed companies with the Capital Asset Pricing Model (CAPM), the three-factor model of Fama and French (1993), the Carhart (1997) four-factor model and a five-factor model that consists of an additional illiquidity risk factor. The sample are the returns of individual stocks comprising a portfolio of companies in the IBrX 100 stock index from July 2008 to June 2018. Distributions of individual company cost of equity capital estimates obtained with each model were compared among themselves in the full sample period and two sub-periods. The results suggest that adding extra risk factors to the CAPM does not always translate into different cost of equity capital estimates and significantly greater explanatory power. The practical implication is that the CAPM estimates may often be the same as those obtained by means of more complex models with the added bonus of the CAPM's simplicity.
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多因素模型是否有助于估计巴西的权益资本成本?
本研究通过资本资产定价模型(CAPM)、Fama和French(1993)的三因素模型、Carhart(1997)的四因素模型和包含额外非流动性风险因素的五因素模型,考察了著名的多因素资产定价模型对巴西上市公司股权资本成本估算的贡献。样本是2008年7月至2018年6月IBrX 100股票指数公司投资组合中单个股票的回报。在整个样本期和两个子周期内,比较了每个模型获得的单个公司权益资本成本估计的分布。结果表明,在CAPM中加入额外的风险因素并不总是转化为不同的权益资本成本估算和显着更大的解释力。实际的含义是,CAPM的估计可能经常与通过更复杂的模型获得的结果相同,而CAPM的简单性是额外的好处。
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