Assets return sensitivity in different risk environments: an analysis for companies based in Rio Grande do Sul

Abstract

One of the greatest challenges of modern finance theory is to find the behavior of the assets given the different macroeconomic scenarios, improving the portfolio risk management. The present work aims to test the hypothesis of nonlinearity in the asset returns sensitivity of Rio Grande do Sul companies in different risk environments. We have considered the assets of three companies of Rio Grande do Sul that were trading on every day of the Stock Exchange (BOVESPA) since January 2004. The results suggest that the non-linear model proposed is appropriate. Also, we find evidence that the assets RAPT4 and POMO4 are more susceptible to variations in periods of macroeconomic crisis than in periods of stability. Artigo recebido em jul. 2012 e aceito para publicação em out. 2013.