FEE

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

Authors

  • Marcos Vinicio Wink Junior

    FEE/UFRGS

  • Pedro Tonon Zuanazzi

    FEE/UFRGS
Keywords:
CAPM, Beta, Markov Switching, Volatility
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.
Author Biographies
  1. Marcos Vinicio Wink Junior, FEE/UFRGS
    Doutorando em Economia pela Universidade Federal do Rio Grande do Sul (UFRGS), Pesquisador em Economia da Fundação de Economia e Estatística (FEE).
  2. Pedro Tonon Zuanazzi, FEE/UFRGS
    Mestre em Administração pela Universidade Federal do Rio Grande do Sul (UFRGS), Pesquisador em Estatística da Fundação de Economia e Estatística (FEE).
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Published
2014-06-09
Issue
Vol. 35 No. 1 (2014)
Section
Artigos
License
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