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This paper examines the hypothesis of asset return predictability in the Brazilian Stock Market (Bovespa). Evidence suggests that seven factors explain most of the monthly differential returns of the stocks included in the sample. Within the factors that present statistically significant mean, two are liquidity factors (market capitalization and trading volume trend), three refer to price level of stocks (dividend to price, dividend to price trend, and cash flow to price), and two relate to price history of stocks (3 and 12 months excess return). Contradicting theoretical assumptions, risk factors present no explanatory power on crosssectional returns. Using an expected return factor model, it is contended that stock returns are quite predictable. An investment simulation shows that the model is able to assemble portfolios with statistically significant higher returns. Additional tests indicate that the winner portfolios are not fundamentally riskier suggesting mispricing of assets in the Brazilian stock market. Submetido em Junho de 2004. Revisado em Novembro de 2004. Os autores agradecem os comentários e sugestões feitos durante a apresentação deste trabalho no III Encontro Brasileiro de Finanças em 2003 e pelos pareceristas da Revista Brasileira de Finanças. Luciano M. Rostagno agradece ao Conselho Nacional de Pesquisa e Desenvolvimento (CNPq) pelo suporte financeiro. Os erros remanescentes são de total responsabilidade dos autores. *EA/UFRGS. E-mail: lmrostagno@ea.ufrgs.br. Department of Economics/Iowa State University. E-mail: rostagno@iastate.edu **PPGA/EA/UFRGS. E-mail: gokloeckner@ea.ufrgs.br. ***PPGA/EA/UFRGS. E-mail: jlbecker@ea.ufrgs.br. Revista Brasileira de Finanças 2004 Vol. 2, No. 2, pp. 183–206 c ©2004 Sociedade Brasileira de Finanças Revista Brasileira de Finanças v 2 n 2 2005 Palavras chave: eficiência de mercado; previsibilidade de retorno; mercados financeiros. Códigos JEL: G12; G14; G15.

Previsibilidade de Retorno das Ações na Bovespa: Um Teste Envolvendo o Modelo de Fator de Retorno Esperado