A União Faz a Força? Um Teste Usando Fatores de Retorno

The present work aims to verify the efficiency of factors of return inpredicting stocks’ returns traded in BM&FBovespa. Have been tested 39models, grouping 16 variables in their totality, in families and inisolation. All the models have been tested using as factors’ payoff the last12 months OLS coefficient, and the isolated variable models were also testedusing a static coefficient. The variables earnings/price and revenue/price,with static payoff, presented higher average predictability efficiency thanthe model using the totality of variables, confronting with themultifactoriality marginal gain. Significant predictability was verify forthe i) multifatorial models: totality of variables and “cheapness” family;ii) isolated variable models: dividend yield, earnings/price, revenue/price;ROA and excess 12 months return with static payoff, and earnings/price andmarket value with moving payoff. The existence of predictive capacity isopposed to the market efficiency.