Dissecando Anomalias com o Modelo de Cinco Fatores para Mercado Acionário Brasileiro

This article estimates for the Brazilian market the multifactor pricingmodel proposed by Fama and French (2015, 2016) and provides a detail of fiveanomalies: beta, net share issues, momentum, volatility and accruals. Theresults indicate that the inclusion of the profitability factor proposed inFama and French (2015) plays a crucial role in reducing the magnitude of theintercepts and of the GRS statistic for all size-anomaly sorted portfoliosconsidered in the article. Consistent with international evidence, theresults indicate, among other things, that (i) companies that repurchaseshares have higher returns and are more conservative in terms of investment,(ii) firms with lower volatility have higher returns, and are less sensitiveto the market returns, (iii) small firms are more aggressive in terms ofinvestment and less profitable, (iv) high beta was associated with higherreturns only among small firms and (v) average returns of companies withhigh accruals is higher in comparison to those of companies with lowaccruals.