O Risco Idiosincrático é Relevante no Mercado Brasileiro?

This paper analyses the relationship between idiosyncratic risk anddiversified portfolio returns on Brazil’s capital market. Following Goyaland Santa-Clara (2003) and Bali et alii (2005) we use volatility measuresthat capture systematic and idiosyncratic risk. For the identification ofthe relationship between idiosyncratic risk and portfolio returns we use atime series framework regressing volatility measures and portfolio returnsone step ahead from 1999:01 to 2006:03. Additionally, we carry outrobustness tests to validate our results. We found no evidence of arelationship between idiosyncratic risk and portfolio returns for theBrazilian capital market. Our evidence is similar to those from Bali et alii(2005) for the US capital market, which challenges the Goyal e Santa-Clara(2003) findings.