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Factores económicos do risco sistemático nas carteiras de investimento: o caso português
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Advisor(s)
Abstract(s)
A presente dissertação visou estudar o fenómeno do risco sistemático dos
investimentos. Pretendeu, sobretudo, encontrar nas variáveis económicas
geralmente apontadas como determinantes do risco, uma relação explicativa do
mesmo.
Com estes objectivos apoiámo-nos em dois grandes paradigmas da Teoria da
Carteira-os Modelos de Equilíbrio (Modelo de Equilíbrio dos Activos Financeiros
Modelo de Arbitragem) e a Hipótese dos Mercados Eficientes. Procurámos
assimilar de ambos a explicabilidade de funcionamento dos mercados e de
formação dos riscos produzidos pela incerteza em que se baseiam as decisões dos
investidores.
A maioria dos autores que analisam o risco sistemático das carteiras de
investimento considera que os factores macroeconómicos provavelmente têm um
papel importante e influenciam todos os activos, apesar de não haver uma teoria
que satisfatoriamente indique que a relação entre eles e o risco vão inteiramente
numa direcção.
No nosso trabalho tentámos explicar a citada relação, estimando os betas de
várias empresas e sectores para aplicar num modelo que teve como regressores os
macrofactores. Obtivemos o mesmo tipo de resultados, concluindo que não é
possível estabelecer ainda a desejada relação entre o risco e as variáveis
económicas. Pensamos que é necessário reconstruir os factores económicos e
persistir nesta investigação.
The fundamental aim of this dissertation is to study the investment systematíc risk phenomena. Above ali we intended to find an explanatory relationship between economic factors, usually used as determinants, and the market risk. These objectives were supported by two portfolio management paradigms - the Equilibrium Models (Capital Asset Pricing Model and Arbitrage Pricing Theory) and lhe Effícient Market Hypothesis. From both, we tried to absorb the explanatory working action ofthe markets and the risk formation in consequence ofthe investors choice under uncertainty. The majority of the research carried out on the systematic risk of porfolio investment management assumes that the macroeconomic factors are likely to influence ali assets playing an important role. However, there is no satisfactory theory stating the true direction of the relation between financial markets and the macroeconomy. In this work we tried to explain the previously mentioned relation after estimatíng betas of several assets and sectors and regressing the macro factors on them. We obtained the same kind of results, concluding that it is not possible to establish the desired relation between risk and economic variables yet.
The fundamental aim of this dissertation is to study the investment systematíc risk phenomena. Above ali we intended to find an explanatory relationship between economic factors, usually used as determinants, and the market risk. These objectives were supported by two portfolio management paradigms - the Equilibrium Models (Capital Asset Pricing Model and Arbitrage Pricing Theory) and lhe Effícient Market Hypothesis. From both, we tried to absorb the explanatory working action ofthe markets and the risk formation in consequence ofthe investors choice under uncertainty. The majority of the research carried out on the systematic risk of porfolio investment management assumes that the macroeconomic factors are likely to influence ali assets playing an important role. However, there is no satisfactory theory stating the true direction of the relation between financial markets and the macroeconomy. In this work we tried to explain the previously mentioned relation after estimatíng betas of several assets and sectors and regressing the macro factors on them. We obtained the same kind of results, concluding that it is not possible to establish the desired relation between risk and economic variables yet.
Description
Dissertação de mest. em Ciências Económicas e Empresariais, Unidade de Ciências Económicas e Empresariais, Univ. do Algarve, 1996
Keywords
Mercados financeiros Risco sistemático Beta Fronteira eficiente Carteira Média-variância