Centro de Finanças e Macroeconomia
Factors and Portfolios
Authors: Guilherme Paiva, Guilherme Souza e Igor Martins
This section provides risk factors and portfolios to study Brazilian stocks. We begin with a Brazilian version of Fama-French 5 factors: Market, Book to market, Market capitalization, Operating profitability, and Asset growth (Fama and French 2015). Additionally, we provide factors based on Accounting, Liquidity, Return, and Volatility. We use median value of each characteristic to allocate a stock into a portfolio. Factor is the difference between those two portfolios. Characteristics are based on Green, Hand, and Zhang (2017).
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A company is eligible if, in the last 12 months, its ticker:
A) Was traded more than 80% of trading days;
B) Had an average daily volume above 1 million reais;
C) Had a median daily volume above half a million reais;
D) Was listed for at least six months.
We report value-weighted (VW) factors and equally-weighted (EW) factors. We rebalance monthly.
Fama/French 5 factors
Accounting Based Factors
Liquidity Based Factors
Return Based Factors
Volatility Based Factors