Retorno de fundos de investimento em ações e variáveis macroeconômicas no Brasil

Abstract

This article tested the empirical version of the Arbitrage Pricing Theory (APT) proposed by Burmeister, Roll and Ross (1994) with the returns of Brazilian stock funds from December 2002 to December 2012. The version of the APT herein used the market risk and four macroeconomic systematic risk factors in the form of innovations, named investor confidence index, interest rate term structure, inflation, and economic activity. Market risk displays the greatest explanatory power and, jointly with the interest rate term structure, were the only factor coefficients displaying consistent sign and significance across all periods and fund categories. The APT explains historical fund returns better than the single CAPM, but it was not possible to obtain reliable estimates for the macroeconomic factors risk premia to use in forecasting.