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| Author: | Veiga, A. Souza, L.R. |
| Title: | Using irregularly spaced returns to estimate multi-factor models: Application to Brazilian equity data |
| Journal: | European Journal of Finance
2006 : SEP/OCT, VOL. 12:6-7, p. 605-626 |
| Index terms: | stock markets equities exchange rates models Brazil South America |
| Language: | eng |
| Abstract: | Multi-factor models are useful tools to explain cross-sectional covariance in equities returns. This paper proposes a new estimation method using of irregularly spaced returns. An empirical example is provided with the 389 most liquid equities in the Brazilian market. The market index shows itself capable of explaining equity returns while the USD/Brazilian real exchange rate and the Brazilian short interest rate do not. The example shows the usefulness of the estimation method. |
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