Variáveis fundamentalistas e o retorno das ações na BM&FBOVESPA

Abstract

The Capital Asset Pricing Model (CAPM) is a widely used model to correlate an asset’s expected profitability with its nondiversifiable risk, measured by the beta coefficient. This paper’s goal was to verify if stocks currently traded at BM&FBOVESPA would behave according to the aforementioned model, or if there were other fundamental variables capable of explaining the stock return. The research method included linear regression techniques, both univariate and multivariate, between stock return and variables beta, asset/asset value, asset/market value, liquidity, market value, asset value/price, profit/price and sales/price. The research was focused between 2004 and 2013, and the sample that was used corresponded to 35 stocks. The obtained results show a significant influence of the following variables: sales/price, asset value/price, market liquidity, market value, total assets/market value and total assets/asset value in stock returns. The beta coefficient has not proven to be significant, thus contradicting CAPM’s theory.