Banca de DEFESA: Gabriel Mamede Carvalho

Uma banca de DEFESA de MESTRADO foi cadastrada pelo programa.
STUDENT : Gabriel Mamede Carvalho
DATE: 20/02/2025
TIME: 18:00
LOCAL: A DEFESA SERÁ REALIZADA POR VIDEOCONFERÊNCIA
TITLE:

Investigation into the discussion of agents rationality through the application of the Idiosyncratic Risk Puzzle to the case of innovations in the Brazilian market.

KEY WORDS:

Idiosyncratic risk, Investor Sentiment, Cross-section, Principal Component Analysis, Fama-French 3-factor Model.

PAGES: 36
BIG AREA: Ciências Sociais Aplicadas
AREA: Economia
SUMMARY:

The idiosyncratic risk puzzle is a source of significant divergence between rationalists and proponents of behavioral finance theory. This debate began with the work of Malkiel and Xu (2002), in which the authors found that idiosyncratic risk was a statistically significant variable in explaining the cross-section of returns for U.S. stocks, supposedly providing evidence against the rationality of economic agents. Conversely, Pastor and Veronesi (2009) argued that there was a measurement issue in these models, as they did not disaggregate idiosyncratic risk from the risk arising from innovations and their uncertainties. Pastor and Veronesi (2009), therefore, treated the problem as an omitted variable bias and argued that if the model were properly measured, idiosyncratic risk would no longer be statistically significant. Given this debate, the present study opted to construct a portfolio of stocks representing a technological revolution in Brazil and analyzed the behavior of idiosyncratic risk, controlled for behavioral factors through the addition of an investor sentiment index. The results indicated that idiosyncratic risk was not significant in explaining the cross-section of returns for this portfolio, both in the absence and presence of the sentiment variable. When compared to a portfolio representative of stocks that had not undergone any technological revolution, the Chow test indicated no structural differences between the model's coefficients, challenging the central thesis of Pastor and Veronesi (2009).

COMMITTEE MEMBERS:
Interno - 1642911 - DANIEL OLIVEIRA CAJUEIRO
Interno - 1550794 - JOSE GUILHERME DE LARA RESENDE
Externa à Instituição - LILIAN SANTOS MARQUES SEVERINO - CADE
Presidente - 3157948 - ROGERIO MAZALI