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Aplicação Da Arbitrage Pricing Theory Aos Títulos Do Psi-20

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  • Francisco José Sanches Tomé

    (Escola Superior de Tecnologia e Gestão da Guarda)

Abstract

Este trabalho procurou averiguar a existência de factores económicos que afectam, de forma sistemática, a cotação das acções, socorrendo-nos para tal do modelo desenvolvido por Stephen Ross, em 1976: a Arbitrage Pricing Theory. Para este modelo de avaliação de activos o rendimento de equilíbrio esperado dos activos é aproximadamente uma função linear dos prémios de risco de diversos factores económicos. No período compreendido entre Janeiro de 1994 a Novembro de 1997, as análises realizadas puseram em evidência a existência de factores económicos que afectam as cotações das acções portuguesas e que os diferentes títulos reagem de forma diferenciada à divulgação da informação relativa aos factores de risco.

Suggested Citation

  • Francisco José Sanches Tomé, 2000. "Aplicação Da Arbitrage Pricing Theory Aos Títulos Do Psi-20," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 0(1), pages 43-61.
    • Handle: RePEc:pjm:journl:v:v:y:2000:i:1:p:43-61
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