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Asset pricing in the Brazilian financial market: five-factor GAMLSS modeling

Author

Listed:
  • Renan O. Regis

    (Universidade Federal de Pernambuco)

  • Raydonal Ospina

    (Universidade Federal de Pernambuco)

  • Wilton Bernardino

    (Universidade Federal de Pernambuco)

  • Francisco Cribari-Neto

    (Universidade Federal de Pernambuco)

Abstract

We model asset prices in Brazil using the five-factor asset pricing model. We show that Gaussian regression models fail to capture the full data dynamics. We then fit Generalized Additive Models for Location Scale and Shape with data-selected underlying laws. They are based on laws related to the Student t distribution, appear to be correctly specified and deliver good data fits. All estimated models are evaluated using performance measures that are standard in the literature.

Suggested Citation

  • Renan O. Regis & Raydonal Ospina & Wilton Bernardino & Francisco Cribari-Neto, 2023. "Asset pricing in the Brazilian financial market: five-factor GAMLSS modeling," Empirical Economics, Springer, vol. 64(5), pages 2373-2409, May.
    • Handle: RePEc:spr:empeco:v:64:y:2023:i:5:d:10.1007_s00181-022-02316-3
    DOI: 10.1007/s00181-022-02316-3
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    References listed on IDEAS

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