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Macroeconomic factors and value and growth strategies: evidence from Brazil

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  • Carrasco Gutierrez, Carlos Enrique
  • Peixoto Messias, Iasmin Emillyn

Abstract

In this work we apply the arbitrage pricing theory (APT) model to study the effects of macroeconomic variables on investment strategies involving value and growth stocks listed on the Brazilian Stock Exchange (B3). To build and order the portfolios, we use four fundamental market indicators that permit identifying value and growth stocks. The macroeconomic variables used are real GDP, exchange rate, unemployment rate, money supply (M1), interest rate and consumer confidence index. The principal results are that growth strategies during the period studied were mainly influenced by unemployment, inflation and exchange while value strategies were preponderantly affected by GDP. In relation to the market risk factor, it was statistically significant for all the value and growth portfolios, and in general the market betas of the values stocks were greater than those of the growth stocks.

Suggested Citation

  • Carrasco Gutierrez, Carlos Enrique & Peixoto Messias, Iasmin Emillyn, 2022. "Macroeconomic factors and value and growth strategies: evidence from Brazil," MPRA Paper 114875, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:114875
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    File URL: https://mpra.ub.uni-muenchen.de/114875/1/MPRA_paper_114875.pdf
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    References listed on IDEAS

    as
    1. Karthigai Prakasam Chellaswamy & Natchimuthu N & Muhammadriyaj Faniband, 2020. "Stock Market Sensitivity to Macroeconomic Factors: Evidence from China and India," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(2), pages 146-159, February.
    2. Fariz Mohamad Iqmal & Ivan Gumilar Sambas Putra, 2020. "Macroeconomic Factors and Influence on Stock Return That Impact the Corporate Values," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 9(1), pages 68-75, January.
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    4. Carlos Enrique Carrasco-Gutierrez & Wagner Piazza Gaglianone, 2012. "Evaluating Asset Pricing Models in a Simulated Multifactor Approach," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(4), pages 425-460.
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    8. Karthigai Prakasam Chellaswamy & Natchimuthu N & Muhammadriyaj Faniband, 2020. "Stock Market Sensitivity to Macroeconomic Factors: Evidence from China and India," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 10(2), pages 146-159.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    value strategies; growth strategies; financial returns; APT; macroeconomic variables;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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