Estimando a taxa de retorno livre de risco no Brasil

Abstract

Based on quarterly data for the period 1994.1-2005.3 of the 74 main types of stocks negotiated in Brazil, and making use of stochastic factor estimation technique proposed by AIF(2005) it was aimed to estimate the return rate for what would be a risk free rate in Brazil. The estimates obtained from the stochastic discount factor estimation shown to be very consistent with tests of assets pricing, even for those non-sampled points. Moreover, was veri ed a correlation of 0,69 between the estimated return risk free rate and the SELIC rate. In spite of such strong relationship, the rate obtained from the estimador proposed by AIF (2005) was below that of SELIC, although the decreasing pattern of gap between those rates allows supporting the argument that the stability of brazilian economy, and the correspondent reduction in the so called Brazil risk contributed with the spread paid for by the country. Nonetheless, given the relationship between the stochastic factor estimation and the marginal tax of substitution over time stated by modern theory of assets pricing, the high values attached for the rates free from risk still allow inferring that the overvalued interest rates in the brazilian market reveals the investors behavior in the national nancial market.