Análise dos modelos baseados em lower partial moments: um estudo empírico para o Ibovespa e Dow Jones através da distância Hansen-Jagannathan

Abstract

This dissertation proposes empirically test the downside risk models, Sortino, Upside Pontential Ratio, Omega and Kappa, by comparing them with the traditional CAPM, derived from the mean and variance boundary, using the listed shares in the Ibovespa and Dow Jones (DJIA) for the construction of market portfolios for each of the models. These two classes of models are distinguished in terms of assumptions and risk measurement. While the CAPM considers only the first two moments of the returns distribution, the other measures take into account the higher moments of such distributions. The Hansen-Jagannathan distance, which measures the Stochastic Discount Factor (SDF) measurement error generated by the models, showed a great distinction of the models in the two markets. While the CAPM performed better in the Dow Jones, the downside risk models presented better results for the Ibovespa, suggesting an advantage in the use of such models in markets with lower liquidity and greater asymmetry.