Comparative Analysis of Realized and Estimated Returns on Shares of Brazilian Companies

This work aims to verify if the values estimated with the models proposed by the authors Sharpe (1964) and Fama and French (1993) and (2015a) are efficient to guide investors. To achieve the proposed objective, we perform a comparative analysis of the realized and estimated returns of the shares from 60 Brazilian companies, in a period from 2000 to 2018, by calculating the variations between real and estimated returns, identifying if returns are close to those calculated. The work proves to be relevant, as the study carried out tested and verified the asset pricing models, classics in the finance literature, which are efficient and should be used by investors as a tool to support decision making in equity. From the results of the research, it is possible to answer which models can be more reliable and what care investors should take to use these models. Besides, the article aims to fill a research gap on asset pricing models in the Brazilian stock market, covering a larger number of shares to be analyzed during a broader research period or aggregating several economic programs (expansion, stagnation, economic crises, and recession). The results obtained from a comparative analysis of the real and estimated returns using Sharpe's asset pricing model (1964) and the three and five factors model proposed by Fame and French (1993) and (2015a) indicate that only a small percentage of calculated returns occurred according to the returns made in the analysis period, which shows that such models must be used with other tools to support decision making in variable income investments.