Resumo
Apresentamos a especificação, estimação e análise de um modelo econométrico para explicar e projetar os retornos das ações do mercado acionário brasileiro. As variáveis explicativas do modelo incluem variáveis macroeconômicas, fundamentalistas e comportamentais amostradas em diferentes frequências. O modelo utiliza a metodologia de regressão MIDAS, que permite a estimação de regressões com variáveis mensuradas em diferentes frequências. A amostra contempla as ações das instituições não financeiras do mercado acionário brasileiro entre 2010 e 2016. Os resultados indicam que o modelo é robusto em explicar e projetar os retornos individuais das ações listadas naquele mercado.
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