Modelos CAPM e CCAPM aplicados ao mercado imobili??rio de S??o Paulo e Rio de Janeiro

Autor: Severino, L??lian Santos Marques
Jazyk: portugalština
Rok vydání: 2016
Předmět:
Zdroj: Biblioteca Digital de Teses e Dissertações da UCBUniversidade Católica de BrasíliaUCB.
Druh dokumentu: masterThesis
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This study aims to analyze the behavior of the real estate market in the Brazilian cities of S??o Paulo and Rio de Janeiro from 2008 to 2016 as seen through the analysis of monthly pricing data for both sales and rental markets, apparent consumption, stock of properties, and market return (IBOVESPA). Two models were estimated, the first, the CAPM, aimed at analyzing how return from investment in housing in both cities compared to the market return (IBOVESPA). The second model, the CCAPM was modified to suit the presence of preference for ownership of property. This study concludes that regarding the change-over of the return rates in Rio de Janeiro and S??o Paulo, investment in the housing market in both cities is negatively affected by the change-over of the return in investments on the whole stock market. Moreover, when we include the consumption in the pricing model, there is an intertemporal discount factor for consumption of roughly 0,98 per month for both cities, which confirms that Brazilian real estate buyers are more impatient than their American counterparts, and that the percentage of their income spent on consumption and investment in housing varies from one city to another.
O presente trabalho trata do comportamento do mercado imobili??rio nas cidades de S??o Paulo e Rio de Janeiro no per??odo de 2008 a 2016, analisando dados mensais de pre??os de venda e de aluguel de im??veis, consumo aparente, estoque de im??veis e taxa de retorno de mercado (IBOVESPA). Foram estimados dois modelos, o primeiro, o CAPM, visou analisar o comportamento do retorno do investimento imobili??rio das duas localidades em rela????o ao retorno de mercado e o segundo modelo, o CCAPM modificado para exist??ncia de prefer??ncias pela propriedade de im??veis. O estudo conclui, em rela????o ??s taxas de retorno, que a varia????o do investimento no mercado imobili??rio, tanto no Rio de Janeiro quanto em S??o Paulo, ?? afetada de forma negativa pela varia????o do retorno de mercado. Al??m disso, quando inclui o consumo no modelo de precifica????o, observa-se um fator de desconto intertemporal do consumo em torno de 0,98 ao m??s para as duas cidades, confirmando que o consumidor brasileiro ?? mais impaciente que o americano, e que os percentuais da sua renda destinada ao consumo e ao investimento imobili??rio diferem de uma cidade para a outra.
Databáze: Networked Digital Library of Theses & Dissertations
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