TY - DATA T1 - Applicability of Investment and Profitability Effects in Asset Pricing Models PY - 2017/12/20 AU - Márcio André Veras Machado AU - Robert Faff AU - Suelle Cariele de Souza e Silva UR - https://scielo.figshare.com/articles/dataset/Applicability_of_Investment_and_Profitability_Effects_in_Asset_Pricing_Models/5719825 DO - 10.6084/m9.figshare.5719825.v1 L4 - https://ndownloader.figshare.com/files/10047568 L4 - https://ndownloader.figshare.com/files/10047574 L4 - https://ndownloader.figshare.com/files/10047577 L4 - https://ndownloader.figshare.com/files/10047580 L4 - https://ndownloader.figshare.com/files/10047595 L4 - https://ndownloader.figshare.com/files/10047604 L4 - https://ndownloader.figshare.com/files/10047616 L4 - https://ndownloader.figshare.com/files/10047634 L4 - https://ndownloader.figshare.com/files/10047643 L4 - https://ndownloader.figshare.com/files/10047652 L4 - https://ndownloader.figshare.com/files/10047664 KW - asset pricing model KW - profitability KW - investment KW - liquidity N2 - Abstract This study aims to investigate whether investment and profitability are priced and if they partially explain the variations of stock returns in the Brazilian stock market, according to the Fama and French's (2015) five-factor model. By using time series and cross-section regression, we found that book-to-market, momentum and liquidity are associated with stock returns whereas investment and profitability were not significant. We also found that there is no investment premium in Brazil. Therefore, motivated by the importance of B/M, momentum and liquidity to the Brazilian stock market, as well as by the poor performance of profitability and investment, we document that Keene and Peterson's (2007) five-factor model is superior to all other models, especially the five-factor model by Fama and French (2015). ER -