Pricing uncertainty in the Brazilian stock market: do size and sustainability matter?
Cristiane Gea1, Marcelo Cabus Klotzle2, Luciano Vereda1
1Universidade Federal Fluminense (UFF), Rua Miguel de Frias, 9, Icaraí, Niterói, RJ 24220-900 Brazil.
Abstract:
This article analyzes the pricing of innovations in the Brazilian stock market during periods of economic uncertainty. Cross-sectional data were analyzed using the generalized method of moments technique, and our findings indicate that during such periods, innovations negatively impact excess stock returns. Furthermore, our findings suggest that innovations during economic uncertainty improve the pricing of financial assets, making them a significant risk factor. These results are corroborated by those for the Corporate Sustainability Index and the Small Caps Index in the robustness analysis.
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