Abstract:

Abstract This article sought to investigate whether the model adapted from Fama and French with the inclusion of the Payout factor (F&F with Payout) would allow a better understanding of the returns of the portfolios of companies listed in Brazil, Bolsa, Balcão between 2004 and 2018 than the model of three factors from Fama and French. The Payout factor Award is obtained by calculating the difference in return between the companies that paid and those that did not pay Incremental Payout. Thus, this four-factor model is defined by the addition of this factor to the factors Award for market risk (RM-RF), Award for the size factor of the company (MbS), defined by the market value of equity, and the Premium by the Book-to-market factor ( HML), which is an index defined by the accounting value and market value ratio of equity. This 4-Factor model had its explanatory power tested by the return of 12 portfolios created from the orthogonalization of their risk factors and it was more efficient than the three-factor model in explaining the return of eight of the portfolios formulated, with emphasis on an explanatory capacity of more than 70% for the lower value (small) portfolios that do not pay dividends and pay incremental dividends, therefore assuming a relevant role for the investment decisions in portfolios that have extreme dividend distribution. In addition, the results show that the Payout factor was significant in nine of the twelve portfolios. In portfolios where there was no dividend payment, their impact was negative, implying that the higher the return of these portfolios, the lower the probability of a premium for the Payout factor. In turn, for the portfolios that paid minimum and incremental dividends, there is a direct relationship with the return of the cards. Thus, this study corroborates the theories concerning the relevance of dividends by Lintner (1956) and Gordon (1959). Author Biographies Kliver Lamarthine Alves Confessor, Universidade Federal do Vale do São Francisco Universidade Federal do Vale do São Francisco. Address: Rua Antônio Figueira Sampaio, 134 | Nossa Sra. De Graças | 56000-000 | Salgueiro, Pernambuco/PE | Brazil. Joséte Florencio dos Santos, Universidade Federal de Pernambuco Universidade Federal de Pernambuco. Address: Av. Professor Moraes Rego, 1235. Centro de Ciências Sociais Aplicadas | Cidade Universitária | 50670-901 | Recife, Pernambuco/PE | Brazil. References Almeida, L. A. G., Pereira, E. T., & Tavares, F. O. (2015). Determinantes da política de dividendos: evidência de Portugal. Revista Brasileira de Gestão de Negócios, 17(54), 701-719. DOI: https://doi.org/10.7819/rbgn.v17i54.1943

Keywords: