Market Factor

Daily Returns: from January 2, 2001.


The Market Factor is the difference between the value-weighted daily return of the market portfolio (using all the eligible stocks as defined in Section 2) and the daily risk-free rate. The daily risk-free rate is computed from the 30-day DI Swap.


The Eligibility Criteria

A stock traded in BOVESPA is considered “eligible” for year t if it meets 3 criteria:

- The stock is the most traded stock of the firm (the one with the highest traded volume during last year);

- The stock was traded in more than 80% of the days in year t-1 with volume greater than R$ 500.000,00 per day. In case the stock was listed in year t-1, the period considered goes from the listing day to the last day of the year;

- The stock was initially listed prior to December of year t-1.