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A common practice in business valuation and the determination of fair rates of return by regulatory agencies is to use the capital asset pricing model (CAPM) with the ad hoc addition of a country risk premium. The present paper documents this practice in the valuation reports required in public acquisition offers available on the CVM (Brazilian Securities and Exchange Commission) website. Multiple linear regression is used with monthly returns for stock shares of 204 firms listed on the BM&FBovespa (Brazilian Stock Exchange). The period covered is from January 2009 to December 2013, and the results indicate that there is a premium for Brazilian risk that is not completely reflected in Ibovespa returns for only 17 securities. Hence, if one uses the local market index when estimating a firm's cost of equity, it would be both redundant and incorrect to add a country risk premium. The paper concludes with a real company example in which the adoption of the conventional approach -- with a country risk premium added -- would lead to a 17% pricing error. [ABSTRACT FROM AUTHOR]

A precificação de ativos é um tema bastante explorado pela literatura financeira. Apesar disso, o fenômeno do value premium permanece controverso, uma vez que, embora facilmente detectado nos mercados desenvolvidos e emergentes, pouco se sabe efetivamente sobre as forças econômicas que explicam sua existência. Nesse contexto, este artigo se propôs a identificar o value premium no mercado brasileiro, bem como a verificar a influência da variável macroeconômica risco-país como um fator de risco adicional para os retornos condicionados desse mercado, ainda não captado pelo value premium. Para tal, foi proposto um modelo de cinco fatores, que consistiu na adição do fator risco-país ao modelo de Carhart (1997). O procedimento estatístico adotado foi o de Fama e French (1993) para o período compreendido entre 1994 e 2012, sendo utilizados dados de empresas não financeiras listadas na BM&FBovespa. A existência do value premium no mercado nacional foi confirmada e o risco-país e o value premium se apresentaram conjuntamente como fatores significativos para a explicação dos retornos condicionados. [ABSTRACT FROM AUTHOR]

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