Equity Risk Premium Brazil
This project objective was to compare risk-free rate of Brazil (SELIC/CDI) versus equity returns measured by the Ibovespa Index (IBOV).
I gathered data from the time-series database from Central Bank of Brazil (BCB) and compared the returns in multiple windows to see which asset performed more. The asset who had a higher return was classified into a winner, then, I measured the percentage of wins through multiple windows.
At the time, the risk-free rate of Brazil (SELIC/CDI) have won more times than Ibovespa (IBOV).
If you want to see more details, go check out the repository on Github: https://github.com/gustavodemari/bovespa-x-cdi