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RESUMO Este trabalho implementa as fronteiras de variância mínima para o fator de desconto estocástico, conforme Hansen e Jagannathan (1991) e Cochrane e Hansen (1992) Hansen and Jagannathan (1991) and Cochrane and Hansen (1992), for the Brazilian stock market. Two approaches are considered in terms of equity returns and equity premium, respectively, the Equity Premium Puzzle and the Low Interest Rate Puzzle. Furthermore, we apply also the econometric test of Burnside (1994) in these approaches. The criteria based on equity return results in an invalid discount factor. On the other hand, the approach using the equity premium, according to Cochrane and Hansen (1992)

Hedonic modeling has become a benchmark for pricing real assets with several intrinsic characteristics. This work tests also others dimensions for asset pricing: the quality of life in the housing neighborhood and macroeconomic variables. The data is about the real estate market in São Paulo city from January 2001 to March 2008. The main results were: the longer the maturity of mortgage financing, the larger the housing price, but decreasing interest rate spread stimulate the real estate market, and the interactions between the dummy for the boom period and either housing characteristics or bank interest rates spread show that the hedonic model loses its relative importance for pricing, while market risk variables become much more relevant. Thus, these new findings suggests that for modeling a house price index it is not sufficient to consider only average prices or a hedonic approach, but both the market and credit risks as well.

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