The detailed procedure of calculating HML, SMB, WML and VMC risk factors and definitions of zero-investment portfolios based on them is summarized in Section "Description of risk factors".

Below we present the detailed description of the procedure of calculating HML, SMB, VML and VMC risk factors, definitions of zero-investment portfolios based on them and then our observation concerning these factors' dynamics.

The HML is a zero-investment portfolio that is long on the highest decile group of book-to-market (B/M) equity indices and short on the lowest decile group.

The SMB is a zero-investment portfolio that is long on the highest decile group of small capitalization (cap) equity indices and short on the lowest decile group.

The returns on the zero-investment portfolios from sorts on skewness remain relatively stable over time.

One observation of the emerging markets distorts the picture: although the asset pricing tests' hypotheses are rejected for the large, liquid, open, and developed countries, and accepted in their opposites, the sheer scale of the excess and abnormal returns on the zero-investment portfolios exceeds sometimes the second group.

Specifically, the procedure consists of forming zero-investment portfolios from assets that compose the sample, based on the magnitude of the accruals, and identifying the returns obtained by taking a long (short) position in assets with low (high) accruals and by hedging the returns of assets with extreme accruals.

For final verification of the occurrence of accrual anomaly in the Brazilian capital market, we constructed a zero-investment portfolio based on the magnitude of accruals.

The procedure generally used to test this property consists of analyzing a zero-investment portfolio.

The summary statistics also suggests relatively low correlations between excess market, SMB, HML and two zero-investment portfolios. Therefore, our preliminary investigation indicates a statistically robust role at least for the market and the value-growth factor.

[WML.sup.SR] and [WML.sup.LR] are the short-term and long-term based zero-investment portfolios respectively.

We also construct two other explanatory variables based on the zero-investment portfolio of momentum and reversal returns.