Tests of conditional asset pricing models in the brazilian stock market
| Data(s) |
13/05/2008
13/05/2008
01/07/1999
|
|---|---|
| Resumo |
In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the period 1976-1992. We also test a conditional APT modeI by using the difference between the 3-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. The conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from individual securities exchanged on the Brazilian markets. The inclusion of this second factor proves to be important for the appropriate pricing of the portfolios. |
| Identificador |
0104-8910 |
| Idioma(s) |
en_US |
| Publicador |
Escola de Pós-Graduação em Economia da FGV |
| Relação |
Ensaios Econômicos;350 |
| Direitos |
Todo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveis. |
| Palavras-Chave | #Conditional CAPM #Conditional APT #Efficiency of markets #Time-varying risk and returns #Avaliação de ativos - Modelo (CAPM) #Economia |
| Tipo |
Working Paper |
