APPLICATION OF ALTERNATIVE CAPM METHODOLOGIES IN VARIOUS BRAZILIAN CAPITAL MARKET SCENARIOS

• Autor(a) principal: Matias Filho, José
• Data de Publicação: 2010
• Outros Autores: Nakamura, Wilson Toshiro, Bastos, Douglas Dias
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: Administração (São Paulo. Online)
• Texto Completo: https://raep.emnuvens.com.br/raep/article/view/132
• topic: risk and return; asset pricing; beta; CAPM; stock market; risco e retorno; precificação de ativos; beta; CAPM; mercado de ações

Countless studies have been conducted aiming to measure the component of risk involved in the expected return on capital investments. The aim of this study is to compare the results obtained in the various Capital Asset Pricing Model (CAPM) calculation methodologies with the effective results presented by shares in the Brazilian market for the period 2000-2004. These calculations use four methodologies for determining the beta index and three methodologies for calculating the CAPM, spread over eight distinct macroeconomic scenarios. The survey sought to determine equality relationships among the group of the various expected returns obtained and the effective behavior of returns on assets studied in variousscenarios. The study used the statistical method known as Hypothesis Testing of the Difference between Two Population Means to compare the various series of expected returns obtained with the respective effective returns. The results obtained suggest the indication of some methodologies and scenarios as valid tools in the prediction of future returns on these assets, especially when variables are introduced that take into account the country risk in their measurement.