Conditional pricing model with heteroscedasticity: Evaluation of Brazilian funds

• Autor(a) principal: Costa, Leandro Santos da
• Data de Publicação: 2019
• Outros Autores: Blank, Frances Fischberg, Oliveira, Fernando Luiz Cyrino, Villalobos, Cristian Enrique Muñoz
• Tipo de documento: Artigo
• Idioma: por; eng
• Título da fonte: Revista de Administração de Empresas
• Texto Completo: https://periodicos.fgv.br/rae/article/view/79997
• topic: Conditional Capital Asset Pricing Model; Kalman filter; time-varying betas; investment funds; performance analysis; Modelo de valoración de activos de capital condicional; filtro de Kalman; betas variantes en el tiempo; fondos de inversión; análisis de rendimiento; Modelo de precificação de ativos financeiros condicional; filtro de Kalman; betas variantes no tempo; fundos de investimento; análise de performance

Empirical studies have revealed that the conditional Capital Asset Pricing Model (CAPM) has a higher explanatory power than its unconditional version, particularly for the model in state-space form where the beta is estimated using Kalman filter. Most empirical analyses are based on stock portfolios to explain financial anomalies, but only a few studies proposed improving investment fund performance. The main contribution of this study is the assessment of Brazilian investment funds through traditional measures estimated from the CAPM model in state-space form with heteroscedastic and homoscedastic errors com­pared to alternative models, such as the unconditional CAPM and a four-factor model. Using a sample of stock funds from May 2005–April 2015, the results indicate that the conditional CAPM model produces better results than the alternative models, providing better performance evaluation practices for funds in both stock-picking and market-timing ability.