Tests of conditional asset pricing models in the brazilian stock market

Detalhes bibliográficos
Autor(a) principal: Bonomo, Marco Antônio Cesar
Data de Publicação: 1999
Outros Autores: Garcia, René
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/394
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.
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spelling Bonomo, Marco Antônio CesarGarcia, RenéEscolas::EPGEFGV2008-05-13T15:23:25Z2008-05-13T15:23:25Z1999-070104-8910http://hdl.handle.net/10438/394In 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.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;350Todo 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 cabíveisinfo:eu-repo/semantics/openAccessConditional CAPMConditional APTEfficiency of marketsAvaliação de ativos - Modelo (CAPM)Time-varying risk and returnsEconomiaModelo de precificação de ativosEconomiaTests of conditional asset pricing models in the brazilian stock marketinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL000089213.pdf000089213.pdfapplication/pdf1017742https://repositorio.fgv.br/bitstreams/6834b507-dfe4-456f-92d3-318d954495a1/download1992fdf81d41132282d14f2c2b5530e4MD51TEXT000089213.pdf.txt000089213.pdf.txtExtracted texttext/plain47966https://repositorio.fgv.br/bitstreams/241e6b42-8f37-4e75-b239-544b5ae3b526/download1c4bfe0d7b682babbf9047c497e824a3MD56THUMBNAIL000089213.pdf.jpg000089213.pdf.jpgGenerated Thumbnailimage/jpeg3446https://repositorio.fgv.br/bitstreams/61fe1b35-ed54-47d4-8d20-ab81770b740d/download518dfb5af198487a3f1547818b2a11a9MD5710438/3942023-11-09 16:10:50.907open.accessoai:repositorio.fgv.br:10438/394https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-09T16:10:50Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false
dc.title.eng.fl_str_mv Tests of conditional asset pricing models in the brazilian stock market
title Tests of conditional asset pricing models in the brazilian stock market
spellingShingle Tests of conditional asset pricing models in the brazilian stock market
Bonomo, Marco Antônio Cesar
Conditional CAPM
Conditional APT
Efficiency of markets
Avaliação de ativos - Modelo (CAPM)
Time-varying risk and returns
Economia
Modelo de precificação de ativos
Economia
title_short Tests of conditional asset pricing models in the brazilian stock market
title_full Tests of conditional asset pricing models in the brazilian stock market
title_fullStr Tests of conditional asset pricing models in the brazilian stock market
title_full_unstemmed Tests of conditional asset pricing models in the brazilian stock market
title_sort Tests of conditional asset pricing models in the brazilian stock market
author Bonomo, Marco Antônio Cesar
author_facet Bonomo, Marco Antônio Cesar
Garcia, René
author_role author
author2 Garcia, René
author2_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Bonomo, Marco Antônio Cesar
Garcia, René
dc.subject.por.fl_str_mv Conditional CAPM
Conditional APT
Efficiency of markets
Avaliação de ativos - Modelo (CAPM)
topic Conditional CAPM
Conditional APT
Efficiency of markets
Avaliação de ativos - Modelo (CAPM)
Time-varying risk and returns
Economia
Modelo de precificação de ativos
Economia
dc.subject.eng.fl_str_mv Time-varying risk and returns
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Modelo de precificação de ativos
Economia
description 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.
publishDate 1999
dc.date.issued.fl_str_mv 1999-07
dc.date.accessioned.fl_str_mv 2008-05-13T15:23:25Z
dc.date.available.fl_str_mv 2008-05-13T15:23:25Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/394
dc.identifier.issn.none.fl_str_mv 0104-8910
identifier_str_mv 0104-8910
url http://hdl.handle.net/10438/394
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv Ensaios Econômicos;350
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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