Asset Pricing Model (CAPM) in Emerging Markets: Evidence in BRICS nations and comparisons with other G20
Autor(a) principal: | |
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Data de Publicação: | 2019 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Future Studies Research Journal: Trends and Strategies |
Texto Completo: | https://www.revistafuture.org/FSRJ/article/view/360 |
Resumo: | The objective of this paper is to empirically investigate the applicability of the asset pricing model in a portfolio made up of groups of countries, the G20 for this case. In the meantime, it was intended to compare a complete sample of 14 constituent countries of the group, a subsample of four countries belonging to the BRICS and another of the countries that do not belong. The survey sample consisted of long-term interest rate data from these countries collected in the OECD database and also from the Central Bank of Brazil (Bacen). Based on the results of the regression of Panel data on fixed effects, we found evidence that there is a statistically positive relationship between the market risk premium and the interest rate risk premiums. The regression betas showed that the interest rate risk premium is not sensitive when considering the full sample of the G20 countries but is sensitive in the BRICS sample. |
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Future Studies Research Journal: Trends and Strategies |
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Asset Pricing Model (CAPM) in Emerging Markets: Evidence in BRICS nations and comparisons with other G20Asset pricingBRICS countriesG20 countrieslong-term interest ratesThe objective of this paper is to empirically investigate the applicability of the asset pricing model in a portfolio made up of groups of countries, the G20 for this case. In the meantime, it was intended to compare a complete sample of 14 constituent countries of the group, a subsample of four countries belonging to the BRICS and another of the countries that do not belong. The survey sample consisted of long-term interest rate data from these countries collected in the OECD database and also from the Central Bank of Brazil (Bacen). Based on the results of the regression of Panel data on fixed effects, we found evidence that there is a statistically positive relationship between the market risk premium and the interest rate risk premiums. The regression betas showed that the interest rate risk premium is not sensitive when considering the full sample of the G20 countries but is sensitive in the BRICS sample.Future Studies Research Journal: Trends and Strategies2019-05-27info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed Articleapplication/pdfhttps://www.revistafuture.org/FSRJ/article/view/36010.24023/FutureJournal/2175-5825/2019.v11i2.360Future Studies Research Journal: Trends and Strategies; Vol. 11 No. 2 (2019): May - August; 162-175Future Studies Research Journal: Trends and Strategies [FSRJ]; v. 11 n. 2 (2019): May - August; 162-1752175-5825reponame:Future Studies Research Journal: Trends and Strategiesinstname:Fundação Instituto de Administração (FIA)instacron:FIAenghttps://www.revistafuture.org/FSRJ/article/view/360/439Copyright (c) 2019 Future Studies Research Journal: Trends and Strategiesinfo:eu-repo/semantics/openAccessRezende, Cláudio FranciscoPereira, Vinícius SilvaPenedo, Antonio Sergio Torres2020-05-01T21:01:55Zoai:ojs.future.emnuvens.com.br:article/360Revistahttps://www.revistafuture.org/FSRJ/oai2175-58252175-5825opendoar:2020-05-01T21:01:55Future Studies Research Journal: Trends and Strategies - Fundação Instituto de Administração (FIA)false |
dc.title.none.fl_str_mv |
Asset Pricing Model (CAPM) in Emerging Markets: Evidence in BRICS nations and comparisons with other G20 |
title |
Asset Pricing Model (CAPM) in Emerging Markets: Evidence in BRICS nations and comparisons with other G20 |
spellingShingle |
Asset Pricing Model (CAPM) in Emerging Markets: Evidence in BRICS nations and comparisons with other G20 Rezende, Cláudio Francisco Asset pricing BRICS countries G20 countries long-term interest rates |
title_short |
Asset Pricing Model (CAPM) in Emerging Markets: Evidence in BRICS nations and comparisons with other G20 |
title_full |
Asset Pricing Model (CAPM) in Emerging Markets: Evidence in BRICS nations and comparisons with other G20 |
title_fullStr |
Asset Pricing Model (CAPM) in Emerging Markets: Evidence in BRICS nations and comparisons with other G20 |
title_full_unstemmed |
Asset Pricing Model (CAPM) in Emerging Markets: Evidence in BRICS nations and comparisons with other G20 |
title_sort |
Asset Pricing Model (CAPM) in Emerging Markets: Evidence in BRICS nations and comparisons with other G20 |
author |
Rezende, Cláudio Francisco |
author_facet |
Rezende, Cláudio Francisco Pereira, Vinícius Silva Penedo, Antonio Sergio Torres |
author_role |
author |
author2 |
Pereira, Vinícius Silva Penedo, Antonio Sergio Torres |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Rezende, Cláudio Francisco Pereira, Vinícius Silva Penedo, Antonio Sergio Torres |
dc.subject.por.fl_str_mv |
Asset pricing BRICS countries G20 countries long-term interest rates |
topic |
Asset pricing BRICS countries G20 countries long-term interest rates |
description |
The objective of this paper is to empirically investigate the applicability of the asset pricing model in a portfolio made up of groups of countries, the G20 for this case. In the meantime, it was intended to compare a complete sample of 14 constituent countries of the group, a subsample of four countries belonging to the BRICS and another of the countries that do not belong. The survey sample consisted of long-term interest rate data from these countries collected in the OECD database and also from the Central Bank of Brazil (Bacen). Based on the results of the regression of Panel data on fixed effects, we found evidence that there is a statistically positive relationship between the market risk premium and the interest rate risk premiums. The regression betas showed that the interest rate risk premium is not sensitive when considering the full sample of the G20 countries but is sensitive in the BRICS sample. |
publishDate |
2019 |
dc.date.none.fl_str_mv |
2019-05-27 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://www.revistafuture.org/FSRJ/article/view/360 10.24023/FutureJournal/2175-5825/2019.v11i2.360 |
url |
https://www.revistafuture.org/FSRJ/article/view/360 |
identifier_str_mv |
10.24023/FutureJournal/2175-5825/2019.v11i2.360 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
https://www.revistafuture.org/FSRJ/article/view/360/439 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2019 Future Studies Research Journal: Trends and Strategies info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2019 Future Studies Research Journal: Trends and Strategies |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Future Studies Research Journal: Trends and Strategies |
publisher.none.fl_str_mv |
Future Studies Research Journal: Trends and Strategies |
dc.source.none.fl_str_mv |
Future Studies Research Journal: Trends and Strategies; Vol. 11 No. 2 (2019): May - August; 162-175 Future Studies Research Journal: Trends and Strategies [FSRJ]; v. 11 n. 2 (2019): May - August; 162-175 2175-5825 reponame:Future Studies Research Journal: Trends and Strategies instname:Fundação Instituto de Administração (FIA) instacron:FIA |
instname_str |
Fundação Instituto de Administração (FIA) |
instacron_str |
FIA |
institution |
FIA |
reponame_str |
Future Studies Research Journal: Trends and Strategies |
collection |
Future Studies Research Journal: Trends and Strategies |
repository.name.fl_str_mv |
Future Studies Research Journal: Trends and Strategies - Fundação Instituto de Administração (FIA) |
repository.mail.fl_str_mv |
|
_version_ |
1808843618086027264 |