STUDY ABOUT THE DYNAMICS OF CONSUMPTION CAPITAL ASSET PRICING MODEL (C-CAPM): A THEORETICAL STUDY
Autor(a) principal: | |
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Data de Publicação: | 2009 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Revista Universo Contábil |
Texto Completo: | https://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/1400 |
Resumo: | The appearance of Consumption Capital Asset Pricing Model (C-CAPM) happened from the proposition of initial researches of Merton (1973) and Breeden (1979) who aimed to universalize the model Capital Asset Pricing Model (CAPM) developed by Sharpe (1964) and Lintner (1965) in an intertemporal context. The goal of this article was to provide a theoretical base to study the pricing of assets through the C-CAPM. In order to develop the theory, instead of considering a complete generality model, it is necessary at first to establish some limits. For the development of the model it is considered that all the consumers are alike in behavior and have endless life. This consumer will be defined as the representative agent who will determine how the assets will be priced. The methodology applied was a theoretical study about the model dynamics, searching as a result to approach the theory to reality, as being a dynamic model of assets pricing. It was concluded that by using the institution of a representative agent, the C-CAPM is not able to explain empirically the historic data about the return of risk assets, of free assets and, last but not least, of risk award. |
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STUDY ABOUT THE DYNAMICS OF CONSUMPTION CAPITAL ASSET PRICING MODEL (C-CAPM): A THEORETICAL STUDYESTUDO SOBRE A DINÂMICA DO CONSUMPITION CAPITAL ASSET PRINCING MODEL (C-CAPM): UM ESTUDO TEÓRICOCAPM. C-CAPM. Asset pricing. FinancesCAPMC-CAPMPrecificação de ativosFinanças.The appearance of Consumption Capital Asset Pricing Model (C-CAPM) happened from the proposition of initial researches of Merton (1973) and Breeden (1979) who aimed to universalize the model Capital Asset Pricing Model (CAPM) developed by Sharpe (1964) and Lintner (1965) in an intertemporal context. The goal of this article was to provide a theoretical base to study the pricing of assets through the C-CAPM. In order to develop the theory, instead of considering a complete generality model, it is necessary at first to establish some limits. For the development of the model it is considered that all the consumers are alike in behavior and have endless life. This consumer will be defined as the representative agent who will determine how the assets will be priced. The methodology applied was a theoretical study about the model dynamics, searching as a result to approach the theory to reality, as being a dynamic model of assets pricing. It was concluded that by using the institution of a representative agent, the C-CAPM is not able to explain empirically the historic data about the return of risk assets, of free assets and, last but not least, of risk award.O surgimento do Consumpition Capital Asset Pricin Model (C-CAPM) se deu da proposição dos trabalhos iniciais de Merton (1973) e de Breeden (1979) que tinham como objetivo universalizar o modelo Capital Asset Pricin Model (CAPM) desenvolvido por Sharpe (1964) e Lintner (1965) na contextualização intertemporal. O objetivo deste artigo foi fornecer um embasamento teórico para estudar a precificação dos ativos por meio do C-CAPM. Para o desenvolvimento da teoria, em vez de considerarmos um modelo de generalidade completa é necessário inicialmente estabelecer alguma limitação. Para o desenvolvimento do modelo considera-se que todos os consumidores são idênticos em comportamento e têm vida infinita. Este consumidor será definido como o agente representativo que definirá como os ativos serão precificados. A metodologia adotada foi um estudo teórico sobre a dinâmica do modelo, buscando como resultado aproximar a teoria da realidade, tratando-se de um modelo dinâmico de precificação de ativos. Concluiu-se que utilizando o estabelecimento de um agente representativo, o C-CAPM não consegue explicar empiricamente os dados históricos de retorno de ativos de risco, de ativos livres de risco e por fim do prêmio de risco.Universidade Regional de Blumenau2009-08-13info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/140010.4270/ruc.20095Revista Universo Contábil; v. 5 n. 2 (2009); 06-231809-33371809-3337reponame:Revista Universo Contábilinstname:Universidade Regional de Blumenau (FURB)instacron:FURBporhttps://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/1400/956Copyright (c) 2014 Revista Universo Contábilinfo:eu-repo/semantics/openAccessMorozini, João FranciscoCardoso, Carlos EduardoFerreira, Endrei Giffoni2009-08-13T16:20:26Zoai:ojs.bu.furb.br:article/1400Revistahttps://proxy.furb.br/ojs/index.php/universocontabil/PUBhttps://proxy.furb.br/ojs/index.php/universocontabil/oai||universocontabil@furb.br1809-33371809-3337opendoar:2009-08-13T16:20:26Revista Universo Contábil - Universidade Regional de Blumenau (FURB)false |
dc.title.none.fl_str_mv |
STUDY ABOUT THE DYNAMICS OF CONSUMPTION CAPITAL ASSET PRICING MODEL (C-CAPM): A THEORETICAL STUDY ESTUDO SOBRE A DINÂMICA DO CONSUMPITION CAPITAL ASSET PRINCING MODEL (C-CAPM): UM ESTUDO TEÓRICO |
title |
STUDY ABOUT THE DYNAMICS OF CONSUMPTION CAPITAL ASSET PRICING MODEL (C-CAPM): A THEORETICAL STUDY |
spellingShingle |
STUDY ABOUT THE DYNAMICS OF CONSUMPTION CAPITAL ASSET PRICING MODEL (C-CAPM): A THEORETICAL STUDY Morozini, João Francisco CAPM. C-CAPM. Asset pricing. Finances CAPM C-CAPM Precificação de ativos Finanças. |
title_short |
STUDY ABOUT THE DYNAMICS OF CONSUMPTION CAPITAL ASSET PRICING MODEL (C-CAPM): A THEORETICAL STUDY |
title_full |
STUDY ABOUT THE DYNAMICS OF CONSUMPTION CAPITAL ASSET PRICING MODEL (C-CAPM): A THEORETICAL STUDY |
title_fullStr |
STUDY ABOUT THE DYNAMICS OF CONSUMPTION CAPITAL ASSET PRICING MODEL (C-CAPM): A THEORETICAL STUDY |
title_full_unstemmed |
STUDY ABOUT THE DYNAMICS OF CONSUMPTION CAPITAL ASSET PRICING MODEL (C-CAPM): A THEORETICAL STUDY |
title_sort |
STUDY ABOUT THE DYNAMICS OF CONSUMPTION CAPITAL ASSET PRICING MODEL (C-CAPM): A THEORETICAL STUDY |
author |
Morozini, João Francisco |
author_facet |
Morozini, João Francisco Cardoso, Carlos Eduardo Ferreira, Endrei Giffoni |
author_role |
author |
author2 |
Cardoso, Carlos Eduardo Ferreira, Endrei Giffoni |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Morozini, João Francisco Cardoso, Carlos Eduardo Ferreira, Endrei Giffoni |
dc.subject.por.fl_str_mv |
CAPM. C-CAPM. Asset pricing. Finances CAPM C-CAPM Precificação de ativos Finanças. |
topic |
CAPM. C-CAPM. Asset pricing. Finances CAPM C-CAPM Precificação de ativos Finanças. |
description |
The appearance of Consumption Capital Asset Pricing Model (C-CAPM) happened from the proposition of initial researches of Merton (1973) and Breeden (1979) who aimed to universalize the model Capital Asset Pricing Model (CAPM) developed by Sharpe (1964) and Lintner (1965) in an intertemporal context. The goal of this article was to provide a theoretical base to study the pricing of assets through the C-CAPM. In order to develop the theory, instead of considering a complete generality model, it is necessary at first to establish some limits. For the development of the model it is considered that all the consumers are alike in behavior and have endless life. This consumer will be defined as the representative agent who will determine how the assets will be priced. The methodology applied was a theoretical study about the model dynamics, searching as a result to approach the theory to reality, as being a dynamic model of assets pricing. It was concluded that by using the institution of a representative agent, the C-CAPM is not able to explain empirically the historic data about the return of risk assets, of free assets and, last but not least, of risk award. |
publishDate |
2009 |
dc.date.none.fl_str_mv |
2009-08-13 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/1400 10.4270/ruc.20095 |
url |
https://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/1400 |
identifier_str_mv |
10.4270/ruc.20095 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/1400/956 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2014 Revista Universo Contábil info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2014 Revista Universo Contábil |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade Regional de Blumenau |
publisher.none.fl_str_mv |
Universidade Regional de Blumenau |
dc.source.none.fl_str_mv |
Revista Universo Contábil; v. 5 n. 2 (2009); 06-23 1809-3337 1809-3337 reponame:Revista Universo Contábil instname:Universidade Regional de Blumenau (FURB) instacron:FURB |
instname_str |
Universidade Regional de Blumenau (FURB) |
instacron_str |
FURB |
institution |
FURB |
reponame_str |
Revista Universo Contábil |
collection |
Revista Universo Contábil |
repository.name.fl_str_mv |
Revista Universo Contábil - Universidade Regional de Blumenau (FURB) |
repository.mail.fl_str_mv |
||universocontabil@furb.br |
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1798945115400568832 |