STUDY ABOUT THE DYNAMICS OF CONSUMPTION CAPITAL ASSET PRICING MODEL (C-CAPM): A THEORETICAL STUDY

Detalhes bibliográficos
Autor(a) principal: Morozini, João Francisco
Data de Publicação: 2009
Outros Autores: Cardoso, Carlos Eduardo, Ferreira, Endrei Giffoni
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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spelling 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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