Determining the risk-free rate for applying the CAPM in the brazilian market

Detalhes bibliográficos
Autor(a) principal: Piccoli, Pedro Guilherme Ribeiro
Data de Publicação: 2014
Outros Autores: Cruz, June Alisson Westarb, Citadin, Michael Willian
Tipo de documento: Artigo
Idioma: por
Título da fonte: Revista Brasileira de Contabilidade e Gestão
Texto Completo: https://www.revistas.udesc.br/index.php/reavi/article/view/4091
Resumo: The adaptation of CAPM (Capital Asset Pricing Model) to Brazilian market has been subject for several academic papers. One of the aspects related to the subject refers to the parameterization of the risk-free rate (Rf), usually oscillating in the literature between the Poupança Yield, the Selic rate and the yield from US treasury bonds. The following paper aimed to discover which of these constructs has the better fit to the CAPM’s risk free rate in Brazil. Basing on the flight to quality phenomena, we compared the behavior of Ibovespa with the behavior of these constructs. The conclusion is that, although all presented significant correlation with Ibovespa, the quality to explain the Ibovespa performance was better for the US treasury bonds, classifying it as the recommended asset to the risk-free rate in Brazil.
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spelling Determining the risk-free rate for applying the CAPM in the brazilian marketDeterminando la tasa libre de riesgo para la aplicación de CAPM en el mercado brasileñoDeterminando a taxa livre de risco para a aplicação do CAPM no mercado brasileirotaxa livre de riscoCAPMaversão ao riscoflight to quality risk-free rateCAPMrisk aversion flight to quality tasa libre de riesgo CAPMaversión al riesgovuelo a la calidad The adaptation of CAPM (Capital Asset Pricing Model) to Brazilian market has been subject for several academic papers. One of the aspects related to the subject refers to the parameterization of the risk-free rate (Rf), usually oscillating in the literature between the Poupança Yield, the Selic rate and the yield from US treasury bonds. The following paper aimed to discover which of these constructs has the better fit to the CAPM’s risk free rate in Brazil. Basing on the flight to quality phenomena, we compared the behavior of Ibovespa with the behavior of these constructs. The conclusion is that, although all presented significant correlation with Ibovespa, the quality to explain the Ibovespa performance was better for the US treasury bonds, classifying it as the recommended asset to the risk-free rate in Brazil.La adaptación del CAPM al mercado brasileño ha sido tema de diversos estudios académicos. Uno de los aspectos relacionados con el tema se refiere a la parametrización de la tasa libre de riesgo (Rf), oscilando comúnmente en la literatura entre la remuneración del ahorro, la tasa Selic y los intereses de los treasury bonds norteamericanos. El presente artículo buscó establecer cuál de estas variables es la más adecuada para el concepto de tasa libre de riesgo CAPM en Brasil. Con base en el fenómeno del flight to quality, se comparó el comportamiento del Ibovespa con el comportamiento de estos constructos durante la última crisis financiera. La conclusión es que, si bien todos presentaron correlaciones significativas con el Ibovespa en el período, el mayor poder explicativo para el desempeño de la bolsa se debió al comportamiento de los treasury bonds, y es el activo recomendado para el concepto de tasa libre de riesgo en Brasil.A adaptação do CAPM ao mercado brasileiro tem sido tema de diversos estudos acadêmicos. Um dos aspectos relacionados ao tema refere-se à parametrização da taxa livre de risco (Rf), comumente oscilando na literatura entre a remuneração da poupança, a taxa Selic e o juro dos treasury bonds norte-americanos. O presente artigo buscou estabelecer qual destas variáveis é a mais adequada para o conceito de taxa livre de risco do CAPM no Brasil. Baseando-se no fenômeno do flight to quality, comparou-se o comportamento do Ibovespa com o comportamento destes constructos durante a última crise financeira. A conclusão é que, ainda que todos tenham apresentado correlações significativas com o Ibovespa no período, o maior poder explicativo para o desempenho da bolsa deveu-se ao comportamento dos treasury bonds, sendo ele o ativo recomendado para o conceito de taxa livre de risco no Brasil.Universidade do Estado de Santa Catarina — UDESC2014-12-23info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.udesc.br/index.php/reavi/article/view/409110.5965/2316419003042014001Revista Brasileira de Contabilidade e Gestão; Vol. 3 No. 6 (2014); 01-11Revista Brasileira de Contabilidade e Gestão; Vol. 3 Núm. 6 (2014); 01-11Revista Brasileira de Contabilidade e Gestão; v. 3 n. 6 (2014); 01-112764-747110.5965/2764747103062014reponame:Revista Brasileira de Contabilidade e Gestãoinstname:Universidade do Estado de Santa Catarina (UDESC)instacron:UDESCporhttps://www.revistas.udesc.br/index.php/reavi/article/view/4091/4196Copyright (c) 2015 Pedro Guilherme Ribeiro Piccoli, June Alisson Westarb Cruz, Michael Willian Citadinhttps://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessPiccoli, Pedro Guilherme RibeiroCruz, June Alisson WestarbCitadin, Michael Willian2023-09-18T14:02:56Zoai::article/4091Revistahttps://www.revistas.udesc.br/index.php/reavi/indexPUBhttps://www.revistas.udesc.br/index.php/reavi/oairbceg.ceavi@udesc.br || paulo.barth@udesc.br2764-74712764-7471opendoar:2023-09-18T14:02:56Revista Brasileira de Contabilidade e Gestão - Universidade do Estado de Santa Catarina (UDESC)false
dc.title.none.fl_str_mv Determining the risk-free rate for applying the CAPM in the brazilian market
Determinando la tasa libre de riesgo para la aplicación de CAPM en el mercado brasileño
Determinando a taxa livre de risco para a aplicação do CAPM no mercado brasileiro
title Determining the risk-free rate for applying the CAPM in the brazilian market
spellingShingle Determining the risk-free rate for applying the CAPM in the brazilian market
Piccoli, Pedro Guilherme Ribeiro
taxa livre de risco
CAPM
aversão ao risco
flight to quality
risk-free rate
CAPM
risk aversion
flight to quality
tasa libre de riesgo
CAPM
aversión al riesgo
vuelo a la calidad
title_short Determining the risk-free rate for applying the CAPM in the brazilian market
title_full Determining the risk-free rate for applying the CAPM in the brazilian market
title_fullStr Determining the risk-free rate for applying the CAPM in the brazilian market
title_full_unstemmed Determining the risk-free rate for applying the CAPM in the brazilian market
title_sort Determining the risk-free rate for applying the CAPM in the brazilian market
author Piccoli, Pedro Guilherme Ribeiro
author_facet Piccoli, Pedro Guilherme Ribeiro
Cruz, June Alisson Westarb
Citadin, Michael Willian
author_role author
author2 Cruz, June Alisson Westarb
Citadin, Michael Willian
author2_role author
author
dc.contributor.author.fl_str_mv Piccoli, Pedro Guilherme Ribeiro
Cruz, June Alisson Westarb
Citadin, Michael Willian
dc.subject.por.fl_str_mv taxa livre de risco
CAPM
aversão ao risco
flight to quality
risk-free rate
CAPM
risk aversion
flight to quality
tasa libre de riesgo
CAPM
aversión al riesgo
vuelo a la calidad
topic taxa livre de risco
CAPM
aversão ao risco
flight to quality
risk-free rate
CAPM
risk aversion
flight to quality
tasa libre de riesgo
CAPM
aversión al riesgo
vuelo a la calidad
description The adaptation of CAPM (Capital Asset Pricing Model) to Brazilian market has been subject for several academic papers. One of the aspects related to the subject refers to the parameterization of the risk-free rate (Rf), usually oscillating in the literature between the Poupança Yield, the Selic rate and the yield from US treasury bonds. The following paper aimed to discover which of these constructs has the better fit to the CAPM’s risk free rate in Brazil. Basing on the flight to quality phenomena, we compared the behavior of Ibovespa with the behavior of these constructs. The conclusion is that, although all presented significant correlation with Ibovespa, the quality to explain the Ibovespa performance was better for the US treasury bonds, classifying it as the recommended asset to the risk-free rate in Brazil.
publishDate 2014
dc.date.none.fl_str_mv 2014-12-23
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://www.revistas.udesc.br/index.php/reavi/article/view/4091
10.5965/2316419003042014001
url https://www.revistas.udesc.br/index.php/reavi/article/view/4091
identifier_str_mv 10.5965/2316419003042014001
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://www.revistas.udesc.br/index.php/reavi/article/view/4091/4196
dc.rights.driver.fl_str_mv https://creativecommons.org/licenses/by/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade do Estado de Santa Catarina — UDESC
publisher.none.fl_str_mv Universidade do Estado de Santa Catarina — UDESC
dc.source.none.fl_str_mv Revista Brasileira de Contabilidade e Gestão; Vol. 3 No. 6 (2014); 01-11
Revista Brasileira de Contabilidade e Gestão; Vol. 3 Núm. 6 (2014); 01-11
Revista Brasileira de Contabilidade e Gestão; v. 3 n. 6 (2014); 01-11
2764-7471
10.5965/2764747103062014
reponame:Revista Brasileira de Contabilidade e Gestão
instname:Universidade do Estado de Santa Catarina (UDESC)
instacron:UDESC
instname_str Universidade do Estado de Santa Catarina (UDESC)
instacron_str UDESC
institution UDESC
reponame_str Revista Brasileira de Contabilidade e Gestão
collection Revista Brasileira de Contabilidade e Gestão
repository.name.fl_str_mv Revista Brasileira de Contabilidade e Gestão - Universidade do Estado de Santa Catarina (UDESC)
repository.mail.fl_str_mv rbceg.ceavi@udesc.br || paulo.barth@udesc.br
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