Análise comparativa dos modelos CAPM tradicional e condicional : um estudo de caso do clube de investimento AIVALE

• Autor(a) principal: Barbosa, Claudio Alan de Melo
• Data de Publicação: 2009
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Repositório Institucional da Universidade Federal do Espírito Santo (riUfes)
• Texto Completo: http://repositorio.ufes.br/handle/10/5974
• topic: Risk; Investor's preference; Investment Clubs; CAPM; GARCH-M models; Preferência do investidor; Clubes de Investimento; CAPM; Modelos GARCH-M; Preferência do investidor; Teoria Econômica; Risco(Economia); Modelo de precificação de ativos; Investimentos; Sociedades de investimentos; Risco (Economia); 330

The Model for Pricing of Financial Assets CAPM compares or correlates the returns of individual action with the returns of the market by risk index called Beta. The market is a pattern or common denominator to obtain what is known as risk not diverse, also called of systemic risk. So that was a comparative study between two types of pricing of assets, traditional CAPM and conditional CAPM, whereas the latter uses the GARCH-M model, able to incorporate the conditional variance in its estimation. The Brazilian financial market over the past years, was the scene of a major growth and consolidation of Brazil at the national and international community. Thus, the BOVESPA, in an attempt to make the practice of investing in more stock to reach the population regulated investment clubs, allowing the entry of small investors, but these, together in clubs, eventually become investors in great potential, and investment club AIVALE, one of which was soon made to create a large gain in its assets. It was possible to study the behavior of its variance, and determine the best model based on the Beta.