CAPM IN BRAZILIAN STUDIES: AN ANALYSIS OF THE RESEARCH
Autor(a) principal: | |
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Data de Publicação: | 2012 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Revista de contabilidade e organizações |
Texto Completo: | https://www.revistas.usp.br/rco/article/view/52659 |
Resumo: | For the last decades, the Capital Asset Pricing Model (CAPM) has also been a recurring theme in studies in accounting and finance in Brazil. We have gathered national academic papers from 1997 to 2008 on the CAPM and variants, presented in EnANPADs and national journals, in order to study their main methodological characteristics and findings. Descriptive statistics were used in the analysis. Almost 1/3 of the work compared CAPM with other models. The conventional version was the most used one. The following characteristics were identified on these papers: 1) for those which had confirmed the effectiveness of the theory: much of the data reported were incomplete; cross-section analysis prevailed; Ibovespa was the most used proxy of the market portfolio; SELIC was the most preferred proxy of the risk free asset; study periods between one and three years prevailed, 2) for those that had rejected it: most data were incomplete; focus on the cross-section analysis; testing periods from one to three years; and Ibovespa and CDI were the most invested proxies. Furthermore, the IGP-DI was the predomi- nant deflator, many didn’t indicate the type of share used, and the individual assets were the ones preferred in the empirical tests. We concluded that the model has been satisfactory in the country, despite the failure of some elements to precisely comply with the premises of the theory. Due to the deficiencies, though, many researchers have compared its performance with other models or have added factors that improve their efficiency. |
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CAPM IN BRAZILIAN STUDIES: AN ANALYSIS OF THE RESEARCHCAPM em estudos brasileiros: Uma análise da pesquisaContabilidadeCAPMModelos de Precificação de Ativos.Accounting and FinancesResearch on CAPMAsset Pricing ModelsFor the last decades, the Capital Asset Pricing Model (CAPM) has also been a recurring theme in studies in accounting and finance in Brazil. We have gathered national academic papers from 1997 to 2008 on the CAPM and variants, presented in EnANPADs and national journals, in order to study their main methodological characteristics and findings. Descriptive statistics were used in the analysis. Almost 1/3 of the work compared CAPM with other models. The conventional version was the most used one. The following characteristics were identified on these papers: 1) for those which had confirmed the effectiveness of the theory: much of the data reported were incomplete; cross-section analysis prevailed; Ibovespa was the most used proxy of the market portfolio; SELIC was the most preferred proxy of the risk free asset; study periods between one and three years prevailed, 2) for those that had rejected it: most data were incomplete; focus on the cross-section analysis; testing periods from one to three years; and Ibovespa and CDI were the most invested proxies. Furthermore, the IGP-DI was the predomi- nant deflator, many didn’t indicate the type of share used, and the individual assets were the ones preferred in the empirical tests. We concluded that the model has been satisfactory in the country, despite the failure of some elements to precisely comply with the premises of the theory. Due to the deficiencies, though, many researchers have compared its performance with other models or have added factors that improve their efficiency.Nas últimas décadas, o modelo de precificação de ativos financeiros CAPM (Capital Asset Pricing Model) tem se sido um tema recorrente nos estudos em contabilidade e finanças, também no Brasil. Com o intuito de conhecer suas principais características metodológicas e constatações, realizou-se um levantamento dos artigos acadêmicos abordando o CAPM e variantes no país, entre 1997 e 2008, apresentados nos EnANPADs e em periódicos nacionais,. A estatística descritiva foi utilizada nas análises. Constatou-se que, em quase 1/3 dos trabalhos houve comparações do CAPM com outros modelos. A versão convencional foi a mais utilizada, e os seguintes perfis foram identificados nesses artigos: 1) naqueles que confirmaram a efetividade da teoria: boa parte informou os dados de modo incompleto; prevaleceram as análises cross-section; o Ibovespa foi a proxy da carteira de mercado mais utilizada; a SELIC foi a proxie do ativo livre de risco preferida; os períodos de análise entre um e três anos predominaram, 2) naqueles que a refutaram: a maioria dos dados estavam incompletos; foco nas análises cross-section, e nos testes em períodos de um a três anos; e o Ibovespa e o CDI foram as proxies mais aplicadas. Além disso, o IGP-DI foi o deflacionador preponderante, muitos não indicaram o tipo de ação utilizada, e os ativos individuais tiveram preferência nos testes empíricos. Concluiu-se que o modelo tem sido satisfatório no país, apesar de alguns elementos utilizados na sua operacionalização não atenderem, exatamente, às premissas da teoria. Porém, devido às anomalias, o seu desempenho tem sido comparado com outros modelos, ou fatores que ampliem sua eficiência têm sido acrescentados.Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto2012-09-27info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionRevisão de Literatura/pesquisa empíricaapplication/pdfapplication/xmlhttps://www.revistas.usp.br/rco/article/view/5265910.11606/rco.v6i15.52659Revista de Contabilidade e Organizações; Vol. 6 No. 15 (2012); 95-122Revista de Contabilidade e Organizações; Vol. 6 Núm. 15 (2012); 95-122Revista de Contabilidade e Organizações; v. 6 n. 15 (2012); 95-1221982-6486reponame:Revista de contabilidade e organizaçõesinstname:Universidade de São Paulo (USP)instacron:USPporhttps://www.revistas.usp.br/rco/article/view/52659/56543https://www.revistas.usp.br/rco/article/view/52659/146411Araújo, Elisson Alberto TavaresOliveira, Victor do CarmoCastro Silva, Wendel Alexinfo:eu-repo/semantics/openAccess2018-08-28T16:39:29Zoai:revistas.usp.br:article/52659Revistahttps://www.revistas.usp.br/rcoPUBhttps://www.revistas.usp.br/rco/oairco@usp.br1982-64861982-6486opendoar:2018-08-28T16:39:29Revista de contabilidade e organizações - Universidade de São Paulo (USP)false |
dc.title.none.fl_str_mv |
CAPM IN BRAZILIAN STUDIES: AN ANALYSIS OF THE RESEARCH CAPM em estudos brasileiros: Uma análise da pesquisa |
title |
CAPM IN BRAZILIAN STUDIES: AN ANALYSIS OF THE RESEARCH |
spellingShingle |
CAPM IN BRAZILIAN STUDIES: AN ANALYSIS OF THE RESEARCH Araújo, Elisson Alberto Tavares Contabilidade CAPM Modelos de Precificação de Ativos. Accounting and Finances Research on CAPM Asset Pricing Models |
title_short |
CAPM IN BRAZILIAN STUDIES: AN ANALYSIS OF THE RESEARCH |
title_full |
CAPM IN BRAZILIAN STUDIES: AN ANALYSIS OF THE RESEARCH |
title_fullStr |
CAPM IN BRAZILIAN STUDIES: AN ANALYSIS OF THE RESEARCH |
title_full_unstemmed |
CAPM IN BRAZILIAN STUDIES: AN ANALYSIS OF THE RESEARCH |
title_sort |
CAPM IN BRAZILIAN STUDIES: AN ANALYSIS OF THE RESEARCH |
author |
Araújo, Elisson Alberto Tavares |
author_facet |
Araújo, Elisson Alberto Tavares Oliveira, Victor do Carmo Castro Silva, Wendel Alex |
author_role |
author |
author2 |
Oliveira, Victor do Carmo Castro Silva, Wendel Alex |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Araújo, Elisson Alberto Tavares Oliveira, Victor do Carmo Castro Silva, Wendel Alex |
dc.subject.por.fl_str_mv |
Contabilidade CAPM Modelos de Precificação de Ativos. Accounting and Finances Research on CAPM Asset Pricing Models |
topic |
Contabilidade CAPM Modelos de Precificação de Ativos. Accounting and Finances Research on CAPM Asset Pricing Models |
description |
For the last decades, the Capital Asset Pricing Model (CAPM) has also been a recurring theme in studies in accounting and finance in Brazil. We have gathered national academic papers from 1997 to 2008 on the CAPM and variants, presented in EnANPADs and national journals, in order to study their main methodological characteristics and findings. Descriptive statistics were used in the analysis. Almost 1/3 of the work compared CAPM with other models. The conventional version was the most used one. The following characteristics were identified on these papers: 1) for those which had confirmed the effectiveness of the theory: much of the data reported were incomplete; cross-section analysis prevailed; Ibovespa was the most used proxy of the market portfolio; SELIC was the most preferred proxy of the risk free asset; study periods between one and three years prevailed, 2) for those that had rejected it: most data were incomplete; focus on the cross-section analysis; testing periods from one to three years; and Ibovespa and CDI were the most invested proxies. Furthermore, the IGP-DI was the predomi- nant deflator, many didn’t indicate the type of share used, and the individual assets were the ones preferred in the empirical tests. We concluded that the model has been satisfactory in the country, despite the failure of some elements to precisely comply with the premises of the theory. Due to the deficiencies, though, many researchers have compared its performance with other models or have added factors that improve their efficiency. |
publishDate |
2012 |
dc.date.none.fl_str_mv |
2012-09-27 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Revisão de Literatura/pesquisa empírica |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://www.revistas.usp.br/rco/article/view/52659 10.11606/rco.v6i15.52659 |
url |
https://www.revistas.usp.br/rco/article/view/52659 |
identifier_str_mv |
10.11606/rco.v6i15.52659 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://www.revistas.usp.br/rco/article/view/52659/56543 https://www.revistas.usp.br/rco/article/view/52659/146411 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/xml |
dc.publisher.none.fl_str_mv |
Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto |
publisher.none.fl_str_mv |
Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto |
dc.source.none.fl_str_mv |
Revista de Contabilidade e Organizações; Vol. 6 No. 15 (2012); 95-122 Revista de Contabilidade e Organizações; Vol. 6 Núm. 15 (2012); 95-122 Revista de Contabilidade e Organizações; v. 6 n. 15 (2012); 95-122 1982-6486 reponame:Revista de contabilidade e organizações instname:Universidade de São Paulo (USP) instacron:USP |
instname_str |
Universidade de São Paulo (USP) |
instacron_str |
USP |
institution |
USP |
reponame_str |
Revista de contabilidade e organizações |
collection |
Revista de contabilidade e organizações |
repository.name.fl_str_mv |
Revista de contabilidade e organizações - Universidade de São Paulo (USP) |
repository.mail.fl_str_mv |
rco@usp.br |
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1797054144718045184 |