Parcourir Faculté des arts et des sciences – Département de sciences économiques par sujet "risque et rendements variables dans le temps"

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  • Tests of Conditional Asset Pricing Models in the Brazilian Stock Market 

    Bonomo, Marco; Garcia, René (Université de Montréal. Département de sciences économiques., 1997)
    In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the 1976-1992 period. We also test a conditional APT model by using the difference between the 30-day rate ...