Now showing items 1-1 of 1
Tests of Conditional Asset Pricing Models in the Brazilian Stock Market
(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 ...