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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 ...
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 ...