Tests of Conditional Asset Pricing Models in the Brazilian Stock Market
dc.contributor.author | Bonomo, Marco | |
dc.contributor.author | Garcia, René | |
dc.date.accessioned | 2006-09-22T19:56:06Z | |
dc.date.available | 2006-09-22T19:56:06Z | |
dc.date.issued | 1997 | |
dc.identifier.uri | http://hdl.handle.net/1866/479 | |
dc.format.extent | 149496 bytes | |
dc.format.mimetype | application/pdf | |
dc.publisher | Université de Montréal. Département de sciences économiques. | fr |
dc.subject | conditional CAPM | |
dc.subject | conditional APT | |
dc.subject | efficiency of markets | |
dc.subject | time-varying risk and returns | |
dc.title | Tests of Conditional Asset Pricing Models in the Brazilian Stock Market | |
dc.type | Article | |
dc.contributor.affiliation | Université de Montréal. Faculté des arts et des sciences. Département de sciences économiques | |
dcterms.abstract | 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 (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. the conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from a total of 25 securities exchanged on the Brazilian markets. the inclusion of this second factor proves to be crucial for the appropriate pricing of the portfolios. | |
dcterms.isPartOf | urn:ISSN:0709-9231 | |
UdeM.VersionRioxx | Version publiée / Version of Record | |
oaire.citationTitle | Cahier de recherche | |
oaire.citationIssue | 1997 |
Files in this item
This item appears in the following Collection(s)
This document disseminated on Papyrus is the exclusive property of the copyright holders and is protected by the Copyright Act (R.S.C. 1985, c. C-42). It may be used for fair dealing and non-commercial purposes, for private study or research, criticism and review as provided by law. For any other use, written authorization from the copyright holders is required.