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Aplicação do CAPM (Capital Asset Pricing Model) condicional por meio de métodos não-paramétricos para a economia brasileira: um estudo empírico do período 2002-2009; Application of conditional CAPM (Capital Asset Pricing Model) using nonparametrics methods for the Brazilian economy: an empirical study from 2002-2009

Galeno, Marcela Monteiro
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 04/10/2010 Português
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Essa dissertação procura analisar se as variações dos retornos de carteiras setoriais formadas por ações do Índice teórico da Bolsa de Valores de São Paulo (Ibovespa), do primeiro quadrimestre de 2010, podem ser explicadas pelo CAPM condicional não-paramétrico proposto por Wang (2002) e também por quatro variáveis de informação disponíveis aos investidores: (i) percentual de variação do nível de produção industrial brasileira; (ii) percentual de variação do monetário agregado M4; (iii) percentual de variação da inflação representada pelo Índice de Preços ao Consumidor Amplo (IPCA); e (iv) percentual de variação da taxa de câmbio real-dólar, obtida pela cotação do dólar PTAX. O estudo compreendeu as ações listadas na Bolsa de Valores de São Paulo no período de janeiro de 2002 a dezembro de 2009. Utilizou-se a metodologia de teste desenvolvida por Wang (2002) e replicada para o contexto mexicano por Castillo-Spíndola (2006). Foram utilizados os excessos de retornos mensais para as ações, carteiras e prêmio de mercado. Ainda, para estimar a influência das variáveis de informação, foram calculados seus respectivos percentuais de variação mensal, para o período de janeiro de 2002 a novembro de 2009. A fim de validar a aplicação do CAPM condicional não-paramétrico para o mercado acionário brasileiro...

Testes multivariados do capital asset pricing model com variabilidade dos prémios de risco ao longo do tempo : aplicação ao mercado accionista português

Miranda, Domingos Lopes de
Fonte: Universidade do Minho Publicador: Universidade do Minho
Tipo: Dissertação de Mestrado
Publicado em //1995 Português
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O objectivo desta investigação empírica consiste em examinar vários testes multivariados do Capital Asset Pricing Model (CAPM) Condicional desenvolvido por Ng (1989 e 1991), com diferentes representações do modelo Multivariate Simultaneous Generalized Autoregressive Conditional Heteroscedasticity In Mean (GARCH-M) e diferentes técnicas de construção de portfólios, baseadas no beta de mercado, na dimensão da empresa e no sector da actividade, para todas as empresas que mantiveram as suas acções listadas na Bolsa de Valores de Lisboa durante o período de Janeiro de 1988 a Agosto de 1995. Os testes multivariados do CAPM Condicional que permitem a variabilidade dos prémios de risco esperados ao longo do tempo e do risco, dado pela covariância condicional que assume um processo GARCH Multivariado, representada pelo operador VECH [Bollerslev, Engle e Wooldridge, 1988] ou pela representação BEKK [Engle e Kroner, 1995], incorporam a correlação Cross- Sectional contemporânea dos erros de previsão do prémio de risco e permitem a eficiência total com a estimação multivariada simultânea. Por outro lado, os testes são realizados com base nas variações temporais e nas variações Cross-Sectional dos prémios de risco esperados e risco das acções. Esta técnica aumenta o poder dos testes...

The capital-asset-pricing model and arbitrage pricing theory: A unification

Khan, M. Ali; Sun, Yeneng
Fonte: The National Academy of Sciences of the USA Publicador: The National Academy of Sciences of the USA
Tipo: Artigo de Revista Científica
Publicado em 15/04/1997 Português
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We present a model of a financial market in which naive diversification, based simply on portfolio size and obtained as a consequence of the law of large numbers, is distinguished from efficient diversification, based on mean-variance analysis. This distinction yields a valuation formula involving only the essential risk embodied in an asset’s return, where the overall risk can be decomposed into a systematic and an unsystematic part, as in the arbitrage pricing theory; and the systematic component further decomposed into an essential and an inessential part, as in the capital-asset-pricing model. The two theories are thus unified, and their individual asset-pricing formulas shown to be equivalent to the pervasive economic principle of no arbitrage. The factors in the model are endogenously chosen by a procedure analogous to the Karhunen–Loéve expansion of continuous time stochastic processes; it has an optimality property justifying the use of a relatively small number of them to describe the underlying correlational structures. Our idealized limit model is based on a continuum of assets indexed by a hyperfinite Loeb measure space, and it is asymptotically implementable in a setting with a large but finite number of assets. Because the difficulties in the formulation of the law of large numbers with a standard continuum of random variables are well known...

Memória de longo prazo nos retornos acionistas dos índices de referência da euronext, implicações para a hipótese de mercados eficientes e contributo fractal para aperfeiçoamento do capital asset pricing model.

Gomes, Luís Miguel Pereira
Fonte: Universidade Portucalense Publicador: Universidade Portucalense
Tipo: Tese de Doutorado
Publicado em /12/2012 Português
Relevância na Pesquisa
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Não existe uma definição única de processo de memória de longo prazo. Esse processo é geralmente definido como uma série que possui um correlograma decaindo lentamente ou um espectro infinito de frequência zero. Também se refere que uma série com tal propriedade é caracterizada pela dependência a longo prazo e por não periódicos ciclos longos, ou que essa característica descreve a estrutura de correlação de uma série de longos desfasamentos ou que é convencionalmente expressa em termos do declínio da lei-potência da função auto-covariância. O interesse crescente da investigação internacional no aprofundamento do tema é justificado pela procura de um melhor entendimento da natureza dinâmica das séries temporais dos preços dos ativos financeiros. Em primeiro lugar, a falta de consistência entre os resultados reclama novos estudos e a utilização de várias metodologias complementares. Em segundo lugar, a confirmação de processos de memória longa tem implicações relevantes ao nível da (1) modelação teórica e econométrica (i.e., dos modelos martingale de preços e das regras técnicas de negociação), (2) dos testes estatísticos aos modelos de equilíbrio e avaliação, (3) das decisões ótimas de consumo / poupança e de portefólio e (4) da medição de eficiência e racionalidade. Em terceiro lugar...

Adjusting the capital asset pricing model for the short-run with liquidity proxies, while accounting for denials and deceptions in financial markets

Mooney, John J., IV
Fonte: Monterey, California: Naval Postgraduate School Publicador: Monterey, California: Naval Postgraduate School
Tipo: Tese de Doutorado
Português
Relevância na Pesquisa
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Approved for public release; distribution is unlimited.; William Sharpe's 1964 capital asset pricing model relies heavily on an accurate assessment of the asset's sensitivity to the broader market, termed _. By modifying the classic approach to incorporate liquidity of the asset, designated _', short-term return estimates may be improved. Specifically, in this research, the limit order book is used as a short-term proxy for liquidity assessments. Unfortunately, precise data were unavailable to test: however, detailed realistic examples are outlined in order to explore both rationale and critiques of the adjusted model. In light of the adjusted CAPM, modern market conditions, such as the rise in both high-frequency trading and alternative trading systems, are investigated to determine their impact on the model and asset pricing. Parallels can be drawn to appreciate these implementation obstacles under such information operation paradigms as denial, deception, and counterdeception. These topics, the protection of critical information from leakage, as well as the advancement and detection of deliberate misinformation, are increasingly critical for asset pricing. Furthermore, in response to these implementation obstacles, short-term asset pricing research is explored under both the efficient and adaptive market hypotheses. In conclusion...

A multi-period asset pricing model: implication for size and book-to-market effect

Lin, C.T.
Fonte: Academy of International Business and Economics Publicador: Academy of International Business and Economics
Tipo: Artigo de Revista Científica
Publicado em //2008 Português
Relevância na Pesquisa
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In light of the inadequacy of Sharpe's one-period Capital Asset Pricing Model (CAPM) in explaining stock returns, this paper develops a multi-period two-factor model that incorporates growth in earnings as an additional factor besides beta. This suggests that Sharpe's CAPM may be misspecified due to the omission of the earnings growth variable. In addition, it may explain why size and book-to-market effects are significant since earnings growth and the two factors are highly correlated.; http://www.encyclopedia.com/doc/1G1-190463126.html; Chien-Ting Lin

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

BEAULIEU, Marie-Claude; DUFOUR, Jean-Marie; KHALAF, Lynda
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Artigo de Revista Científica Formato: 400691 bytes; application/pdf
Português
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In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the frame-work of multivariate linear regressions (MLR). It is well known however that despite their simple statistical structure, standard asymptotically justified MLR-based tests are unreliable. In financial econometrics, exact tests have been proposed for a few specific hypotheses [Jobson and Korkie (Journal of Financial Economics, 1982), MacKinlay (Journal of Financial Economics, 1987), Gib-bons, Ross and Shanken (Econometrica, 1989), Zhou (Journal of Finance 1993)], most of which depend on normality. For the gaussian model, our tests correspond to Gibbons, Ross and Shanken’s mean-variance efficiency tests. In non-gaussian contexts, we reconsider mean-variance efficiency tests allowing for multivariate Student-t and gaussian mixture errors. Our framework allows to cast more evidence on whether the normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for multivariate GARCH and mul-tivariate generalization of the well known variance ratio tests) and goodness of fit tests as well as a set estimate for the intervening nuisance parameters. Our results [over five-year subperiods] show the following: (i) multivariate normality is rejected in most subperiods...

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

DUFOUR, Jean-Marie; KHALAF, Lynda; BEAULIEU, Marie-Claude
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Artigo de Revista Científica Formato: 219916 bytes; application/pdf
Português
Relevância na Pesquisa
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In this paper, we propose several finite-sample specification tests for multivariate linear regressions (MLR) with applications to asset pricing models. We focus on departures from the assumption of i.i.d. errors assumption, at univariate and multivariate levels, with Gaussian and non-Gaussian (including Student t) errors. The univariate tests studied extend existing exact procedures by allowing for unspecified parameters in the error distributions (e.g., the degrees of freedom in the case of the Student t distribution). The multivariate tests are based on properly standardized multivariate residuals to ensure invariance to MLR coefficients and error covariances. We consider tests for serial correlation, tests for multivariate GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of those applied in Shanken (1990) which consist in combining univariate specification tests. Specifically, we combine tests across equations using the MC test procedure to avoid Bonferroni-type bounds. Since non-Gaussian based tests are not pivotal, we apply the “maximized MC” (MMC) test method [Dufour (2002)], where the MC p-value for the tested hypothesis (which depends on nuisance parameters) is maximized (with respect to these nuisance parameters) to control the test’s significance level. The tests proposed are applied to an asset pricing model with observable risk-free rates...

Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions

BEAULIEU, Marie-Claude; DUFOUR, Jean-Marie; KHALAF, Lynda
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Artigo de Revista Científica Formato: 204421 bytes; application/pdf
Português
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89.70106%
In this paper, we propose exact inference procedures for asset pricing models that can be formulated in the framework of a multivariate linear regression (CAPM), allowing for stable error distributions. The normality assumption on the distribution of stock returns is usually rejected in empirical studies, due to excess kurtosis and asymmetry. To model such data, we propose a comprehensive statistical approach which allows for alternative - possibly asymmetric - heavy tailed distributions without the use of large-sample approximations. The methods suggested are based on Monte Carlo test techniques. Goodness-of-fit tests are formally incorporated to ensure that the error distributions considered are empirically sustainable, from which exact confidence sets for the unknown tail area and asymmetry parameters of the stable error distribution are derived. Tests for the efficiency of the market portfolio (zero intercepts) which explicitly allow for the presence of (unknown) nuisance parameter in the stable error distribution are derived. The methods proposed are applied to monthly returns on 12 portfolios of the New York Stock Exchange over the period 1926-1995 (5 year subperiods). We find that stable possibly skewed distributions provide statistically significant improvement in goodness-of-fit and lead to fewer rejections of the efficiency hypothesis.

Memória de longo prazo nos retornos acionistas dos índices de referência da euronext, implicações para a hipótese de mercados eficientes e contributo fractal para aperfeiçoamento do capital asset pricing model

Gomes, Luís Pereira
Fonte: Universidade Portucalense Publicador: Universidade Portucalense
Tipo: Tese de Doutorado
Publicado em //2012 Português
Relevância na Pesquisa
130.74724%
Não existe uma definição única de processo de memória de longo prazo. Esse processo é geralmente definido como uma série que possui um correlograma decaindo lentamente ou um espectro infinito de frequência zero. Também se refere que uma série com tal propriedade é caracterizada pela dependência a longo prazo e por não periódicos ciclos longos, ou que essa característica descreve a estrutura de correlação de uma série de longos desfasamentos ou que é convencionalmente expressa em termos do declínio da lei-potência da função auto-covariância. O interesse crescente da investigação internacional no aprofundamento do tema é justificado pela procura de um melhor entendimento da natureza dinâmica das séries temporais dos preços dos ativos financeiros. Em primeiro lugar, a falta de consistência entre os resultados reclama novos estudos e a utilização de várias metodologias complementares. Em segundo lugar, a confirmação de processos de memória longa tem implicações relevantes ao nível da (1) modelação teórica e econométrica (i.e., dos modelos martingale de preços e das regras técnicas de negociação), (2) dos testes estatísticos aos modelos de equilíbrio e avaliação, (3) das decisões ótimas de consumo / poupança e de portefólio e (4) da medição de eficiência e racionalidade. Em terceiro lugar...

The Earnings/Price Risk Factor in Capital Asset Pricing Models

Noda,Rafael Falcão; Martelanc,Roy; Kayo,Eduardo Kazuo
Fonte: Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade, Departamento de Contabilidade e Atuária Publicador: Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade, Departamento de Contabilidade e Atuária
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/01/2015 Português
Relevância na Pesquisa
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This article integrates the ideas from two major lines of research on cost of equity and asset pricing: multi-factor models and ex ante accounting models. The earnings/price ratio is used as a proxy for the ex ante cost of equity, in order to explain realized returns of Brazilian companies within the period from 1995 to 2013. The initial finding was that stocks with high (low) earnings/price ratios have higher (lower) risk-adjusted realized returns, already controlled by the capital asset pricing model's beta. The results show that selecting stocks based on high earnings/price ratios has led to significantly higher risk-adjusted returns in the Brazilian market, with average abnormal returns close to 1.3% per month. We design asset pricing models including an earnings/price risk factor, i.e. high earnings minus low earnings, based on the Fama and French three-factor model. We conclude that such a risk factor is significant to explain returns on portfolios, even when controlled by size and market/book ratios. Models including the high earnings minus low earnings risk factor were better to explain stock returns in Brazil when compared to the capital asset pricing model and to the Fama and French three-factor model, having the lowest number of significant intercepts. These findings may be due to the impact of historically high inflation rates...

Testing the Capital Asset Pricing Model (CAPM) on the Uganda Stock Exchange

Wakyiku, David
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 30/12/2010 Português
Relevância na Pesquisa
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This paper examines the validity of the Capital Asset Pricing Model (CAPM) on the Ugandan stock market using monthly stock returns from 10 of the 11 companies listed on the Uganda Stock Exchange (USE), for the period 1st March 2007 to 10th November 2009. Due to the absence of readily available Uganda Stock Exchange(USE) data, and the placement of daily price lists in pdf only, on the USE website: http://www.use.or.ug, the article also discusses the procedures taken to mine the data needed. The securities were all put in one portfolio in order to diversify away the firm-specific part of returns thereby enhancing the precision of the beta estimates. This paper should be of interest to both Ugandan and non-Ugandan investors and market researchers. While many developing countries have legal restrictions against foreign participation in capital and money markets, this is not so in Uganda, where it has become part of government policy to encourage foreign capital in flow, inorder to stimulate the development of the small and underdeveloped markets. The Black, Jensen, and Scholes (1972) CAPM version is examined in this article. This version predicts a non zero-beta rate, along with the relation of higher returns to higher risk. The estimated zero-beta rate obtained is not statistically different from zero...

Hedging and Leveraging: Principal Portfolios of the Capital Asset Pricing Model

Partovi, M. Hossein
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 20/06/2013 Português
Relevância na Pesquisa
89.794%
The principal portfolios of the standard Capital Asset Pricing Model (CAPM) are analyzed and found to have remarkable hedging and leveraging properties. Principal portfolios implement a recasting of any correlated asset set of N risky securities into an equivalent but uncorrelated set when short sales are allowed. While a determination of principal portfolios in general requires a detailed knowledge of the covariance matrix for the asset set, the rather simple structure of CAPM permits an accurate solution for any reasonably large asset set that reveals interesting universal properties. Thus for an asset set of size N, we find a market-aligned portfolio, corresponding to the market portfolio of CAPM, as well as N-1 market-orthogonal portfolios which are market neutral and strongly leveraged. These results provide new insight into the return-volatility structure of CAPM, and demonstrate the effect of unbridled leveraging on volatility.; Comment: 8 pages, submitted for publication

Bayesian outlier detection in Capital Asset Pricing Model

De Giuli, Maria Elena; Maggi, Mario Alessandro; Tarantola, Claudia
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
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We propose a novel Bayesian optimisation procedure for outlier detection in the Capital Asset Pricing Model. We use a parametric product partition model to robustly estimate the systematic risk of an asset. We assume that the returns follow independent normal distributions and we impose a partition structure on the parameters of interest. The partition structure imposed on the parameters induces a corresponding clustering of the returns. We identify via an optimisation procedure the partition that best separates standard observations from the atypical ones. The methodology is illustrated with reference to a real data set, for which we also provide a microeconomic interpretation of the detected outliers.

The Capital Asset Pricing Model as a corollary of the Black-Scholes model

Vovk, Vladimir
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 23/09/2011 Português
Relevância na Pesquisa
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We consider a financial market in which two securities are traded: a stock and an index. Their prices are assumed to satisfy the Black-Scholes model. Besides assuming that the index is a tradable security, we also assume that it is efficient, in the following sense: we do not expect a prespecified self-financing trading strategy whose wealth is almost surely nonnegative at all times to outperform the index greatly. We show that, for a long investment horizon, the appreciation rate of the stock has to be close to the interest rate (assumed constant) plus the covariance between the volatility vectors of the stock and the index. This contains both a version of the Capital Asset Pricing Model and our earlier result that the equity premium is close to the squared volatility of the index.; Comment: 9 pages

A simplified Capital Asset Pricing Model

Vovk, Vladimir
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 11/11/2011 Português
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We consider a Black-Scholes market in which a number of stocks and an index are traded. The simplified Capital Asset Pricing Model is the conjunction of the usual Capital Asset Pricing Model, or CAPM, and the statement that the appreciation rate of the index is equal to its squared volatility plus the interest rate. (The mathematical statement of the conjunction is simpler than that of the usual CAPM.) Our main result is that either we can outperform the index or the simplified CAPM holds.; Comment: 6 pages

A best choice among asset pricing models? The conditional capital asset pricing model in Australia

Durack, Nick; Durand, Robert; Maller, Ross
Fonte: Blackwell Publishing Ltd Publicador: Blackwell Publishing Ltd
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
110.42575%
We use Australian data to test the Conditional Capital Asset Pricing Model (Jagannathan and Wang, 1996). Our results are generally supportive: the model performs well compared with a number of competing asset pricing models. In contrast to the study by Jagannathan and Wang, however, we find that the inclusion of the market for human capital does not save the concept of the time-independent market beta (it remains insignificant). We find support for the role of a small-minus-big factor in pricing the cross-section of returns and find grounds to disagree with Jagannathan and Wang's argument that this factor proxies for misspecified market risk.

Modelos de precificação de ativos financeiros de fator único: um teste empírico dos modelos CAPM e D-CAPM; Single factor financial asset pricing models: an empirical test of the Capital Asset Pricing Model CAPM and the Downside Capital Asset Pricing Model D-CAPM

Paiva, Felipe Dias
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; ; ; ; Formato: application/pdf
Publicado em 01/06/2005 Português
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O objetivo deste estudo é analisar o capital asset pricing model (CAPM) e o downside capital asset pricing model (D-CAPM), bem como avaliar se este último modelo é uma eficiente alternativa de modelo de precificação de ativos. Os dados da pesquisa referem-se a 40 retornos de companhias listadas na Bolsa de Valores de São Paulo, de dezembro de 1996 a agosto de 2002. O artigo utilizou, para testar os modelos, as variáveis Certificado de Depósito Interbancário (CDI), como um ativo livre de risco, e o índice da Bolsa de Valores de Sao Paulo (Ibovespa), como proxy do portfólio de mercado. Conclui-se, então, que o D-CAPM possui uma maior capacidade explicativa dos retornos dos ativos se comparado ao CAPM.; This study analyzed the Capital Asset Pricing Model CAPM as well as the Downside Capital Asset Pricing Model D-CAPM and evaluated the latter as an efficient alternative asset pricing model. The returns of 40 companies on the São Paulo Stock Exchange BOVESPA were studied between December 1996 and August 2002. To test the models the study used as variables the Interbank Deposit Certificate CDI as a risk free asset and the Index of São Paulo Stock Exchange IBOVESPA as a proxy of the market portfolio. The D-CAPM was shown to be more useful in explaining the return of the stock market than the CAPM.

Testing the Non-Parametric Conditional CAPM in the Brazilian Stock Market; Avaliação do CAPM Condicional Não Paramétrico no Mercado de Ações do Brasil

Bergmann, Daniel Reed; Universidade Nove de Julho - Uninove; Galeno, Marcela Monteiro; Universidade de São Paulo; Securato, José Roberto; Universidade de São Paulo; Savoia, José Roberto Ferreira; Universidade de São Paulo
Fonte: Universidade Federal de Santa Catarina Publicador: Universidade Federal de Santa Catarina
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; Pesquisa empírica; modelo econométrico; Formato: application/pdf
Publicado em 14/04/2014 Português
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This paper seeks to analyze if the variations of returns and systematic risks from Brazilian portfolios could be explained by the nonparametric conditional Capital Asset Pricing Model (CAPM) by Wang (2002). There are four informational variables available to the investors: (i) the Brazilian industrial production level; (ii) the broad money supply M4; (iii) the inflation represented by the Índice de Preços ao Consumidor Amplo (IPCA); and (iv) the real-dollar exchange rate, obtained by PTAX dollar quotation.This study comprised the shares listed in the BOVESPA throughout January 2002 to December 2009. The test methodology developed by Wang (2002) and retorted to the Mexican context by Castillo-Spíndola (2006) was used. The observed results indicate that the nonparametric conditional model is relevant in explaining the portfolios’ returns of the sample considered for two among the four tested variables, M4 and PTAX dollar at 5% level of significance.; http://dx.doi.org/10.5007/2175-8077.2014v16n38p213Esse artigo analisa a evolução do retorno e risco sistemático das carteiras de 11 setores da economia brasileira através do modelo do CAPM condicional não paramétrico, proposto por Wang (2002). São utilizadas quatro variáveis explicativas: (i) o nível da produção industrial brasileira; (ii) o agregado monetário M4; (iii) a inflação...

The epistemological value of the consumption based capital asset pricing model

Bjorheim, Jacob
Fonte: London School of Economics and Political Science Thesis Publicador: London School of Economics and Political Science Thesis
Tipo: Thesis; NonPeerReviewed Formato: application/pdf
Publicado em 10/07/2014 Português
Relevância na Pesquisa
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The thesis is a philosophical analysis of the consumption based capital asset pricing model (CCAPM), investigating in particular its epistemological and methodological foundations. Financial markets are integral parts of advanced and developing economies. They matter because they channel unspent household income into banks’ savings accounts and assets such as bonds and stocks. Financial economists have traditionally taken interest in the pricing mechanism that underlies this capital allocation. The consumption based capital asset pricing model (CCAPM) is a prominent effort to describe, explain and predict such prices. It tells a story of investors’ trade-off between consumption now and later and which portfolio of assets to hold. The CCAPM based narrative intuitively makes sense, and the chosen methodology involving theoretical assumption, mathematical models and empirical tests follows the professions’ standards of good scientific practise. But does CCAPM’s research programme provide knowledge for use? My thesis seeks to answer this question in a novel way. Instead of embarking on yet another asset pricing research project, I let Philosophy of Science inform my analysis. Following a “primer” introducing essential CCAPM topics and notations...