Tests of Conditional Asset Pricing Models in the Brazilian Stock MarketMarco Bonomo () and René GARCIA Cahiers de recherche from Universite de Montreal, Departement de sciences economiques 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. Keywords: conditional CAPM; conditional APT; efficiency of markets; time-varying risk and returns (search for similar items in EconPapers) Downloads: (external link) Related works: Persistent link: http://EconPapers.repec.org/RePEc:mtl:montde:9715 Access Statistics for this paper More papers in Cahiers de recherche from Universite de Montreal, Departement de sciences economiques |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
Swedish Business School at Örebro University.