Tests of Conditonal Asset Pricing Models in the Brazilian Stock Market

Marco Bonomo () and René Garcia ()

Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ

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.

Keywords: FINANCIAL; MARKET (search for similar items in EconPapers)
JEL-codes: G10 G11 (search for similar items in EconPapers)
Date: 1997

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Related works:
Working Paper: Tests of Conditional Asset Pricing Models in the Brazilian Stock Market (1999)
Working Paper: Tests of Conditional Asset Pricing Models in the Brazilian Stock Market (1997)
Working Paper: Tests of Conditional Asset Pricing Models in the Brazilian Stock Market (1997)
Working Paper: Tests of conditional asset pricing models in the Brazilian stock market (1997)
Working Paper: Tests of Conditional Asset Pricing Models in the Brazilian Stock Market (1997)
Journal Article: Tests of conditional asset pricing models in the Brazilian stock market (2001)
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Persistent link: http://EconPapers.repec.org/RePEc:mtl:montec:9715

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