Teste do capm condicional dos retornos de carteiras dos mercados brasileiro, argentino e chileno, comparando-os com o mercado norte-americano

Elmo Tambosi Filho, Fabio Gallo Garcia, Joshua Onome Imoniana and Luiz Maurício Franco Moreiras

RAE - Revista de Administração de Empresas, 2010, vol. 50, issue 1

Abstract: Over the last few decades the Capital Asset Pricing Model (CAPM) has roused great interest in the scientific community. Despite suffering criticism, improvements in the static CAPM have given rise to new dynamic models that provide the investor with enhanced safety over the period of the business cycle. Currently, we find more complex adaptations of the CAPM, which provide us with answers to questions in finance that have long remained unsolved. Given this panorama and considering the whole debate about the feasibility of the CAPM, the objective of this work is to test the conditional Capital Asset Pricing Model of Jagannathan and Wang (1996), which incorporates macroeconomic and financial variables, for the Brazilian, Argentinian, Chilean and North American markets.

Date: 2010
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