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)
Pages: 30 pages
Date: 1997
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Related works:
Journal Article: Tests of conditional asset pricing models in the Brazilian stock market (2001)
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)
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Persistent link: https://EconPapers.repec.org/RePEc:mtl:montec:9715

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