Arbitrage Pricing Theory (APT) e variáveis macroeconômicas. Um estudo empírico sobre o mercado acionário brasileiro

Adriana Schor, Marco Bonomo and Pedro Valls Pereira

No 391, Textos para discussão from Department of Economics PUC-Rio (Brazil)

Abstract: This paper analyses monthly returns of 10 share portfolios negotiated at Bovespa between 1987 and 1997 in order to test the APT model. Macroeconomic factors were created as sources of common variance of these assets. The factors were statistically significant in explaining the relationship between the asset returns in general; besides, evidence was found in favor of the APT.

Pages: 23 pages
Date: 1998-12
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Related works:
Working Paper: Arbitrage Pricing Theory (APT) e variáveis macroeconômicas: um estudo empírico sobre o mercado acionário brasileiro (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:rio:texdis:391

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