Goodness-of-fit versus significance : a CAPM selection with dynamic betas applied to the Brazilian stock market

André Ricardo de Pinho Ronzani, Osvaldo Candido and Wilfredo Fernando Leiva Maldonado

In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time, conditional on financial and non-financial variables. Indeed, the model proposed by Adrian and Franzoni (2009) is adapted to assess the behavior of some selected Brazilian equities. For each equity, several models are fitted, and the best model is chosen based on goodness-of-fit tests and parameters significance. Finally, using the selected dynamic models, VaR (Value-at-Risk) measures are calculated. We can conclude that CAPM with time-varying betas provide less conservative VaR measures than those based on CAPM with static betas or historical VaR.

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Year of publication:	December 2017
Authors:	de Pinho Ronzani, André Ricardo ; Candido, Osvaldo ; Maldonado, Wilfredo Fernando Leiva
Published in:	International Journal of Financial Studies : open access journal. - Basel : MDPI, ISSN 2227-7072, ZDB-ID 2704235-2. - Vol. 5.2017, 4, p. 1-21
Subject:	dynamic models \| Kalman filter \| time-varying beta \| CAPM \| VaR \| Zustandsraummodell \| State space model \| Betafaktor \| Beta risk \| Brasilien \| Brazil \| Aktienmarkt \| Stock market \| Zeitreihenanalyse \| Time series analysis \| Theorie \| Theory \| Schätzung \| Estimation

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/ijfs5040033 [DOI] hdl:10419/195667 [Handle]
Classification:	C32 - Time-Series Models ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011760331