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

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:	2017
Authors:	de Pinho Ronzani, André Ricardo ; Candido, Osvaldo ; Maldonado, Wilfredo Fernando Leiva
Published in:	International Journal of Financial Studies. - Basel : MDPI, ISSN 2227-7072. - Vol. 5.2017, 4, p. 1-21
Publisher:	Basel : MDPI
Subject:	dynamic models \| Kalman filter \| time-varying beta \| CAPM \| VaR

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/ijfs5040033 [DOI] 1008723789 [GVK] hdl:10419/195667 [Handle]
Classification:	C32 - Time-Series Models ; G12 - Asset Pricing
Source:	EconStor

Persistent link: https://www.econbiz.de/10011996066