Testing the CAPM for the Brazilian stock market using multivariate GARCH between 1995 and 2012

Lucas Lúcio Godeiro, Cesar Roberto Leite da Silva and Fábio Lúcio Rodrigues

The paper tests the CAPM for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in the Ibovespa portfolio as of March 21, 2012 and that were traded during the period from Jan. 01, 1995 to March 20, 2012. Dynamic betas were estimated and conditional betas contributed with larger explanatory power of excess cross section returns. The main contribution of the paper is the estimation of dynamic betas for Ibovespa shares, which can be useful for investors using Long x Short strategies. -- CAPM ; multivariate GARCH ; dynamic betas

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Year of publication:	2013
Authors:	Godeiro, Lucas Lúcio ; Silva, Cesar Roberto Leite da ; Rodrigues, Fábio Lúcio
Published in:	Journal of finance and investment analysis. - London : Scienpress, ISSN 2241-0996, ZDB-ID 26551500. - Vol. 2.2013, 2, p. 15-39

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Extent:	graph. Darst.
Type of publication:	Article
Language:	English
Classification:	G12 - Asset Pricing ; C32 - Time-Series Models
Source:	OLC-SSG Economic Sciences

Persistent link: https://www.econbiz.de/10010148297