Tests of Conditonal Asset Pricing Models in the Brazilian Stock Market.

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.

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Year of publication:	1997
Authors:	Bonomo, M. ; Garcia, R.
Institutions:	Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
Subject:	FINANCIAL MARKET

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Series:	Cahiers de recherche.
Type of publication:	Book / Working Paper
Notes:	30 pages
Classification:	G10 - General Financial Markets. General ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005729556