Bonomo, Marco Antônio Cesar; Garcia, René - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 1999
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 period 1976-1992. We also test a conditional APT modeI by using the difference between the 3-day rate (Cdb) and the overnight rate as a second factor...
