TESTE DO CAPM CONDICIONAL DOS RETORNOS DE CARTEIRAS DOS MERCADOS BRASILEIRO, ARGENTINO E CHILENO, COMPARANDO-OS COM O MERCADO NORTE-AMERICANO/TEST OF THE CONDITIONAL CAPM USING RETURNS OF BRAZILIAN, ARGENTINEAN AND CHILEAN MARKETS, COMPARING THEM TO THE NORTH AMERICAN PORTFOLIO/PRUEBA DEL CAPM CONDICIONAL DE LOS RENDIMIENTOS DE CARTERAS EN LOS MERCADOS BRASILEÑO, ARGENTINO Y CHILENO EN COMPARACIÓN CON EL MERCADO NORTEAMERICANO
Over the last few decades the Capital Asset Pricing Model (CAPM) has roused great interest in the scientific community. Despite suffering criticism, improvements in the static CAPM have given rise to new dynamic models that provide the investor with enhanced safety over the period of the business cy...
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| creator | Filho, Elmo Tambosi Garcia, Fábio Gallo Imoniana, Joshua Onome Moreiras, Luiz Maurício Franco |
| description | Over the last few decades the Capital Asset Pricing Model (CAPM) has roused great interest in the scientific community. Despite suffering criticism, improvements in the static CAPM have given rise to new dynamic models that provide the investor with enhanced safety over the period of the business cycle. Currently, we find more complex adaptations of the CAPM, which provide us with answers to questions in finance that have long remained unsolved. Given this panorama and considering the whole debate about the feasibility of the CAPM, the objective of this work is to test the conditional Capital Asset Pricing Model of Jagannathan and Wang (1996), which incorporates macroeconomic and financial variables, for the Brazilian, Argentinian, Chilean and North American markets. [PUBLICATION ABSTRACT] |
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| source | DOAJ Directory of Open Access Journals; EZB-FREE-00999 freely available EZB journals; Alma/SFX Local Collection; EBSCOhost Business Source Complete |
| subjects | Capital assets CAPM Investments Portfolio management Securities markets Studies Testes |
| title | TESTE DO CAPM CONDICIONAL DOS RETORNOS DE CARTEIRAS DOS MERCADOS BRASILEIRO, ARGENTINO E CHILENO, COMPARANDO-OS COM O MERCADO NORTE-AMERICANO/TEST OF THE CONDITIONAL CAPM USING RETURNS OF BRAZILIAN, ARGENTINEAN AND CHILEAN MARKETS, COMPARING THEM TO THE NORTH AMERICAN PORTFOLIO/PRUEBA DEL CAPM CONDICIONAL DE LOS RENDIMIENTOS DE CARTERAS EN LOS MERCADOS BRASILEÑO, ARGENTINO Y CHILENO EN COMPARACIÓN CON EL MERCADO NORTEAMERICANO |
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