Is the CAPM Dead or Alive in the Brazilian Market?
Author
Abstract
Suggested Citation
DOI: 10.22004/ag.econ.143224
Download full text from publisher
References listed on IDEAS
- Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
- Chan, Louis K C & Hamao, Yasushi & Lakonishok, Josef, 1991. "Fundamentals and Stock Returns in Japan," Journal of Finance, American Finance Association, vol. 46(5), pages 1739-1764, December.
- Chan, K C & Chen, Nai-Fu, 1988. " An Unconditional Asset-Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk," Journal of Finance, American Finance Association, vol. 43(2), pages 309-325, June.
- MacKinlay, A. Craig, 1995. "Multifactor models do not explain deviations from the CAPM," Journal of Financial Economics, Elsevier, vol. 38(1), pages 3-28, May.
- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
- Gibbons, Michael R & Ross, Stephen A & Shanken, Jay, 1989. "A Test of the Efficiency of a Given Portfolio," Econometrica, Econometric Society, vol. 57(5), pages 1121-1152, September.
- Peter Pedroni, 2000.
"Fully Modified OLS for Heterogeneous Cointegrated Panels,"
Department of Economics Working Papers
2000-03, Department of Economics, Williams College.
- Tom Doan, "undated". "PANELFM: RATS procedure to perform panel data group mean FMOLS," Statistical Software Components RTS00151, Boston College Department of Economics.
- Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003.
"Testing for unit roots in heterogeneous panels,"
Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
- Tom Doan, "undated". "IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test," Statistical Software Components RTS00098, Boston College Department of Economics.
- Bhandari, Laxmi Chand, 1988. " Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence," Journal of Finance, American Finance Association, vol. 43(2), pages 507-528, June.
- G. S. Maddala & Shaowen Wu, 1999. "A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(S1), pages 631-652, November.
- Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
- Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002.
"Unit root tests in panel data: asymptotic and finite-sample properties,"
Journal of Econometrics, Elsevier, vol. 108(1), pages 1-24, May.
- Tom Doan, "undated". "LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data," Statistical Software Components RTS00242, Boston College Department of Economics.
- Ball, Ray, 1978. "Anomalies in relationships between securities' yields and yield-surrogates," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 103-126.
- Maddala, G S & Wu, Shaowen, 1999. "A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(0), pages 631-652, Special I.
- Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-455, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- He, Zhen & O’Connor, Fergal & Thijssen, Jacco, 2022. "Identifying proxies for risk-free assets: Evidence from the zero-beta capital asset pricing model," Research in International Business and Finance, Elsevier, vol. 63(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- repec:dau:papers:123456789/2514 is not listed on IDEAS
- Gabriel Hawawini & Donald B. Keim, "undated".
"The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings,"
Rodney L. White Center for Financial Research Working Papers
08-99, Wharton School Rodney L. White Center for Financial Research.
- Gabriel Hawawini & Donald B. Keim, "undated". "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 8-99, Wharton School Rodney L. White Center for Financial Research.
- Gabriel Hawawini & Donald B. Keim, "undated". "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 07-97, Wharton School Rodney L. White Center for Financial Research.
- Hawawini, G. & Keim, D.B., 1997. "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," INSEAD 97/66, INSEAD, Centre for the Management of Environmental Resources. The European Institute of Business Administration..
- Gabriel Hawawini & Donald B. Keim, "undated". "The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings," Rodney L. White Center for Financial Research Working Papers 7-97, Wharton School Rodney L. White Center for Financial Research.
- Michelle L. Barnes & Anthony W. Hughes, 2002. "A quantile regression analysis of the cross section of stock market returns," Working Papers 02-2, Federal Reserve Bank of Boston.
- Artmann, Sabine & Finter, Philipp & Kempf, Alexander, 2010. "Determinants of expected stock returns: Large sample evidence from the German market," CFR Working Papers 10-01, University of Cologne, Centre for Financial Research (CFR).
- Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
- David R. Gallagher & Katja Ignatieva & James McCulloch & Henk Berkman, 2015.
"Industry concentration, excess returns and innovation in Australia,"
Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 55(2), pages 443-466, June.
- David R. Gallagher & Katja Ignatieva & James McCulloch, 2013. "Industry Concentration, Excess Returns and Innovation in Australia," Research Paper Series 334, Quantitative Finance Research Centre, University of Technology, Sydney.
- Skočir, Matevž & Lončarski, Igor, 2018. "Multi-factor asset pricing models: Factor construction choices and the revisit of pricing factors," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 65-80.
- Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
- Pandey I M, 2001. "The Expected Stock Returns of Malaysian Firms: A Panel Data Analysis," IIMA Working Papers WP2001-09-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
- Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
- repec:dau:papers:123456789/3005 is not listed on IDEAS
- Sudi Sudarsanam & Ashraf A. Mahate, 2003. "Glamour Acquirers, Method of Payment and Post‐acquisition Performance: The UK Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(1‐2), pages 299-342, January.
- Merdad, Hesham Jamil & Kabir Hassan, M. & Hippler, William J., 2015. "The Islamic risk factor in expected stock returns: an empirical study in Saudi Arabia," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 293-314.
- Nicholas Apergis & John Sorros, 2010. "Disaggregated Earnings and Stock Prices: Evidence from International Listed Shipping Firms," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 16(3), pages 269-281, August.
- Michael E. Drew & Madhu Veeraraghavan, 2000. "Multifactor Models are Alive and Well," School of Economics and Finance Discussion Papers and Working Papers Series 083, School of Economics and Finance, Queensland University of Technology.
- Martin Wallmeier, 2000. "Determinanten erwarteter Renditen am deutschen Aktienmarkt — Eine empirische Untersuchung anhand ausgewählter Kennzahlen," Schmalenbach Journal of Business Research, Springer, vol. 52(1), pages 27-57, February.
- Nicholas Apergis & John Sorros, 2011. "Long-Term Debt and the Value of the Firm,Evidence from International Listed Manufacturing Firms," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 60-72, February.
- Gordon Tang & Wai Cheong Shum, 2006. "Risk-return relationships in the Hong Kong stock market: revisit," Applied Financial Economics, Taylor & Francis Journals, vol. 16(14), pages 1047-1058.
- Rocciolo, Francesco & Gheno, Andrea & Brooks, Chris, 2022. "Explaining abnormal returns in stock markets: An alpha-neutral version of the CAPM," International Review of Financial Analysis, Elsevier, vol. 82(C).
- Eugene F. Fama & Kenneth R. French, 2004. "The Capital Asset Pricing Model: Theory and Evidence," Journal of Economic Perspectives, American Economic Association, vol. 18(3), pages 25-46, Summer.
- Sheu, Her-Jiun & Wu, Soushan & Ku, Kuang-Ping, 1998. "Cross-sectional relationships between stock returns and market beta, trading volume, and sales-to-price in Taiwan," International Review of Financial Analysis, Elsevier, vol. 7(1), pages 1-18.
- ALAM Nafis & TAN Ee Chain, 2012. "Impact Of Financial Crisis On Stock Returns: Evidence From Singapore," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 7(2), pages 5-19, August.
More about this item
Keywords
Demand and Price Analysis; Research and Development/Tech Change/Emerging Technologies; Research Methods/ Statistical Methods;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:reapec:143224. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/aelinnz.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.