IDEAS home Printed from https://ideas.repec.org/a/spt/fininv/v2y2013i2f2_2_2.html
   My bibliography  Save this article

Testing the CAPM for the Brazilian Stock Market using Multivariate GARCH between 1995 and 2012

Author

Listed:
  • Lucas Lúcio Godeiro
  • César Roberto Leite da Silva
  • Fábio Lúcio Rodrigues

Abstract

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.

Suggested Citation

  • Lucas Lúcio Godeiro & César Roberto Leite da Silva & Fábio Lúcio Rodrigues, 2013. "Testing the CAPM for the Brazilian Stock Market using Multivariate GARCH between 1995 and 2012," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 2(2), pages 1-2.
  • Handle: RePEc:spt:fininv:v:2:y:2013:i:2:f:2_2_2
    as

    Download full text from publisher

    File URL: http://www.scienpress.com/Upload/JFIA%2fVol%202_2_2.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

    Statistics

    Access and download statistics

    Corrections

    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:spt:fininv:v:2:y:2013:i:2:f:2_2_2. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Eleftherios Spyromitros-Xioufis (email available below). General contact details of provider: http://www.scienpress.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.