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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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Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 9715.

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Length: 30 pages
Date of creation: 1997
Date of revision:
Handle: RePEc:mtl:montec:9715
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  21. Jack Fiorito & Robert C. Duffenbach, 1982. "Market and nonmarket influences on curriculum choice by college students," Industrial and Labor Relations Review, ILR Review, Cornell University, ILR School, vol. 36(1), pages 88-101, October.
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  23. Geert Bekaert & Campbell R. Harvey, 1994. "Time-Varying World Market Integration," NBER Working Papers 4843, National Bureau of Economic Research, Inc.
  24. Saul Hoffman & Greg Duncan, 1988. "Multinomial and conditional logit discrete-choice models in demography," Demography, Springer, vol. 25(3), pages 415-427, August.
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  29. René Garcia & Eric Ghysels, 1996. "Structural Change and Asset Pricing in Emerging Markets," CIRANO Working Papers 96s-34, CIRANO.
  30. Ferson, Wayne E & Korajczyk, Robert A, 1995. "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?," The Journal of Business, University of Chicago Press, vol. 68(3), pages 309-49, July.
  31. Kodde, David A, 1986. "Uncertainty and the Demand for Education," The Review of Economics and Statistics, MIT Press, vol. 68(3), pages 460-67, August.
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  34. Koenker, Roger & Machado, Jose A. F., 1999. "GMM inference when the number of moment conditions is large," Journal of Econometrics, Elsevier, vol. 93(2), pages 327-344, December.
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