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Tests of Conditonal Asset Pricing Models in the Brazilian Stock Market

Listed author(s):
  • Bonomo, M.
  • Garcia, R.

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
Handle: RePEc:mtl:montec:9715
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