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Tests of conditional asset pricing models in the Brazilian stock market

  • Marco Antonio Bonomo
  • Rene Garcia

In this paper, we test a verison of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the period 1976-1992. We also test a conditional APT model by using the difference between the 30-day rate (Cdb) and the overnight rate as a second facton in addition to the market portfolio in order to capture the large inflation risk present during this period. The conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from a total of 25 securities exchanged on the Brazilian markets. The inclusion of this second factor proves to be crucial for the appropriate pricing of the portfolios. Dans cet article, nous testons une version du CAPM conditionnel par rapport au portefeuille de marché local, approximé par un indice boursier brésilien, au cours de la période 1976-1992. Nous testons également un modèle APT conditionnel en utilisant la diférence entre les taux d'intérêt sur les dépôts de trente jours (Cdb) et le taux au jour le jour comme deuxième facteur en plus du portefeuille de marché pour capter l'important risque inflationniste présent durant cette période. Les modèles conditionnels CAPM et APT sont estimés par la méthode généralisée des moments (GMM) et testés sur un ensemble de portefeuilles construits selon la taille à partir d'un total de 25 titres échangés sur les marchés boursiers brésiliens. L'incorporation de ce deuxième facteur sa révèle cruciale pour une juste valorisation des portefeuilles.

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Paper provided by Department of Economics PUC-Rio (Brazil) in its series Textos para discussão with number 368.

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Length: 32 pages
Date of creation: Mar 1997
Date of revision:
Handle: RePEc:rio:texdis:368
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