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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 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 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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