Tests of Conditional Asset Pricing Models in the Brazilian Stock Market
نویسندگان
چکیده
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 period 1976-1992. We also test a conditional APT mo deI by using the difference between the 3~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. 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 individual securities exchanged on the Brazilian markets. The inc1usion of this second factor proves to be important for the appropriate pricing of the portfolios. il.UQTECA IlAmo HEllfIICID! __ ::lIlIn.ar.lo (;FTfll 10 V'.AA. ----------------------------"'"
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