TITLE

Testing the CAPM for the Brazilian Stock Market: A Study of Dynamic Beta Using Multivariate GARCH

AUTHOR(S)
Lúcio Godeiro, Lucas
PUB. DATE
March 2013
SOURCE
International Journal of Economics & Finance;Mar2013, Vol. 5 Issue 3, p164
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
The paper tests the CAPM for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in the Ibovespa portfolio as of March 21, 2012 and that were traded during the period from Jan. 01, 1995 to March 20, 2012. Dynamic betas were estimated and conditional betas contributed with larger explanatory power of excess cross section returns. The main contribution of the paper is the estimation of dynamic betas for Ibovespa shares, which can be useful for investors using Long-Short strategies.
ACCESSION #
86188726

 

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