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- Title
TESTE DO CAPM CONDICIONAL DOS RETORNOS DE CARTEIRAS DOS MERCADOS BRASILEIRO, ARGENTINO E CHILENO, COMPARANDO-OS COM O MERCADO NORTE-AMERICANO.
- Authors
Tambosi Filho, Elmo; Garcia, Fábio Gallo; Imoniana, Joshua Onome; Moreiras, Luiz Maurício Franco
- Abstract
Over the last few decades the Capital Asset Pricing Model (CAPM) has roused great interest in the scientific community. Despite suffering criticism, improvements in the static CAPM have given rise to new dynamic models that provide the investor with enhanced safety over the period of the business cycle. Currently, we find more complex adaptations of the CAPM, which provide us with answers to questions in finance that have long remained unsolved. Given this panorama and considering the whole debate about the feasibility of the CAPM, the objective of this work is to test the conditional Capital Asset Pricing Model of Jagannathan and Wang (1996), which incorporates macroeconomic and financial variables, for the Brazilian, Argentinian, Chilean and North American markets.
- Subjects
SOUTH America; NORTH America; CAPITAL assets pricing model; FINANCIAL markets; INVESTMENTS; INVESTORS
- Publication
RAE: Revista de Administração de Empresas, 2010, Vol 50, Issue 1, p60
- ISSN
0034-7590
- Publication type
Article
- DOI
10.1590/S0034-75902010000100006