Empirical test of the conditional CAPM model using expected returns of brazilian, argentine and north-american portfolios

  • Elmo Tambosi Filho Universidade Metodista de São Paulo
  • Fabio Gallo Garcia Pontíficia Universidade Católica de São Paulo
  • Luiz Alberto Bertucci Universidade Federal de Minas Gerais
Keywords: Conditional CAPM, Static CAPM, Financial Markets, Portfolios

Abstract

The CAPM model has attracted great interest from the scientific community over the last decades. Despite criticism, improvement of the static CAPM has given origin to new dynamic models providing investors with more safety along the business cycles. The CAPM and the static versions continue to be of great importance in Finance and now more complex adaptations provide answers to some questions in finance for which solutions were not yet available. Therefore considering this situation and the discussion of CAPM validity, advantages of the conditional model were presented in relation to the static model. Tests of conditional models were studied where beta varies with time, COM E SEM CAPITAL HUMANO, which is not commonly studied in literature. These tests incorporate variances and covariances that change with time.

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Published
2007-12-01
How to Cite
Tambosi Filho, E., Garcia, F., & Bertucci, L. (2007). Empirical test of the conditional CAPM model using expected returns of brazilian, argentine and north-american portfolios . REGE Revista De Gestão, 14(4), 63-75. https://doi.org/10.5700/issn.2177-8736.rege.2007.36614
Section
Finanças