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Mamadou Cisse, Mamadou Konte, Mohamed Toure and Smael Afolabi Assani
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André Ricardo de Pinho Ronzani, Osvaldo Candido and Wilfredo Fernando Leiva Maldonado
In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time, conditional on financial and non-financial variables. Indeed, the model proposed by Adrian and Franzoni (2009) is adapted to assess th...
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Jordan French
The study adds an empirical outlook on the predicting power of using data from the future to predict future returns. The crux of the traditional Capital Asset Pricing Model (CAPM) methodology is using historical data in the calculation of the beta coeffi...
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Leonardo Santana Viloria
Pág. 83 - 95
The creation of property investment funds in Colombia has made portfolio diversification possible by allowing parties to invest in the property sector without buying and managing real estate directly. In recent years, the behavior of these funds has...
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Frances Fischberg Blank,Carlos Patricio Samanez,Tara Keshar Nanda Baidya,Fernando Antonio Lucena Aiube
Pág. 163 - 199
The conditional CAPM is characterized by time-varying market beta. Based on state-space models approach, beta behavior can be modeled as a stochastic process dependent on conditioning variables related to business cycle and estimated using Kalman filter....
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Ailie Charteris
AbstractSeveral studies of the Capital Asset Pricing Model (CAPM) in South Africa find that beta cannot explain returns. However, these studies do not consider the effect of bull and bear markets, yet over the period 1995-2009, excess market returns were...
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Octavio Portolano Machado,Adriana Bruscato Bortoluzzo,Sérgio Ricardo Martins,Antonio Zoratto Sanvicente
Pág. 149 - 180
This paper examines the empirical validity of the Inter-temporal Capital Asset Pricing Model (ICAPM) with Brazilian market data. The Bali and Engle (2010) methodology is used with the estimation of conditional covariances between stock portfolio returns ...
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Lucas Lucio Godeiro
Pág. 253 - 275
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 ...
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Frederico Valle e Flister,Aureliano Angel Bressan,Hudson Fernandes Amaral
Pág. 105 - 129
This work investigates the ability of the conditional CAPM to explain anomalous returns related to momentum, size and book-to-market effects using Lewellen and Nagel?s (2006) methodology in the Brazilian stock market. To this end we studied a sample of B...
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