Avaliação empírica do modelo CAPM no mercado de capitais brasileiro via método dos momentos generalizados / Testing CAPM model in Brazilian Capital Market by GMM

AUTOR(ES)
DATA DE PUBLICAÇÃO

2006

RESUMO

The GMM method have been chosen in order to test non-conditional CAPM (Sharpe-Lintner and zero-beta) model in Brazilian security market, because the daily log-returns series of the analyzed shares did not showed itselves as normal and IID. This dissertation will be pioneer in testing the validity of the CAPM zero-beta model by GMM. We have realized that the SL CAPM model, either in terms of SELIC rate as of CDI rate (risk-free assets), can not be rejected at 5% level for the period from 2/1/00 until 31/12/04. For the periods from 2/1/95 until 31/12/99 and from 2/1/95 until 31/12/04, the given model was rejected at the 5% level. This way, for the SL CAPM model, either in terms of SELIC rate as of CDI rate, the BOVESPA index has behaved as an efficient portfolio only on the period from 2/1/00 until 31/12/04. For the zero-beta CAPM model, it can be verified that we cannot reject it at the 5% level in none of the three periods analyzed above.

ASSUNTO(S)

capm multivariate elliptical distribution distribuição elíptica multivariada iid iid gmm gmm capm

ACESSO AO ARTIGO

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