Is the CAPM Dead or Alive in the Brazilian Market?

The central purpose of this work is to test the Sharpe-Lintner-Black Capital Asset Pricing Model in the Brazilian equity market. We have concluded that the CAPM is dead in the Brazilian equity market because, besides using the market premiums to explain the panel equity premiums, there are also some anomalies, such as, the firm size, the equity price-to-book value, the dividend yield, and the price-earnings ratio. Furthermore, by using the recent panel cointegration FMOLS (fully modified OLS) estimator, this paper corroborates the Fama & French three-factor model (1992, 1993). This work finds also two new three-factor models to explain the local market that satisfy the non-arbitrage condition. These results are important for the purpose of asset pricing and hedging in the Brazilian equity market.


Issue Date:
2009-03
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/143224
Published in:
Review of Applied Economics, Volume 05, Number 1-2
Page range:
127-142
Total Pages:
16
JEL Codes:
G12
Series Statement:
Vol.5
No.1-2




 Record created 2017-04-01, last modified 2017-11-14

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