O modelo de formação de preços de ativos: (capital asset pricing model) teoria e evidência

Luce, Fernando Bins; Moraes, Jorge Queiroz de

doi:10.1590/s0034-75901979000400002

Cited by 1 publication

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“…Os autores observaram a existência de um trade-off positivo entre risco e retorno, além da presença de fatores estocásticos não lineares entre períodos. Luce and Moraes Jr. (1979) replicaram os testes realizados por Fama and MacBeth (1973) para as ações listadas na bolsa de São Paulo. Algumas correções tiveram de ser feitas ao modelo devido ao processo inflacionário vividoàépoca.…”

Section: Revisão Empíricaunclassified

Comparação CAPM x Modelos Lower Partial Moments nos Mercados Brasileiro e Americano

Herrera

Perobelli

2018

Braz. Rev. Fin.

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This article empirically test the lower partial moments models, Sortino, Upside Potential Ratio, Omega and Kappa, comparing them with the traditional CAPM, for listed shares of Ibovespa and Dow Jones index. These two classes of models are distinguished in terms of investors' profile assumptions and risk measurement. While the CAPM considers only the first two moments of the returns distribution, assuming investor's quadratic utility function (defined in terms of mean/expected returns and variance/risk), the other measures take into account higher moments of returns distributions (assimetry and curtosis). The Hansen-Jagannathan distance, which estimates the Stochastic Discount Factor (SDF) measurement error generated by each model, showed a distinction of the models in the two markets. While the CAPM performed better for Dow Jones shares, the lower partial moments models presented better results for Ibovespa, suggesting an advantage in the use of such models in markets with lower liquidity, fat tails (greater probability of extreme events) and greater asymmetry.

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Section: Revisão Empíricaunclassified

Comparação CAPM x Modelos Lower Partial Moments nos Mercados Brasileiro e Americano

Herrera

Perobelli

2018

Braz. Rev. Fin.

View full text Add to dashboard Cite

show abstract

O modelo de formação de preços de ativos: (capital asset pricing model) teoria e evidência

Abstract: O modelo de formação de preços de ativos capital asset pricing model teoria e evidência

Cited by 1 publication

References 6 publications

Comparação CAPM x Modelos Lower Partial Moments nos Mercados Brasileiro e Americano

Comparação CAPM x Modelos Lower Partial Moments nos Mercados Brasileiro e Americano

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