Asset Pricing with Dynamic CAPM: An Application to 49 US Industry Portfolios

Korkas, Karolos K.

doi:10.2139/ssrn.1733082

Cited by 3 publications

(2 citation statements)

References 35 publications

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“…Os estudos de Blume (1971), Francis Fabozzi, (1978), Chen (1981), Ferson e Harvey (1991, Ferson e Korajczyk (1995), Ghysels (1998) e Garcia e Ghysels (1998), Huang (2003) e Jagannathan e Wang (1996) concluem que um modelo que apresente um Beta condicionado ao tempo deva substituir o CAPM estático. Mais recentemente, o modelo proposto por Korkas (2010) atribui ao coeficiente um componente autoregressivo de ordem 1.…”

Section: O Modelo Capmunclassified

Estimando Betas de Mercado com Quebras Estruturais

Oliveira

Cunha

2018

Braz. Rev. Fin.

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This study verifies the contribution of a structural break (if any) to CAPM models. Therefore, we used all the assets listed in Bovespa and New York Stock Exchange in monthly frequencies. Three famous structural breaks tests were used. The results show that structural breaks are relevant in most models for most sectors of the economy. Then, the identified structural breaks are inserted in the models and the betas of CAPM models were re-estimated. The Betas that were statistically significant were chosen and their results compared to Market Beta for each sector of the economy. The results show that the estimated Betas resemble Market Beta in more than 78% of the economic sectors of the Brazilian and North-American markets.

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