Aplicação do CAPM condicional ao mercado acionário brasileiro

• Ano de defesa: 2015
• Autor(a) principal: Garcia, Paulo Renato Marchese
• Orientador(a): Garcia, Fabio Gallo
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Pontifícia Universidade Católica de São Paulo
• Programa de Pós-Graduação: Programa de Estudos Pós-Graduados em Administração
• Departamento: Faculdade de Economia, Administração, Contábeis e Atuariais
• País: BR
• Palavras-chave em Português: Modelo do CAPM; Modelo do GARCH; Variância condicional
• Palavras-chave em Inglês: Conditional variance
• Área do conhecimento CNPq: CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::CIENCIAS CONTABEIS
• Link de acesso: https://tede2.pucsp.br/handle/handle/1151

This study aims to empirically test the model of the conditional CAPM in the Brazilian stock market. The analysis is developed through theoretical exposition of the main causes that built the capital asset pricing model and the conditions under which it has been tested and developed. For this purpose, we used a sample of financial assets extracted from Economática system. After that six portfolios were formed based on financial literature assumptions in order to calculate the excess of return in each case. Following the procedure an econometric model was tested and adjusted to be possible its application apply the CAPM conditional version into Brazilian stocks market. Finally, the process was validated given the metrics presented in econometric results being robust and corroborating with the literature