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Master's Dissertation
DOI
10.11606/D.12.2006.tde-08122006-112616
Document
Author
Full name
Daniel Reed Bergmann
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2006
Supervisor
Committee
Corrar, Luiz Joao (President)
Nakamura, Wilson Toshiro
Tanaka, Nelson Ithiro
Title in Portuguese
Avaliação empírica do modelo CAPM no mercado de capitais brasileiro via método dos momentos generalizados
Keywords in Portuguese
CAPM
Distribuição elíptica multivariada
GMM
IID
Abstract in Portuguese
Escolheu-se o método GMM a fim de testar os modelos CAPM não-condicionais (Sharpe-Litner e zero-beta) no mercado de capitais brasileiro, pois as séries dos log-retornos diários de ações analisadas não se mostraram normais e IID. Este trabalho é pioneiro em testar a validade do modelo CAPM zero-beta via GMM no mercado brasileiro. Constatamos que o modelo CAPM de SL, tanto em termos da SELIC como do CDI, não pode ser rejeitado ao nível de 5% para o período de 2/1/00 até 31/12/04. Já para os períodos de 2/1/95 até 31/12/99 e de 2/1/95 até 31/12/04, tal modelo foi rejeitado ao nível de 5%. Dessa forma, para o modelo CAPM de SL, tanto em termos da SELIC como do CDI, o índice BOVESPA se comportou como um portfólio eficiente somente no período de 2/1/00 até 31/12/04. Já para o modelo CAPM zero-beta, verifica-se a sua não rejeição ao nível de 5% nos três períodos analisados acima.
Title in English
Testing CAPM model in Brazilian Capital Market by GMM
Keywords in English
CAPM
GMM
IID
Multivariate elliptical distribution
Abstract in English
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.
 
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Dissertacao_CAPM.pdf (707.49 Kbytes)
Publishing Date
2006-12-20
 
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