• JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
  • JoomlaWorks Simple Image Rotator
 
  Bookmark and Share
 
 
Master's Dissertation
DOI
https://doi.org/10.11606/D.12.2012.tde-08022013-201057
Document
Author
Full name
Eduardo De Nardi Ros
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2012
Supervisor
Committee
Rodrigues Junior, Mauro (President)
Chague, Fernando Daniel
Giovannetti, Bruno Cara
Title in Portuguese
Um teste empírico para mudanças em níveis para precificação de ativos
Keywords in Portuguese
Economia internacional
Financas
Preços
Abstract in Portuguese
O objetivo deste trabalho é realizar um teste empírico da teoria de precificação de ativos em um conjunto de países. Em geral, a literatura utiliza testes para o modelo CAPM a partir de uma cross-section de ativos, encontrando evidências que vão tanto ao seu encontro como o refutam. No presente trabalho, entretanto, utiliza-se um teste de mudanças no nível de exposição ao risco sistemático, de maneira similar a Chari e Henry (2004). O experimento natural será a concessão (ou perda) de grau de investimento das principais agências de risco. A hipótese é que ativos sujeitos a novo nível de risco sistemático devem ter seu retorno alterado de acordo com as respectivas magnitudes individuais das diferenças no nível de exposição ao risco sistemático. Os resultados confirmam o que se espera ao examinar-se a teoria.
Title in English
An empirical test for change in levels to asset pricing
Keywords in English
Finance
International economics
Price
Abstract in English
The objective of this dissertation is to perform an empirical test of the asset pricing theory in a set of countries. The literature usually tests CAPM from a cross-section, finding evidence that both confirm and refute theory predictions. In the present dissertation change in levels are used to test CAPM, similar to Chari and Henry (2004). The natural experiment is the countries' rate upgrade to investment grade or downgrade to speculative grade by major ratings agencies. The hypothesis is that return of assets subject to a change in levels of systematic risk should be amended in accordance with their respective magnitudes of individual differences in exposure to systematic risk. The results confirm theory predictions.
 
WARNING - Viewing this document is conditioned on your acceptance of the following terms of use:
This document is only for private use for research and teaching activities. Reproduction for commercial use is forbidden. This rights cover the whole data about this document as well as its contents. Any uses or copies of this document in whole or in part must include the author's name.
EduardoDeNardiRos.pdf (454.95 Kbytes)
Publishing Date
2013-02-27
 
WARNING: Learn what derived works are clicking here.
All rights of the thesis/dissertation are from the authors
CeTI-SC/STI
Digital Library of Theses and Dissertations of USP. Copyright © 2001-2024. All rights reserved.