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Master's Dissertation
DOI
10.11606/D.12.2010.tde-12052010-084724
Document
Author
Full name
Leandro de Oliveira Almeida
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2010
Supervisor
Committee
Postali, Fernando Antonio Slaibe (President)
Avelino, Ricardo Rezende Gomes
Marçal, Emerson Fernandes
Title in Portuguese
Estimação do CAPM intertemporal com ações da BOVESPA
Keywords in Portuguese
Apreçamento
CAPM intertemporal
Finanças
Abstract in Portuguese
Esse trabalho se propõe a estimar um modelo de apreçamento de ativos de capital financeiro intertemporal, em inglês, intertemporal capital asset pricing model ICAPM, utilizando as inovações produzidas de duas variáveis de estado: o índice máximo de Sharpe e a taxa real de juros. Tais variáveis são supostas formadas a partir de um processo de difusão de reversão à média: Ornstein-Uhlenbeck. A estimação do modelo completo, ICAPM, é feita no arcabouço de cross-section e comparada com a estimação do modelo de três fatores de Fama-French, tanto em retornos mensais quanto semanais. O modelo ICAPM não mostrou um grau de ajuste melhor que o modelo de Fama-French.
Title in English
Intertemporal CAPM estimation with Bovespa stocks
Keywords in English
Finance
Intertemporal CAPM
Pricing
Abstract in English
This work intends to estimate an intertemporal capital asset pricing model, by using the innovations of two state variables: maximum Sharpe index and real interest rate. These variables are supposed created by a mean reverting diffusion process: Ornstein-Uhlenbeck. The complete estimation of ICAPM is made in a cross-section approach and it is compared with Fama-French three factors model, as in monthly return as weekly return. ICAPM model does not have a better goodness of fit than Fama-French Model.
 
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Publishing Date
2010-05-13
 
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