Test of the conditional capm using returns of Brazilian, Argentinean and Chilean markets, comparing them to the north American portfolio Teste do capm condicional dos retornos de carteiras dos mercados Brasileiro, Argentino e Chileno, comparando-os com o mercado norte-Americano

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dc.contributor.authorFilho E.T.
dc.contributor.authorGarcia F.G.
dc.contributor.authorImoniana J.O.
dc.contributor.authorMoreiras L.M.F.
dc.date.accessioned2024-03-13T01:32:15Z
dc.date.available2024-03-13T01:32:15Z
dc.date.issued2010
dc.description.abstractOver the last few decades the Capital Asset Pricing Model (CAPM) has roused great interest in the scientific community. Despite suffering criticism, improvements in the static CAPM have given rise to new dynamic models that provide the investor with enhanced safety over the period of the business cycle. Currently, we find more complex adaptations of the CAPM, which provide us with answers to questions in finance that have long remained unsolved. Given this panorama and considering the whole debate about the feasibility of the CAPM, the objective of this work is to test the conditional Capital Asset Pricing Model of Jagannathan and Wang (1996), which incorporates macroeconomic and financial variables, for the Brazilian, Argentinian, Chilean and North American markets. © RAE.
dc.description.firstpage60
dc.description.issuenumber1
dc.description.lastpage74
dc.description.volume50
dc.identifier.doi10.1590/S0034-75902010000100006
dc.identifier.issn0034-7590
dc.identifier.urihttps://dspace.mackenzie.br/handle/10899/37225
dc.relation.ispartofRAE Revista de Administracao de Empresas
dc.rightsAcesso Aberto
dc.subject.otherlanguageConditional CAPM
dc.subject.otherlanguageDynamic and static models
dc.subject.otherlanguageFinancial markets
dc.subject.otherlanguageInvestiments
dc.subject.otherlanguagePortfolio
dc.titleTest of the conditional capm using returns of Brazilian, Argentinean and Chilean markets, comparing them to the north American portfolio Teste do capm condicional dos retornos de carteiras dos mercados Brasileiro, Argentino e Chileno, comparando-os com o mercado norte-Americano
dc.typeArtigo
local.scopus.citations3
local.scopus.eid2-s2.0-84856568720
local.scopus.updated2024-05-01
local.scopus.urlhttps://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84856568720&origin=inward
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