Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012

Authors

  • Lucas Lucio Godeiro Federal Rural University of Semi-Arid

Abstract

The paper tests the CAPM for the Brazilian stock market using dynamic betas. The sample involves 28 stocks included in the Ibovespa portfolio as of March 21, 2012 and that were traded during the period from Jan. 01, 1995 to March 20, 2012. Dynamic betas were estimated and conditional betas contributed with larger explanatory power of excess cross section returns. The main contribution of the paper is the estimation of dynamic betas for Ibovespa shares, which can be useful for investors using Long x Short strategies.

Keywords: CAPM; Multivariate GARCH; Dynamic betas.

JEL Classifications: G12; C32

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Author Biography

Lucas Lucio Godeiro, Federal Rural University of Semi-Arid

Departament of Economics

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Published

2013-02-27

How to Cite

Godeiro, L. L. (2013). Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012. International Journal of Economics and Financial Issues, 3(2), 253–275. Retrieved from https://www.econjournals.com/index.php/ijefi/article/view/395

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Articles