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

Lucas Lucio Godeiro

EN

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

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

Details

Primary Language

English

Subjects

-

Journal Section

-

Authors

Lucas Lucio Godeiro This is me

Publication Date

June 1, 2013

Submission Date

June 1, 2013

Acceptance Date

-

Published in Issue

Year 2013 Volume: 3 Number: 2

IZ

https://izlik.org/JA93JF66JP

Cite

RIS / Bibtex

APA

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. https://izlik.org/JA93JF66JP

AMA

1.Godeiro LL. Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012. IJEFI. 2013;3(2):253-275. https://izlik.org/JA93JF66JP

Chicago

Godeiro, Lucas Lucio. 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): 253-75. https://izlik.org/JA93JF66JP.

EndNote

Godeiro LL (June 1, 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.

IEEE

[1]L. L. Godeiro, “Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012”, IJEFI, vol. 3, no. 2, pp. 253–275, June 2013, [Online]. Available: https://izlik.org/JA93JF66JP

ISNAD

Godeiro, Lucas Lucio. “Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH Between 1995 and 2012”. International Journal of Economics and Financial Issues 3/2 (June 1, 2013): 253-275. https://izlik.org/JA93JF66JP.

JAMA

1.Godeiro LL. Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012. IJEFI. 2013;3:253–275.

MLA

Godeiro, Lucas Lucio. “Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH Between 1995 and 2012”. International Journal of Economics and Financial Issues, vol. 3, no. 2, June 2013, pp. 253-75, https://izlik.org/JA93JF66JP.

Vancouver

1.Lucas Lucio Godeiro. Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012. IJEFI [Internet]. 2013 Jun. 1;3(2):253-75. Available from: https://izlik.org/JA93JF66JP