Testing the CAPM for the Brazilian Stock Market Using Multivariate GARCH between 1995 and 2012
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 contribu...
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| Format: | Article |
| Language: | English |
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EconJournals
2013-02-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | http://mail.econjournals.com/index.php/ijefi/article/view/395 |