Testing the CAPM for the Brazilian Stock Market: A Study of Dynamic Beta Using Multivariate GARCH

Lucas Lucio Godeiro


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-Short strategies.

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DOI: http://dx.doi.org/10.5539/ijef.v5n3p164

International Journal of Economics and Finance  ISSN  1916-971X (Print) ISSN  1916-9728 (Online)

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