CAPM usando uma carteira sintética do PIB Brasileiro
DOI:
https://doi.org/10.1590/S0101-41612006000300003Keywords:
CAPM, GDP, synthetic portfolioAbstract
One of the difficulties in testing the CAPM, as highlighted in the Roll's critique, is how to select a suitable market proxy. The literature has proposed a number of alternatives to the use of Stock Exchange Indices as a proxy for the Market Portfolio. All of them looked at a broader measure of assets which are not sold at Stock Exchanges. This paper follows Hou (2002) by testing the CAPM through a hypothetical aggregate portfolio that generates GDP as its dividend. The goal of the paper is to evaluate if the proxy proposed by Hou (2002) can be used as a good proxy for the market portfolio in Brazil. In addition, we compare the performance of the synthetic return proposed by Hou (2002) to the Ibovespa return, a very popular proxy for the market portfolio in empirical studies in Brazil. Results, especially the ones related to the Black version of the CAPM, show that the synthetic return measure is not mean-variance efficient for the full sample (1991-2002). In spite of not being able to meet all the requirements imposed by the CAPM model in all sub-samples, the Ibovespa return has a better performance compared to the synthetic return. In fact, it is mean-variance efficient for the full sample and for the majority of sub-samples.Downloads
References
Amihud, Yakov; Bent, Jesper C.; Mendelson, Haim. Futher evidence on the riskreturn
relationship. Working Paper, Graduate School of Business, Standard University, 1992.
Baxter, Marianne et al. Synthetic returns on NIPA assets: an international comparison.
European Economic Review 42, p. 1141-1172, 1998.
Black, Fischer; Jensen, Michael C.; Scholes, Myron. The capital asset pricing model:
some empirical tests. In: Jensen, Michael C. (ed.), Studies in the theory of capital
markets. New York: Prager, 1972.
Campbell, J. Understanding risk and return. Journal of Political Economy 104, 1996.
Campbell, John; Lo, Andrew W.; MacKinley, Craig. The econometrics of financial markets. Princeton University Press, 1997.
Campbell, J.; Shiller, R. Stock prices, earnings, and expected dividends. Journal of Finance 43, p. 661-676, 1988.
Cochrane, John. Asset pricing. Princeton University Press, 2001.
Costa Jr. et al. (orgs.). Mercado de capitais: análise empírica no Brasil. Editora Atlas, 2000.
Danthine, Jean-Pierre; Donaldson, John B. Intermediate financial theory. Prentice Hall, 2001.
Fama, Eugene; French, Kenneth R. The cross section of expected stock returns. Journal of Finance 47, p 427-66, 1992.
Fama, Eugene; MacBeth, James. Risk, return and equilibrium: empirical tests. Journal of Political Economy 81, 1973.
Gibbons, M.; Ross, S.; Shaken, J. A test of the efficiency of a given portfolio. Econometrica,
, p. 1121-1152, 1989.
Gomes, C.; Holland, M. Regra de Taylor e política monetária em condições de endividamento
público no Brasil. Economia, v. 4, n. 2, p. 333-361, 2003.
Gonçalves, F. et al. Can jurisdictional uncertainty and capital controls explain the high level of real interest rates in Brazil? Evidence from panel data. Department of Economics, University of California at Berkeley, 2005.
Hagler, Cristina. Testando a eficiência dos índices de ações brasileiros. Departamento de
Economia, Ibmec Rio de Janeiro, 2003.
Hou, Yuanfeng. Testing the CAPM by a synthetic return on GDP as the market return.
Economics Department, Yale University, 2002.
Issler, João Victor; Piqueira, Natalia Scotto. Estimating relative risk aversion, the discount rate, and intertemporal elasticity of substitution in consumption for Brazil using three types of utility function. Brazilian Review of Econometrics, 20, 2000.
Jobson, D.; Korkie, R. Potential performance and tests of portfolio efficiency. Journal of Financial Economics, 10, p. 433-466, 1982.
Kandel, Schmuel; Stambaugh, Robert. Portfolio inefficiency and the cross-section of
expected returns. Journal of Finance 50, p. 185-224, 1995.
Lintner, John. Security prices, risk and maximal gains from diversification. Journal of Finance 20, 1965.
MacKinley, A. C. On multivariate tests of the CAPM. Journal of Financial Economics, 18, p. 341-372, 1987.
Ribenboim, Guilherme. Teste de modelo CAPM com dados brasileiros. In: Bonomo, Marco Antônio (ed.), Finanças aplicadas ao Brasil. Rio de Janeiro: Editora FGV, 2002.
Roll, Richard; Ross, Stephen. On the cross-sectional relation between expected return and betas. Journal of Finance 50, p. 185-224, 1995.
Shiller, R. Macro markets: creating institutions for managing society’s largest economic
risks. Oxford University Press, 1993.
Silva, F.; Motta, L. Teste do CAPM zero-beta no mercado de capitais brasileiro. Revista de Economia e Administração, v. 1, n. 4, p. 72-88, 2002.
Stambaugh, R. On the exclusion of the assets from tests of the two parameter model. Journal of Financial Economics 10, p. 235-268, 1982.
Tavani, Leonardo C. di. CAPM usando uma carteira sintética do PIB brasileiro. Departamento
de Economia, Ibmec Rio de Janeiro, 2003.
Downloads
Published
Issue
Section
License
Copyright (c) 2006 Eurilton Araújo, José Fajardo, Leonardo C. di Tavani
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
By submitting an article, the author authorizes its publication and attests that it has not been submitted to any other journal. The original article is considered final. Articles selected for publication are proofread for grammatical and orthographic errors. The journal does not pay rights for published articles. The Institute of Economic Research from the School of Economics, Business and Accounting of the University of São Paulo (Instituto de Pesquisas Econômicas da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo) owns the journal's copyright.
