About the efficiency of the Brazilian stock indexes
DOI:
https://doi.org/10.1590/S0080-21072007000100007Keywords:
portfolio efficiency, CAPM, zero-beta CAPM, Wald test, Brazilian stock market indexesAbstract
This paper studies the mean-variance efficiency of some Brazilian stock indexes applied to benchmark passive investment. The efficiency of Ibovespa, IBX50 and FGV100 is exhaustively tested against different sets of portfolios and for different time periods between June 1989 and July 2003, according to the Gibbons, Ross and Shanken's (1989) and Shanken's (1986) approaches. Most of the tests reject the efficiency of these indexes, suggesting they are not suitable benchmarks to passive asset management.Downloads
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Published
2007-03-01
Issue
Section
Finance & Accounting
How to Cite
About the efficiency of the Brazilian stock indexes. (2007). Revista De Administração, 42(1), 74-85. https://doi.org/10.1590/S0080-21072007000100007