About the efficiency of the Brazilian stock indexes

Authors

  • Cristina Elizabeth M. Hagler Telemar
  • Ricardo Dias de Oliveira Brito National Council for Scientific and Technological Development image/svg+xml

DOI:

https://doi.org/10.1590/S0080-21072007000100007

Keywords:

portfolio efficiency, CAPM, zero-beta CAPM, Wald test, Brazilian stock market indexes

Abstract

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.

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Published

2007-03-01

Issue

Vol. 42 No. 1 (2007)

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