CAPM IN BRAZILIAN STUDIES: AN ANALYSIS OF THE RESEARCH
DOI:
https://doi.org/10.11606/rco.v6i15.52659Keywords:
Accounting and Finances, Research on CAPM, Asset Pricing ModelsAbstract
For the last decades, the Capital Asset Pricing Model (CAPM) has also been a recurring theme in studies in accounting and finance in Brazil. We have gathered national academic papers from 1997 to 2008 on the CAPM and variants, presented in EnANPADs and national journals, in order to study their main methodological characteristics and findings. Descriptive statistics were used in the analysis. Almost 1/3 of the work compared CAPM with other models. The conventional version was the most used one. The following characteristics were identified on these papers: 1) for those which had confirmed the effectiveness of the theory: much of the data reported were incomplete; cross-section analysis prevailed; Ibovespa was the most used proxy of the market portfolio; SELIC was the most preferred proxy of the risk free asset; study periods between one and three years prevailed, 2) for those that had rejected it: most data were incomplete; focus on the cross-section analysis; testing periods from one to three years; and Ibovespa and CDI were the most invested proxies. Furthermore, the IGP-DI was the predomi- nant deflator, many didn’t indicate the type of share used, and the individual assets were the ones preferred in the empirical tests. We concluded that the model has been satisfactory in the country, despite the failure of some elements to precisely comply with the premises of the theory. Due to the deficiencies, though, many researchers have compared its performance with other models or have added factors that improve their efficiency.Downloads
Downloads
Published
Issue
Section
License
The RCO adopts the Free Open Access policy, under the standard Creative Commons agreement (CC BY-NC-ND 4.0). The agreement provides that:
- Submission of text authorizes its publication and implies commitment that the same material is not being submitted to another journal. The original is considered definitive.
- Authors retain the copyright and grant the journal the right of first publication, with the work simultaneously licensed under the Creative Commons Attribution License which allows the sharing of the work with acknowledgment of authorship and initial publication in this journal.
- Authors are authorized to take additional contracts separately, for non-exclusive distribution of the version of the work published in this journal (e.g. publish in an institutional repository or as a book chapter), with necessary recognition of authorship and initial publication in this journal.
- Authors are allowed and encouraged to publish and distribute their work online (e.g. in institutional repositories or on their personal page) before or during the editorial process, as this can generate productive changes as well as increase the impact and citation of published work (See The Effect of Free Access).
- The journal does not pay copyright to the authors of the published texts.
- The journal's copyright holder, except those already agreed in the Free Open Access Agreement (CC BY-NC-ND 4.0), is the Accounting Department of the Faculty of Economics, Administration and Accounting of Ribeirão Preto of the University of São Paulo.
No submission or publication fees are charged.
Up to 4 authors per article are accepted. Exceptionally duly justified cases may be reviewed by the Executive Committee of the RCO. Exceptional cases are considered as: multi-institutional projects; manuscripts resulting from the collaboration of research groups; or involving large teams for evidence collection, construction of primary data, and comparative experiments.
It is recommended that the authorship be ordered by contribution of each of the individuals listed as authors, especially in the design and planning of the research project, in obtaining or analyzing and interpreting data, and writing. Authors must declare the actual contributions of each author, filling the letter to the editor, at the beginning of the submission, taking responsibility for the information given.
Authors are allowed to change throughout the evaluation process and prior to the publication of the manuscript. The Authors should indicate the composition and final order of authorship in the document signed by all those involved when accepted for publication. If the composition and authoring order is different than previously reported in the system, all previously listed authors should be in agreement.
In the case of identification of authorship without merit or contribution (ghost, guest or gift authorship), the RCO follows the procedure recommended by COPE.
