CAPM em estudos brasileiros: Uma análise da pesquisa

Abstract

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.