Abstract
O artigo examina a validade empírica do Inter-temporal Capital Asset Pricing Model (ICAPM) com o uso de dados do mercado brasileiro. É empregada a metodologia de Bali e Engle (2010), com a estimação de covariâncias condicionais entre retornos de carteiras de ações e fatores de precificação. As covariâncias são a seguir utilizadas como variáveis explicativas na equação de precificação. Os resultados confirmam o modelo para o período de 1988 a 2012. O coeficiente de aversão a risco é positivo e significante, e os fatores relevantes são taxas de juros e de inflação, além do preço do ouro. O oposto ocorre com a taxa de câmbio. A quebra do período de estudo em subperíodos indica que eventos importantes, como mudanças de regime econômico e a crise de 2008 têm o poder de modificar as associações encontradas e enfraquecer a validade do modelo.
Highlights
The Capital Asset Pricing Model (CAPM) developed by Sharpe (1964), Lintner (1965) and Mossin (1966) is one of the most important asset pricing models (Fama & French, 2004)
The objective of this paper was to assess the empirical validity of the Inter-temporal Capital Asset Pricing Model (ICAPM) for the Brazilian market
According to that model, expected returns do not depend only on the covariance with the market portfolio, and on the covariances with other variables, the so-called “state variables”. Such variables produce changes in the agents’ investment opportunity set, in such a way that, if consumption is negatively correlated with a state variable, an asset’s expected return will be lower when the correlation of its returns with changes in that variable is higher
Summary
The Capital Asset Pricing Model (CAPM) developed by Sharpe (1964), Lintner (1965) and Mossin (1966) is one of the most important asset pricing models (Fama & French, 2004). The Sharpe-Lintner-Mossin version of the CAPM is a single period model, and does not account for the possibility of changes in the investment opportunity set, represented by all possible combinations along the capital market line, that is, the risk free asset and the risky asset portfolio with the maximum Sharpe ratio. The use of long time series allows for testing the model for different sub-periods, something that is original in the Brazilian literature It is believed, that the results are a contribution to the empirical literature. The risk aversion coefficient is positive and significant before the crisis, but negative and non-significant afterwards Those results indicate that care must be taken before assuming that the relationship uncovered by the ICAPM is constant: adverse conditions in financial markets can cause preference shocks that alter the relationships between the variables in a significant fashion.
Sign-in/Register to view highlights & summary Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
