APPLICATION OF ALTERNATIVE CAPM METHODOLOGIES IN VARIOUS BRAZILIAN CAPITAL MARKET SCENARIOS

Authors

  • José Matias Filho Universidade Presbiteriana Mackenzie São Paulo/SP
  • Wilson Toshiro Nakamura Universidade Presbiteriana Mackenzie, São Paulo/SP
  • Douglas Dias Bastos Universidade Presbiteriana Mackenzie, São Paulo/SP

DOI:

https://doi.org/10.13058/raep.2010.v11n4.132

Keywords:

risk and return, asset pricing, beta, CAPM, stock market

Abstract

Countless studies have been conducted aiming to measure the component of risk involved in the expected return on capital investments. The aim of this study is to compare the results obtained in the various Capital Asset Pricing Model (CAPM) calculation methodologies with the effective results presented by shares in the Brazilian market for the period 2000-
2004. These calculations use four methodologies for determining the beta index and three methodologies for calculating the CAPM, spread over eight distinct macroeconomic scenarios. The survey sought to determine equality relationships among the group of the various expected returns obtained and the effective behavior of returns on assets studied in various
scenarios. The study used the statistical method known as Hypothesis Testing of the Difference between Two Population Means to compare the various series of expected returns obtained with the respective effective returns. The results obtained suggest the indication of some methodologies and scenarios as valid tools in the prediction of future returns on these assets, especially when variables are introduced that take into account the country risk in their measurement.

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Author Biographies

José Matias Filho, Universidade Presbiteriana Mackenzie São Paulo/SP

Mestre em Administração pela UPM. Universidade Presbiteriana Mackenzie, São Paulo/SP. Áreas de interesse em pesquisa: Finanças Corporativas

Wilson Toshiro Nakamura, Universidade Presbiteriana Mackenzie, São Paulo/SP

Doutor em Administração pela FEA-USP. Áreas de interesse em pesquisa: Finanças Corporativas e Contabilidade

Douglas Dias Bastos, Universidade Presbiteriana Mackenzie, São Paulo/SP

Mestre em Administração pela UPM. Áreas de interesse em pesquisa: Finanças Corporativas

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Published

2010-12-31

How to Cite

Matias Filho, J., Nakamura, W. T., & Bastos, D. D. (2010). APPLICATION OF ALTERNATIVE CAPM METHODOLOGIES IN VARIOUS BRAZILIAN CAPITAL MARKET SCENARIOS. Administração: Ensino E Pesquisa, 11(4), 619–646. https://doi.org/10.13058/raep.2010.v11n4.132

Issue

Vol. 11 No. 4 (2010): Outubro-Dezembro

Section

Articles

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