Goodness-of-Fit versus Significance: A CAPM Selection with Dynamic Betas Applied to the Brazilian Stock Market

Autor: André Ricardo de Pinho Ronzani, Osvaldo Candido, Wilfredo Fernando Leiva Maldonado

Publikováno v: International Journal of Financial Studies, Vol 5, Iss 4, p 33 (2017)

In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time, conditional on financial and non-financial variables. Indeed, the model proposed by Adrian and Franzoni (2009) is adapted to asses

Externí odkaz: https://doaj.org/article/c0e46842617345a3af9be382a49262f1

Goodness-of-Fit versus Significance: A CAPM Selection with Dynamic Betas Applied to the Brazilian Stock Market

Autor: Wilfredo L. Maldonado, André Ricardo de Pinho Ronzani, Osvaldo Candido

Publikováno v: International Journal of Financial Studies, Vol 5, Iss 4, p 33 (2017)
International Journal of Financial Studies; Volume 5; Issue 4; Pages: 33

In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time, conditional on financial and non-financial variables. Indeed, the model proposed by Adrian and Franzoni (2009) is adapted to asses

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6dad3df7ddd2b83c1377a8ae025f2536
https://www.mdpi.com/2227-7072/5/4/33