Estimando Betas de Mercado com Quebras Estruturais

Autor:	Fernando Nascimento Oliveira, Fernando Cesar dos Santos Cunha
Rok vydání:	2018
Předmět:	Stock exchange Economic sector Structural break Econometrics Economics Capital asset pricing model General Medicine Beta (finance)
Zdroj:	Brazilian Review of Finance. 15:251
ISSN:	1984-5146 1679-0731
DOI:	10.12660/rbfin.v15n2.2017.64058
Popis:	This study verifies the contribution of a structural break (if any) to CAPM models. Therefore, we used all the assets listed in Bovespa and New York Stock Exchange in monthly frequencies. Three famous structural breaks tests were used. The results show that structural breaks are relevant in most models for most sectors of the economy. Then, the identified structural breaks are inserted in the models and the betas of CAPM models were re-estimated. The Betas that were statistically significant were chosen and their results compared to Market Beta for each sector of the economy. The results show that the estimated Betas resemble Market Beta in more than 78% of the economic sectors of the Brazilian and North-American markets.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::7a8544fc1dce5676fac9c5669147ee23 https://doi.org/10.12660/rbfin.v15n2.2017.64058 Zobrazit plný text záznamu