Bonomo, Marco; Garcia, René - Centre Interuniversitaire de Recherche en Analyse des … - 1997
In this paper, we test a verison of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the period 1976-1992. We also test a conditional APT model by using the difference between the 30-day rate (Cdb) and the overnight rate as a second...