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Brandão, Diego; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 39 (2019) 1, pp. 145-183

Persistent link: https://www.econbiz.de/10012210621

Goodness-of-fit versus significance : a CAPM selection with dynamic betas applied to the Brazilian stock market

de Pinho Ronzani, André Ricardo; Candido, Osvaldo; … - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-21

In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time …-at-Risk) measures are calculated. We can conclude that CAPM with time-varying betas provide less conservative VaR measures than those … based on CAPM with static betas or historical VaR. …

Persistent link: https://www.econbiz.de/10011760331

Factor sufficiency in asset pricing : an application for the Brazilian Market

Dezidério dos Santos Rocha, Rafaela; Laurini, Márcio … - In: International Journal of Financial Studies : open … 11 (2023) 4, pp. 1-31

The multifactor asset pricing model derived from the Fama-French approach is extensively used in asset risk premium estimation procedures. Even including a considerable number of factors, it is still possible that omitted factors affect the estimation of this model. In this work, we compare...

Persistent link: https://www.econbiz.de/10014485370