TESTING THE NON-PARAMETRIC CONDITIONAL CAPM IN THE BRAZILIAN STOCK MARKET
This paper seeks to analyze if the variations of returns and systematic risks from Brazilian portfolios could be explained by the nonparametric conditional Capital Asset Pricing Model (CAPM) by Wang (2002). There are four informational variables available to the investors: (i) the Brazilian industri...
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| Published in: | Revista de Ciências da Administração |
|---|---|
| Main Authors: | , , , |
| Format: | Artigo |
| Language: | Inglês |
| Published: |
Universidade Federal de Santa Catarina
2014
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| Subjects: | |
| Online Access: | https://www.redalyc.org/articulo.oa?id=273530344015 |
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