CAPM Condicional: Betas Variantes no Tempo no Mercado Brasileiro

Abstract

The conditional CAPM is characterized by time-varying market beta. Based on state-space models approach, beta behavior can be modeled as a stochastic process dependent on conditioning variables related to business cycle and estimated using Kalman filter. This paper studies alternative models for portfolios sorted by size and book-to-market ratio in the Brazilian stock market and compares their adjustment to data. Asset pricing tests based on time-series and cross-sectional approaches are also implemented. A random walk process combined with conditioning variables is the preferred model, reducing pricing errors compared to unconditional CAPM, but the errors are still significant. Cross-sectional test show that book-to-market ratio becomes less relevant, but past returns still capture cross-section variation.

Own Grain Storage Structures: Is It Worth Investing?

“…Capital Asset Pricing Model (CAPM) is the most widely used asset pricing model for investors (Blank et al, 2014;Graham and Harvey, 2001). For the Minimum Attractiveness Rate, the cost of equity of the producer (Ke) was estimated through the Adjusted Hybrid CAPM-based model proposed by (Pereiro, 2001) The Adjusted Hybrid CAPM-based model adjusts the global market premium for the domestic market using a beta country, which is represented mathematically by the slope of the regression between a local market index and the global market index (Teixeira and Cunha, 2017).…”

Conditional Pricing Model With Heteroscedasticity: Evaluation of Brazilian Funds

“…Using a state-space form conditional CAPM, Mazzeu, Da Costa Júnior, and Santos (2013) observed a reduction in pricing errors using the time-varying beta model in a sample of 13 stocks in the Brazilian market. Blank et al (2014) build portfolios of stocks based on book-tomarket and market value characteristics and verify that when the beta is modeled as a random walk with conditioning variables, pricing errors are reduced. Caldeira, Moura, and Santos (2013 use a similar approach in combining a dynamic conditional covariance matrix based on a GARCH model and the risk factors proposed by Carhart (1997) with time-varying coefficients.…”

“…The conditional version of CAPM was developed to address the limitations of the traditional static version. There are three main approaches to model the dynamic behavior of the beta: (i) modelling the conditional distribution function of returns as an explicit function of lagged conditioning variables (Jagannathan & Wang, 1996;Lettau & Ludvigson, 2001), (ii) describing the beta dynamics using conditional or stochastic volatility models (Bodurtha Jr & Mark, 1991;Bollerslev, Engle, & Wooldridge, 1988;Yu, 2002), (iii) using state-space models where the beta dynamics are directly modelled as a stochastic process (Adrian & Franzoni, 2009;Blank, Samanez, Baidya, & Aiube, 2014;Jostova & Philipov, 2005;Mergner & Bulla, 2008).…”

Impacto da crise econômica de 2015-2016 sobre o coeficiente beta do mercado de capitais brasileiro

“…Para isso, analisouse o comportamento do beta de uma carteira composta por ações de empresas brasileiras negociadas na B3, pertencentes a setores distintos da economia, ao longo do período de fevereiro de 2010 a dezembro de 2018. Para se obter a trajetória temporal do beta da carteira selecionada, seguiu-se Blank et al (2014), modelando a dinâmica de beta como um processo estocástico (de reversão à media ou passeio aleatório) combinado ou não com variáveis condicionantes relativas ao ciclo econômico e estimando-a por meio do Filtro de Kalman. Para efeito de comparação, também estimou-se o beta de mercado considerando o modelo CAPM incondicional.…”

“…Este estudo contribui para a literatura que trata dos efeitos de crises sobre o risco sistemático das empresas, em particular, para o caso das empresas brasileiras, para o qual os estudos são escassos. Assim como Blank et al (2014), exploraram-se os ganhos da modelagem híbrida encontrados por Adrian e Franzoni (2009) para dados do mercado norte-americano, e adicionaram-se variáveis macroeconômicas relacionadas diretamente à economia brasileira. Os poucos artigos que tratam do comportamento do risco sistemático das empresas brasileiras em períodos de crise (Bortoluzzo, Venezuela, Bortoluzzo, & Nakamura, 2016;Ribeiro, Barbosa, Fonseca, & Frega, 2014) empregam modelos de apreçamento de ativos incondicionais.…”