Browsing FGV EPGE - Ensaios Econômicos by Title "Tests of conditional asset pricing models in the brazilian stock market"

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    • Tests of conditional asset pricing models in the brazilian stock market 

      Bonomo, Marco Antônio Cesar; Garcia, René
      1999-07
      In this paper, we test a version 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 modeI by using the difference ...