Publication

DETERMINANDO A TAXA LIVRE DE RISCO PARA A APLICAÇÃO DO CAPM NO MERCADO BRASILEIRO

View document

Bibliographic Details
Summary:The adaptation of CAPM (Capital Asset Pricing Model) to Brazilian market has been subject for several academic papers. One of the aspects related to the subject refers to the parameterization of the risk-free rate (Rf), usually oscillating in the literature between the Poupança Yield, the Selic rate and the yield from US treasury bonds. The following paper aimed to discover which of these constructs has the better fit to the CAPM’s risk free rate in Brazil. Basing on the flight to quality phenomena, we compared the behavior of Ibovespa with the behavior of these constructs. The conclusion is that, although all presented significant correlation with Ibovespa, the quality to explain the Ibovespa performance was better for the US treasury bonds, classifying it as the recommended asset to the risk-free rate in Brazil.
Main Authors:Piccoli, Pedro Guilherme Ribeiro
Other Authors:Cruz, June Alisson Westarb; Citadin, Michael Willian
Subject:Taxa Livre de Risco CAPM Aversão ao Risco Flight to Quality Risk-Free Rate CAPM Risk Aversion Flight to Quality Tasa Libre de Riesgo CAPM Aversión al Riesgo Vuelo a la Calidad
Year:2014
Country:Brazil
Document type:article
Access type:unknown
Associated institution:IBICT
Language:Portuguese
Origin:Oasisbr

Similar Items

Funded activities

No funded projects found.

Similar Items