Publicação
STUDY ABOUT THE DYNAMICS OF CONSUMPTION CAPITAL ASSET PRICING MODEL (C-CAPM): A THEORETICAL STUDY
| Resumo: | The appearance of Consumption Capital Asset Pricing Model (C-CAPM) happened from the proposition of initial researches of Merton (1973) and Breeden (1979) who aimed to universalize the model Capital Asset Pricing Model (CAPM) developed by Sharpe (1964) and Lintner (1965) in an intertemporal context. The goal of this article was to provide a theoretical base to study the pricing of assets through the C-CAPM. In order to develop the theory, instead of considering a complete generality model, it is necessary at first to establish some limits. For the development of the model it is considered that all the consumers are alike in behavior and have endless life. This consumer will be defined as the representative agent who will determine how the assets will be priced. The methodology applied was a theoretical study about the model dynamics, searching as a result to approach the theory to reality, as being a dynamic model of assets pricing. It was concluded that by using the institution of a representative agent, the C-CAPM is not able to explain empirically the historic data about the return of risk assets, of free assets and, last but not least, of risk award. |
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| Autores principais: | Morozini, João Francisco |
| Outros Autores: | Cardoso, Carlos Eduardo; Ferreira, Endrei Giffoni |
| Assunto: | CAPM. C-CAPM. Asset pricing. Finances CAPM; C-CAPM; Precificação de ativos; Finanças. |
| Ano: | 2009 |
| País: | Brasil |
| Tipo de documento: | artigo |
| Tipo de acesso: | unknown |
| Instituição associada: | IBICT |
| Idioma: | português |
| Origem: | Oasisbr |
| Resumo: | The appearance of Consumption Capital Asset Pricing Model (C-CAPM) happened from the proposition of initial researches of Merton (1973) and Breeden (1979) who aimed to universalize the model Capital Asset Pricing Model (CAPM) developed by Sharpe (1964) and Lintner (1965) in an intertemporal context. The goal of this article was to provide a theoretical base to study the pricing of assets through the C-CAPM. In order to develop the theory, instead of considering a complete generality model, it is necessary at first to establish some limits. For the development of the model it is considered that all the consumers are alike in behavior and have endless life. This consumer will be defined as the representative agent who will determine how the assets will be priced. The methodology applied was a theoretical study about the model dynamics, searching as a result to approach the theory to reality, as being a dynamic model of assets pricing. It was concluded that by using the institution of a representative agent, the C-CAPM is not able to explain empirically the historic data about the return of risk assets, of free assets and, last but not least, of risk award. |
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