Tabela 1 Estatisticas descritivas e CAPM
incondicional (julho de 1999 a maio de 2013) Meidia Desvio Indice alfa Padrao Sharpe (%) BM1 3,02% 7,82% 0,24 1,38 ** BM2 2,42% 6,27% 0,20 0,84 ** BM3 2,11% 6,30% 0,15 0,48 BM4 1,96% 6,33% 0,13 0,32 BM5 1,56% 6,78% 0,06 -0,10 Tam1 1,56% 6,73% 0,06 -0,15 Tam2 2,09% 6,58% 0,15 0,44 Tam3 2,40% 7,00% 0,18 0,76 * Tam4 2,27% 6,27% 0,18 0,73 Tam5 2,78% 7,43% 0,22 1,20 * estat.
Turning to CAPM
Investment itself, what are the benefits of being part of a larger group?
This paper was divided in five sections: the second sextion discusses the theoretical framework of the conditional CAPM
H2 = There is a significant difference between the returns of CAPM
and seven factors model applied on the financial sector of Pakistan
With the above stated introduction of equity return and its important determinants, present study attempts to explore the role of CAPM
, TFM, earning components and stock price volatility on the equity returns of Pakistan.
A contribuicao deste trabalho decorre, principalmente, em verificar se o retorno das acoes das empresas do novo mercado da BM&FBovespa sao capitados pelo o CAPM
, sendo o mesmo um benchmark para o retorno minimo exigido pelo investidor em sua tomada de decisao, independentemente das divergencias na estimacao de seus parametros.
For example, Godfrey and Espinosa (1996) suggested two main modifications of traditional United States (US) cost of equity calculation based on CAPM
that should be made for emerging countries.
For these reasons, asset pricing model approach, particularly CAPM
model has become standard to calculate a firm's equity returns.
They conclude that FF3 model performs better than the CAPM
in explaining stock returns in Hong Kong stock market.
These measures indicate the supremacy of the multifactor models in comparison with the CAPM
in the two sub-periods analyzed, with the four factor model presenting slightly better performance than the three factor and all of the models presenting better predictions in the period following the 2008 crisis.
The study sought to evaluate the appropriateness of net present value, based on CAPM
discount rate, in order to assess family new enterprises.
appears to be an appropriate model to calculate expected returns emanating from the Indian stock market.