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Test Of Capm Zero Beta In The Brazilian Capital Market
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Book Synopsis Test of capm zero-beta in the brazilian capital market by :
Download or read book Test of capm zero-beta in the brazilian capital market written by and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: O CAPM (Capital Asset Pricing Model) padrão, proposto por Sharpe, Lintner e Mossin, é um dos principais paradigmas da teoria de finanças. Especifica que o retorno médio esperado de um ativo é função linear apenas do seu risco não diversificável ou risco sistemático. O prêmio de risco esperado do mercado é a inclinação desta função, e o retorno esperado do ativo livre de risco é o intercepto. Possui como uma de suas premissas básicas a de que os investidores podem emprestar e tomar emprestado à taxalivre de risco. O modelo CAPM ZERO-BETA, proposto por Black, Jensen e Scholes (1972), considera que o investidor não pode emprestar nem tomar emprestado à taxa livre derisco. Nesse modelo o retorno esperado do ativo livre de risco é substituído pelo retorno esperado de uma carteira (carteira zero-beta) que possui mínima variância ecovariância zero com o retorno esperado da carteira de mercado. É também conhecido como CAPM de dois parâmetros, pois tanto o beta do ativo como o retorno da carteirazero-beta necessitam ser estimados, já que não podem ser diretamente observados. Este trabalho testa o CAPM zero-beta no mercado de capitais brasileiro. Utiliza a metodologia de regressão multivariada (MVRM), proposta por Gibbons (1982). Esta metodologia executa uma SUR (Seemingly Unrelated Regression) e estima conjuntamente o beta dos ativos e o retorno da carteira zero-beta. Além de dispensar a escolha do ativo livre de risco, a MVRM evita o erro de variáveis que ocorre na metodologia de regressão cross-section. Utilizando os ativos negociados na Bolsa deValores do Estado de São Paulo (BOVESPA) no período de 1986 a 2001, o teste não rejeita o CAPM zero-beta para os períodos de 1991 a 1996 e 1996 a 2001. Os resultados indicam um aumento recente na eficiência do mercado de capitais brasileiro.
Book Synopsis Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023) by : Shehnaz Tehseen
Download or read book Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023) written by Shehnaz Tehseen and published by Springer Nature. This book was released on 2023-10-27 with total page 821 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an open access book.The 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023) will be held in Dali on June 30–July 2, 2023. ICEDBC 2023 is annual conference since 2021. It was held in Xiamen, Dali from 2021 to 2022. Every year, there are many attendees from Asia, Europe, America, etc., and quite a few well-known experts give plenary speeches. Business culture is an organic and important part of the social culture system, it is the comprehensive reflection and expression of national culture and modern consciousness in business behavior, and is formed under the influence of national culture and modern consciousness with modern business characteristics and group consciousness as well as the behavior norms generated by this consciousness. For business, one hand on the economy, the other on culture, will certainly promote China's business towards modernization in a big step. The day when business culture is flourishing is the day when business economy is flourishing. Business culture plays a fundamental and decisive role in economic development, providing adequate basic support and supporting services for business activities. Business culture regulates business behavior, regulates business relationships, and influences the way of thinking in economic operation. Business culture promotes economic development through the shaping of people's pattern realm, entrepreneurship and integrity spirit. Business culture plays the role of "adhesive, catalyst and lubricant" for economic development by constructing and practicing value creation in business management and business transactions. ICEDBC2023 aims to explore the role of business culture in promoting economic development and to thoroughly analyze how to use its economic functions more effectively. ICEDBC 2023 warmly invite you to participate in and look forward to seeing you in Dali, China.
Book Synopsis Anomalies in the brazilian capital markets: essays with empirical tests at bovespa by :
Download or read book Anomalies in the brazilian capital markets: essays with empirical tests at bovespa written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: O estudo das anomalias existentes no mercado de capitais brasileiro vemganhando força em pesquisas recentes, tanto pela curiosidade de pesquisadorescomo pela necessidade de pessoas do mercado em entender alguns fenômenos quepersistem em ocorrer, mesmo com a disseminação da informação por todo omercado, contrariando os pressupostos da eficiência de mercado. Dentro destecontexto, esta tese se propôs a estudar alguns deles, e também realizarmodificações em modelos já consolidados. Foram feitas aqui três modificações namaneira tradicional de análise de modelos de anomalias, dentro de quatrocapítulos distintos, porém inter-relacionados, além da introdução e da conclusão.O primeiro capítulo se propõe a verificar dois pressupostos básicos de modelosestatísticos, que são a normalidade e a estacionariedade da série de retornos deações no Brasil. O segundo capítulo modifica a metodologia tradicional deformação de carteiras, aplicando uma técnica conhecida como análise de clusterem detrimento das medidas de posição. A terceira parte apresenta umamodificação do modelo de Grinblatt e Moskowitz (2004), analisando os aspectosque seriam importantes para o mercado brasileiro nos retornos futuros das ações. Por fim, é feita uma modificação importante no Modelo de Multifatores de Famae French (1996), incorporando elementos da variância condicional, através damodelagem ARCH e GARCH na equação do modelo. Concluí-se que o mercadobrasileiro apresenta algumas anomalias comuns a outros mercados, e que umamelhoria pode ser realizada nos modelos tradicionais, levando-se em consideraçãocaracterísticas específicas do caso brasileiro.
Book Synopsis Capital Markets in the Development Process by : John H. Welch
Download or read book Capital Markets in the Development Process written by John H. Welch and published by Springer. This book was released on 2016-01-07 with total page 241 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since 1964, Brazilian policy makers have actively promoted financial market growth. This book traces the evolution of the Brazilian capital markets before and after the 1964-1966 reforms and evaluates their role in economic growth and stability.
Book Synopsis Law, Planning and the Development of the Brazilian Capital Market by : David M. Trubek
Download or read book Law, Planning and the Development of the Brazilian Capital Market written by David M. Trubek and published by . This book was released on 1971 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Investigation of the Brazilian Capital Market by : James Craig Dodson
Download or read book An Investigation of the Brazilian Capital Market written by James Craig Dodson and published by . This book was released on 1961 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Capital Structure and Windows of Opportunities by : Eduardo Mendes
Download or read book Capital Structure and Windows of Opportunities written by Eduardo Mendes and published by . This book was released on 2005 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study tests the market timing theory (EMTT) in the Brazilian Stock Market. The study is an adaptation from the Baker and Wurgler's article (2002) that successfully tested the theory in the American Stock Market. The theory has not been proven in the Brazilian Market. The leverage decreases in the first year after the initial public offerings (IPO), but it grows once again without presenting the persistency required to corroborate the theory. No significant statistics were found between the market-to-book ratio and the leverage. The theory requires a negative correlation statistically robust for the market-to-book ratio to be confirmed.
Book Synopsis The New Finance by : Robert A. Haugen
Download or read book The New Finance written by Robert A. Haugen and published by . This book was released on 2012 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: A supplement for junior/senior and graduate level courses in Investments, Behavioral Finance Theory, and related courses. Teach the concepts that expose the inefficiency of capital markets. The New Finance is a comprehensive and organized collection of evidence and arguments that develop a persuasive case for an inefficient, complex and, at times, nearly chaotic stock market. This brief text also shows students how the complexity and uniqueness of investor interactions have important market pricing consequences. The fourth edition includes two new chapters on the real determinants of expected stock returns and the nature of stock volatility that the Financial Crisis of 2008 has exposed.
Book Synopsis Economic and Financial Modelling with EViews by : Abdulkader Aljandali
Download or read book Economic and Financial Modelling with EViews written by Abdulkader Aljandali and published by Springer. This book was released on 2018-10-22 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: This practical guide in Eviews is aimed at practitioners and students in business, economics, econometrics, and finance. It uses a step-by-step approach to equip readers with a toolkit that enables them to make the most of this widely used econometric analysis software. Statistical and econometrics concepts are explained visually with examples, problems, and solutions. Developed by economists, the Eviews statistical software package is used most commonly for time-series oriented econometric analysis. It allows users to quickly develop statistical relations from data and then use those relations to forecast future values of the data. The package provides convenient ways to enter or upload data series, create new series from existing ones, display and print series, carry out statistical analyses of relationships among series, and manipulate results and output. This highly hands-on resource includes more than 200 illustrative graphs and tables and tutorials throughout. Abdulkader Aljandali is Senior Lecturer at Coventry University in London. He is currently leading the Stochastic Finance Module taught as part of the Global Financial Trading MSc. His previously published work includes Exchange Rate Volatility in Emerging Markers, Quantitative Analysis, Multivariate Methods & Forecasting with IBM SPSS Statistics and Multivariate Methods and Forecasting with IBM® SPSS® Statistics. Dr Aljandali is an established member of the British Accounting and Finance Association and the Higher Education Academy. Motasam Tatahi is a specialist in the areas of Macroeconomics, Financial Economics, and Financial Econometrics at the European Business School, Regent’s University London, where he serves as Principal Lecturer and Dissertation Coordinator for the MSc in Global Banking and Finance at The European Business School-London.
Book Synopsis Law, Planning, and the Development of the Brazilian Capital Market by : David Trubek
Download or read book Law, Planning, and the Development of the Brazilian Capital Market written by David Trubek and published by . This book was released on 1975 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Applied Corporate Finance by : Aswath Damodaran
Download or read book Applied Corporate Finance written by Aswath Damodaran and published by John Wiley & Sons. This book was released on 2014-10-27 with total page 663 pages. Available in PDF, EPUB and Kindle. Book excerpt: Aswath Damodaran, distinguished author, Professor of Finance, and David Margolis, Teaching Fellow at the NYU Stern School of Business, has delivered the newest edition of Applied Corporate Finance. This readable text provides the practical advice students and practitioners need rather than a sole concentration on debate theory, assumptions, or models. Like no other text of its kind, Applied Corporate Finance, 4th Edition applies corporate finance to real companies. It now contains six real-world core companies to study and follow. Business decisions are classified for students into three groups: investment, financing, and dividend decisions.
Book Synopsis Journal of International Money and Finance by :
Download or read book Journal of International Money and Finance written by and published by . This book was released on 2001 with total page 1112 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Sustainable Strategic Management by : W. Edward Stead
Download or read book Sustainable Strategic Management written by W. Edward Stead and published by M.E. Sharpe. This book was released on 2004 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work fills the need for a strategic management text that gives full attention to sustainability and environmental protection. It includes chapter-by-chapter case studies of two organizations that exemplify many of the principles of environmentally sound management practices.
Book Synopsis EBOOK: Investments - Global edition by : Zvi Bodie
Download or read book EBOOK: Investments - Global edition written by Zvi Bodie and published by McGraw Hill. This book was released on 2014-03-16 with total page 1081 pages. Available in PDF, EPUB and Kindle. Book excerpt: We are pleased to present this Global Edition, which has been developed specifically to meet the needs of internationalInvestment students. A market leader in the field, this text introduces major issues of concern to all investors and placesemphasis on asset allocation. It gives students the skills to conduct a sophisticated assessment of watershed current issuesand debates. Bodie Investments' blend of practical and theoretical coverage combines with a complete digital solution tohelp your students achieve higher outcomes in the course.
Book Synopsis The Economics of Stock Futures by : Ney Roberto Ottoni de Brito
Download or read book The Economics of Stock Futures written by Ney Roberto Ottoni de Brito and published by . This book was released on 1983 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Handbook of Equity Market Anomalies by : Leonard Zacks
Download or read book The Handbook of Equity Market Anomalies written by Leonard Zacks and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
Book Synopsis Empirical Market Microstructure by : Joel Hasbrouck
Download or read book Empirical Market Microstructure written by Joel Hasbrouck and published by Oxford University Press. This book was released on 2007-01-04 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that these markets produce. The book includes numerous exercises.
