Conditional CAPM using expected returns of Brazilian new market (corporate governance)
by Elmo Tambosi Filho; Elaine Silvia Pasquini; Luis Carlos Domingos; Marcelo Dos Santos
International Journal of Auditing Technology (IJAUDIT), Vol. 2, No. 2, 2014

Abstract: In the last decades, CAPM model has been of great interest in the scientific scene. Despite all the criticism, the improvement of the static CAPM, which has generated new dynamic models, provided investors with stronger guarantee through financial transactions. The CAPM and its static version were and are still very important in the financial scene. Nowadays, more sophisticated adaptations of the CAPM are found, which allow us to explain some matters in finance that had remained unqualified for a couple of times. Considering such discussion about the CAPM validity, this study aims to create a basis for reflection upon the conditional model, comparing it with the static one. In order to verify such facts, tests of conditional models are examined (with beta varying throughout the exercise), something uncommonly studied in the literature.

Online publication date: Sat, 20-Dec-2014

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