文章基本信息

标题：Mean-Variance Efficiency of the Market Portfolio
本地全文：下载
作者：Rafael Falcão Noda ; Roy Martelanc ; José Roberto Securato 等
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2014
卷号：12
期号：1
页码：67-88
语种：Portuguese
出版社：Link to the Brazilian Society of Finance
摘要：The objective of this study is to answer the criticism to the CAPM based on findings that the market portfolio is far from the efficient frontier. We run a numeric optimization model, based on Brazilian stock market data from 2003 to 2012. For each asset, we obtain adjusted returns and standard deviations such that (i) the efficient frontier intersects with the market portfolio and (ii) the distance between the adjusted parameters and the sample parameters is minimized. We conclude that the adjusted parameters are not significantly different from the sample parameters, in line with the results of Levy and Roll (2010) for the USA stock market. Such results suggest that the imprecisions in the implementation of the CAPM stem mostly from parameter estimation errors and that other explanatory factors for returns may have low relevance. Therefore, our results contradict the above-mentioned criticisms to the CAPM in Brazil.
其他摘要：The objective of this study is to answer the criticism to the CAPM based on findings that the market portfolio is far from the efficient frontier. We run a numeric optimization model, based on Brazilian stock market data from 2003 to 2012. For each asset, we obtain adjusted returns and standard deviations such that (i) the efficient frontier intersects with the market portfolio and (ii) the distance between the adjusted parameters and the sample parameters is minimized. We conclude that the adjusted parameters are not significantly different from the sample parameters, in line with the results of Levy and Roll (2010) for the USA stock market. Such results suggest that the imprecisions in the implementation of the CAPM stem mostly from parameter estimation errors and that other explanatory factors for returns may have low relevance. Therefore, our results contradict the above-mentioned criticisms to the CAPM in Brazil.
关键词：CAPM;portfolio management;cost of capital;CAPM;gestão de carteiras;custo de capital
其他关键词：Finance;CAPM; portfolio management; cost of capital;G11; G12; G32