文章基本信息

标题：Conditional CAPM: Time-varying Betas in the Brazilian Market
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作者：Frances Fischberg Blank ; Carlos Patricio Samanez ; Tara Keshar Nanda Baidya 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：2
页码：163-199
语种：Portuguese
出版社：Link to the Brazilian Society of Finance
摘要：The conditional CAPM is characterized by time-varying market beta. Based on state-space models approach, beta behavior can be modeled as a stochastic process dependent on conditioning variables related to business cycle and estimated using Kalman filter. This paper studies alternative models for portfolios sorted by size and book-to-market ratio in the Brazilian stock market and compares their adjustment to data. Asset pricing tests based on time-series and cross-sectional approaches are also implemented. A random walk process combined with conditioning variables is the preferred model, reducing pricing errors compared to unconditional CAPM, but the errors are still significant. Cross-sectional test show that book-to-market ratio becomes less relevant, but past returns still capture cross-section variation.
其他摘要：The conditional CAPM is characterized by time-varying market beta. Based on state-space models approach, beta behavior can be modeled as a stochastic process dependent on conditioning variables related to business cycle and estimated using Kalman filter. This paper studies alternative models for portfolios sorted by size and book-to-market ratio in the Brazilian stock market and compares their adjustment to data. Asset pricing tests based on time-series and cross-sectional approaches are also implemented. A random walk process combined with conditioning variables is the preferred model, reducing pricing errors compared to unconditional CAPM, but the errors are still significant. Cross-sectional test show that book-to-market ratio becomes less relevant, but past returns still capture cross-section variation.
关键词：conditional CAPM, time-varying beta;stock market anomalies;Kalman filter;CAPM condicional;betas variantes no tempo;anomalias financeiras;filtro de Kalman
其他关键词：conditional CAPM, time-varying beta; stock market anomalies; Kalman filter