Open AccessEstimando Betas de Mercado com Quebras Estruturais
Author(s) -
Fernando Nascimento de Oliveira,
Fernando Cesar dos Santos Cunha
Publication year - 2018
Publication title -
revista brasileira de finanças
Language(s) - English
Resource type - Journals
eISSN - 1984-5146
pISSN - 1679-0731
DOI - 10.12660/rbfin.v15n2.2017.64058
Subject(s) - economics , capital asset pricing model , humanities , econometrics , physics , art
This study verifies the contribution of a structural break (if any) toCAPM models. Therefore, we used all the assets listed in Bovespa and NewYork Stock Exchange in monthly frequencies. Three famous structural breakstests were used. The results show that structural breaks are relevant inmost models for most sectors of the economy. Then, the identified structuralbreaks are inserted in the models and the betas of CAPM models werere-estimated. The Betas that were statistically significant were chosen andtheir results compared to Market Beta for each sector of the economy. Theresults show that the estimated Betas resemble Market Beta in more than 78%of the economic sectors of the Brazilian and North-Americanmarkets.