Comparação CAPM x Modelos Lower Partial Moments nos Mercados Brasileiro e Americano

This article empirically test the lower partial moments models, Sortino,Upside Potential Ratio, Omega and Kappa, comparing them with the traditionalCAPM, for listed shares of Ibovespa and Dow Jones index. These two classesof models are distinguished in terms of investors' profile assumptions andrisk measurement. While the CAPM considers only the first two moments of thereturns distribution, assuming investor's quadratic utility function(defined in terms of mean/expected returns and variance/risk), the othermeasures take into account higher moments of returns distributions(assimetry and curtosis). The Hansen-Jagannathan distance, which estimatesthe Stochastic Discount Factor (SDF) measurement error generated by eachmodel, showed a distinction of the models in the two markets. While the CAPMperformed better for Dow Jones shares, the lower partial moments modelspresented better results for Ibovespa, suggesting an advantage in the use ofsuch models in markets with lower liquidity, fat tails (greater probabilityof extreme events) and greater asymmetry.