The influence of the 2008 financial crisis on the predictiveness of risky asset pricing models in Brazil

The influence of the 2008 financial crisis on the predictiveness of risky asset pricing models in Brazil

ABSTRACT This article examines three models for pricing risky assets, the capital asset pricing model (CAPM) from Sharpe and Lintner, the three factor model from Fama and French, and the four factor model from Carhart, in the Brazilian mark et for the period from 2002 to 2013. The data is composed o...

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Bibliographic Details
Main Authors: Adriana Bruscato Bortoluzzo, Maria Kelly Venezuela, Maurício Mesquita Bortoluzzo, Wilson Toshiro Nakamura
Format: Article
Language:English
Published: Universidade de São Paulo
Series:Revista Contabilidade & Finanças
Subjects:
CAPM
market anomalies
multifactor model
prediction
2008 financial crisis
Online Access:http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1519-70772016000300408&lng=en&tlng=en

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