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Mostrando 1-2 de 2 artigos, teses e dissertações.
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1. Arbitrage pricing theory in international markets / Teoria de apreçamento arbitragem aplicada a mercados internacionais
This dissertation studies the impact of multiple pre-specified sources of risk in the return of three non-overlapping groups of countries, through an Arbitrage Pricing Theory (APT) model. The groups are composed of emerging and developed markets. Emerging markets have become important players in the world economy, especially as capital receptors, but they we
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 05/09/2011
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2. The capm and fama-french models in brazil
This paper confronts the Capital Asset Pricing Model - CAPM - and the 3-Factor Fama-French - FF - model using both Brazilian and US stock market data for the same Sample period (1999-2007). The US data will serve only as a benchmark for comparative purposes. We use two competing econometric methods, the Generalized Method of Moments (GMM) by (Hansen, 1982) a
Publicado em: 17/12/2007