Prof. Elmo Tambosi Filho
Federal University of Santa Catarina, Brazil
Title: CAPM CONDITIONAL MODEL: GENERAL OVERVIEW
Abstract:
Despite all the criticism, the improvement of the static CAPM, which has generated new dynamic models, provided investors with stronger guarantee through financial transactions. The CAPM and its static version were and are still very important in the financial scene. Nowadays, more sophisticated adaptations of the CAPM are found, which allow us to explain some matters in finance that had remained unqualified for a couple of time. Considering such discussion about the CAPM validity, this study intends creates a basis for reflection upon the conditional model comparing it with the static one. In order to verify such facts, tests of conditional models are examined (with beta varying throughout the exercise), something uncommonly studied in the literature. Such tests are suitable to incorporate variances and covariances that change throughout the time. Methodological wise, the study tested the conditional CAPM model by Jagannathan and Wang (1996).
Keywords: Conditional CAPM; Validity; Treasury Bill; Static CAPM; Con Conditional CAPM; Validity; Treasury Bill; Static CAPM; Conditional variance.
Biography:
Graduate at Ciências Econômicas from Universidade Federal de Santa Catarina (1996), master's at Production Engineering from Universidade Federal de Santa Catarina (1997), ph.d. at Doutorado Sandwiche from Cleveland State University (2002) and ph.d. at Production Engineering from Universidade Federal de Santa Catarina (2003). Has experience in Administration, focusing on Financial Administration, acting on the following subjects: econometrics, stock market , portfolio e multivariate analysis.