UTILIZATION OF A NEW RISK ANALYSIS MODEL AT BOVESPA: THE D-CAPM

Authors

  • Pierre Lucena Universidade Federal de Pernambuco – Recife, PE
  • Luiz Felipe Jacques da Motta Pontifícia Universidade Católica do Rio de Janeiro - Rio de Janeiro, RJ

Keywords:

CAPM, D-CAPM, BOVESPA, semi-deviation, downside risk, emergent markets

Abstract

The goal of this work is to present a new risk analysis model applied to the Brazilian stock market known as D-CAPM, and that represents an alternative to the CAPM Model. The model just considers as risky the negative part of the returns, since agents prefer to get more positive returns. Results demonstrate that both models present inconsistency when applied to the Brazilian stock market, as they go against one of the main principles of financial theory, according to which investments of more risk should present a history of higher returns. The work conclusions also indicate that the model is not as efficient when applied to markets that have problems with the traditional CAPM Model.

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Author Biographies

Pierre Lucena, Universidade Federal de Pernambuco – Recife, PE

Luiz Felipe Jacques da Motta, Pontifícia Universidade Católica do Rio de Janeiro - Rio de Janeiro, RJ

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Published

2013-08-06

How to Cite

Lucena, P., & Jacques da Motta, L. F. (2013). UTILIZATION OF A NEW RISK ANALYSIS MODEL AT BOVESPA: THE D-CAPM. Electronic Review of Administration, 10(5). Retrieved from https://seer.ufrgs.br/index.php/read/article/view/41673

Issue

Vol. 10 No. 5 (2004): Edição 41 - set/out 2004

Section

Articles

License

 

The author holds authorship rights, and authorizes REAd to publish the article on its website or in printed editions, not implying the payment of copyright or any other fee to the authors, and certifies that this article has not been published, to date, in any Brazilian journal.