Asset Pricing Model (CAPM) in Emerging Markets: Evidence in BRICS nations and comparisons with other G20

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DOI:

https://doi.org/10.24023/FutureJournal/2175-5825/2019.v11i2.360

Keywords:

Asset pricing, BRICS countries, G20 countries, long-term interest rates

Abstract

The objective of this paper is to empirically investigate the applicability of the asset pricing model in a portfolio made up of groups of countries, the G20 for this case. In the meantime, it was intended to compare a complete sample of 14 constituent countries of the group, a subsample of four countries belonging to the BRICS and another of the countries that do not belong. The survey sample consisted of long-term interest rate data from these countries collected in the OECD database and also from the Central Bank of Brazil (Bacen). Based on the results of the regression of Panel data on fixed effects, we found evidence that there is a statistically positive relationship between the market risk premium and the interest rate risk premiums. The regression betas showed that the interest rate risk premium is not sensitive when considering the full sample of the G20 countries but is sensitive in the BRICS sample.

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Author Biographies

Cláudio Francisco Rezende, Faculdade Uniessa.

Doutorando em Economia pela Universidade Federal de Uberlândia - UFU,  Minas Gerais, (Brasil). Professor dos Cursos de Administração e CST em Gestão da Faculdade Uniessa, Minas Gerais. 

Vinícius Silva Pereira, Universidade Federal de Uberlândia - UFU Faculdade de Gestão e Negócios - FAGEN

Doutor em Administração pela Fundação Getúlio Vargas - FGV, São Paulo, (Brasil). Professor Adjunto da Faculdade de Gestão e Negócios - FAGEN, Minas Gerais, da Universidade Federal de Uberlândia - UFU. Professor do Programa de Pós-Graduação em Administração - PPGA da FAGEN/UFU.

Antonio Sergio Torres Penedo, Universidade Federal de Uberlândia - UFU Faculdade de Gestão e Negócios - FAGEN

Doutor em Engenharia de Produção pela Universidade Federal de São Carlos - UFSCAR, São Paulo, (Brasil). Professor Adjunto IV da Universidade Federal de Uberlândia - UFU, Minas Gerais, e na Faculdade de Gestão e Negócios - FAGEN, Minas Gerais. 

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Published

2019-05-27

How to Cite

Rezende, C. F., Pereira, V. S., & Penedo, A. S. T. (2019). Asset Pricing Model (CAPM) in Emerging Markets: Evidence in BRICS nations and comparisons with other G20. Future Studies Research Journal: Trends and Strategies, 11(2), 162–175. https://doi.org/10.24023/FutureJournal/2175-5825/2019.v11i2.360

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