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Teoria de precificação por arbitragem: um estudo empírico no setor bancário brasileiro

2009; UNIVERSIDADE ESTADUAL DE MARINGÁ; Volume: 28; Issue: 1 Linguagem: Inglês

10.4025/enfoque.v28i1.8080

1984-882X

Marcos Igor da Costa Santos, Manuel Soares da Silva,

Banking stability, regulation, efficiency

The CAPM - Capital Asset Pricing Model (model asset pricing) is currently widely used in the capitalmarket. However, it has received some criticism for showing in his theory that only the covariancebetween the return of an individual asset and the market return with the variance of that return is thedetermining element of the return of an asset. In this context, other models have emerged as an optionto the CAPM, and one of them has stood out in current works, namely APT - Arbitrage Pricing Theory.This study aimed to investigate the relationship between a set of five accounting variables (liquidity,total debt, change in profit, leverage and asset growth) and risk of the asset-based APT, in the capitalmarket, especially in three banks (Banco do Brasil, Bradesco and Banco do Nordeste do Brasil) in theperiod from 1999 to 2008. The results of the research found that for both variables, it was not possibleto establish the same correlation in its entirety with what the theory predicts. From the researched data,the information that closest resembled the theory regarding the existing relationships that explain therisk was presented by Banco Bradesco, with 04 variables. Banco do Brasil and Banco do Nordestepresented similarity in only two variables.