Comparação entre o modelo de precificação de ativos de capital (CAPM) e o modelo de precificação por arbitragem (APT)

Abstract

Considering the importance of choosing the correct to asset pricing model , and the complexity of the market structure , instruments are created with the objective of maximizing returns on investments , but economic mathematical methods have different features and structures . To identify these distinctions , the objective of this study is to examine if the application of the CAPM and APT have significant differences in their results . The research method was applied grounding in empirical reviews that explanam the basics of economic models . Then was taken to apply the methods for companies of Trade , Electronics , Industrial Machinery , Transportation and Services sectors during the period 2002-2012 . Based on this implementation , the results obtained when the sample is analyzed completely reject the null hypothesis , ie , that there are differences between the models , but when the analysis is done every year , the years 2003 and 2006 not reject null hypothesis of no difference between the models . Comparing the two models , for now , the result brought a different perspective , the 30 companies analyzed , only 3 where: All Amer Lat , Springer Arteris and rejected the null hypothesis , and thus 90 % of the sample not rejecting H0 , confirming the assertion that there is no statistical difference between the CAPM and APT models , with a significance level of 95 % .