An Empirical Test of the Consumption-Based Asset Pricing Model (CCAPM) in Latin America

EsicMarket, 2009

32 Pages Posted: 18 Jul 2019

See all articles by Guilherme Kirch

Guilherme Kirch

Universidade Federal do Rio Grande do Sul (UFRGS)

Paulo R. S. Terra

FGV-EAESP

Tiago Wickstrom Alves

University of Vale do Rio dos Sinos (UNISINOS)

Date Written: January 1, 2009

Abstract

This study investigates whether the Consumption-based Capital Asset Pricing Model (CCAPM) is consistent with the data from four Latin-American countries: Brazil, Chile, Colombia, and Mexico. Empirical results showed that there is a statistical significant relationship between mean excess returns and consumption betas in the countries cited above, with the exception of Mexico. Such results are, in part, similar to the results reported in previous studies for the United States of America.

Keywords: CapitalMarkets, Assets PricingModels, CCAPM, Latin America, Two-Stage Cross-Sectional Regressions

JEL Classification: G12, C21

Suggested Citation

Kirch, Guilherme and Terra, Paulo Renato Soares and Alves, Tiago Wickstrom, An Empirical Test of the Consumption-Based Asset Pricing Model (CCAPM) in Latin America (January 1, 2009). EsicMarket, 2009, Available at SSRN: https://ssrn.com/abstract=3421542

Guilherme Kirch (Contact Author)

Universidade Federal do Rio Grande do Sul (UFRGS) ( email )

Rua Washington Luiz, 855
Porto Alegre, RS, 90010-460
Brazil
+55 51 33083836 (Phone)

HOME PAGE: http://www.ea.ufrgs.br

Paulo Renato Soares Terra

FGV-EAESP ( email )

Rua Itapeva 474 - 8o andar
Bairro Bela Vista
São Paulo, 01332-000
Brazil
11-3799-7899 (Phone)

Tiago Wickstrom Alves

University of Vale do Rio dos Sinos (UNISINOS) ( email )

Brazil

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