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RAE-Clássicos • Rev. adm. empres. 47 (2) • Jun 2007 •

O modelo de precificação de ativos de capital: teoria e evidências

Autoria SCIMAGO INSTITUTIONS RANKINGS

Resumos

Distante quatro décadas de seu aparecimento, o modelo de precificação de ativos de capital proposto pelo Nobel William Sharpe e por John Lintner, conhecido como CAPM, é ainda o modelo mais amplamente utilizado na estimativa do custo de capital de empresas e na avaliação de carteiras. O fato se deve às poderosas previsões permitidas pelo modelo sobre a medida do risco e a relação entre risco e retorno. O objetivo deste artigo é mostrar que o CAPM apresenta algumas falhas empíricas associadas a simplifi cações teóricas e difi culdades de implementação de testes que sejam válidos para o modelo. A conclusão do artigo é que as limitações do CAPM representam desafi os a serem explicados por modelos alternativos.

Modelo de precifi cação de ativos; custo de capital; avaliação de carteiras; risco e retorno esperado; teste empírico

Four decades after its advent, the capital assets pricing model proposed by Nobel Prize laureate William Sharpe and by John Lintner, known as CAPM, remains the most widely used model in estimating fi rms' cost of capital and valuing portfolios. This is due to the model's predictive power for risk and risk-return ratios. The purpose of this article is to show that CAPM has empirical flaws associated with theoretical simplifi cations and diffi culties implementing valid tests for the model. The article concludes that the limitations of CAPM are challenges to be explained by alternative models.

Asset pricing model; term structure; bonds; general equilibrium theory; empirical test

RAE CLÁSSICOS

O modelo de precificação de ativos de capital: teoria e evidências

Eugene F. FamaI; Kenneth R. FrenchII

IUniversidade de Chicago

IIUniversidade de Dartmouth

RESUMO

Distante quatro décadas de seu aparecimento, o modelo de precificação de ativos de capital proposto pelo Nobel William Sharpe e por John Lintner, conhecido como CAPM, é ainda o modelo mais amplamente utilizado na estimativa do custo de capital de empresas e na avaliação de carteiras. O fato se deve às poderosas previsões permitidas pelo modelo sobre a medida do risco e a relação entre risco e retorno. O objetivo deste artigo é mostrar que o CAPM apresenta algumas falhas empíricas associadas a simplifi cações teóricas e difi culdades de implementação de testes que sejam válidos para o modelo. A conclusão do artigo é que as limitações do CAPM representam desafi os a serem explicados por modelos alternativos.

Palavras-chave: Modelo de precifi cação de ativos, custo de capital, avaliação de carteiras, risco e retorno esperado, teste empírico.

ABSTRACT

Four decades after its advent, the capital assets pricing model proposed by Nobel Prize laureate William Sharpe and by John Lintner, known as CAPM, remains the most widely used model in estimating fi rms' cost of capital and valuing portfolios. This is due to the model's predictive power for risk and risk-return ratios. The purpose of this article is to show that CAPM has empirical flaws associated with theoretical simplifi cations and diffi culties implementing valid tests for the model. The article concludes that the limitations of CAPM are challenges to be explained by alternative models.

Key words: Asset pricing model, term structure, bonds, general equilibrium theory, empirical test.

Texto completo disponível apenas em PDF.

Full text available only in PDF format.

Aprovado em 16.03.2007.

Eugene F. Fama

Professor de Finanças na Graduate Business School da Universidade de Chicago.

Interesses de pesquisa nas áreas investimentos, formação de preços em mercados de capitais e fi nanças corporativas.

E-mail: eugene.fama@chigagoqsb.edu

Endereço: Avenue South Woodlawn, 5807, 60637, Chicago, IL, USA.

Kenneth R. French

Professor de Finanças na Tuck School of Business, da Universidade de Dartmouth

Interesses de pesquisa nas áreas de custo e estrutura de capital.

E-mail: kfrench@dartmouth.edu

Endereço: Tuck School of Business at Dartmouth. Tuck Hall, 100, 03755, Hanover, NH, USA.

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Datas de Publicação

  • Publicação nesta coleção
    01 Ago 2011
  • Data do Fascículo
    Jun 2007
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