CAPM: uma aplicação do modelo para as blue chips listadas na BM&FBOVESPA

Abstract

The capital asset pricing model (CAPM) indicates the expected return of an asset taking into consideration the risk-free return, the market return and the beta coefficient. The present study sought to determine whether the actual returns from blue chip stocks traded on the BM & FBOVESPA are equivalent to the returns offered by the CAPM. As a methodological framework such work presents the descriptive, hypothetical-deductive and quantitative research approach. Were created individual spreadsheets for the stocks in which were calculated the return, variance, standard deviation, covariance, correlation and monthly beta coefficient. It was also created with an optimized asset portfolio, calculating the risk, return and the Sharpe index. The z test was used in order to verify the existence of a significant difference between actual returns and the CAPM returns. It was delimited the period August 2009 to August 2014, with the sample corresponding to 18 stocks plus the optimized portfolio sample. The results obtained with a confidence level of 95%, showed the effectiveness of the CAPM to analyze individual actions in most cases analyzed. For optimal portfolio proposed by the CAPM return did not get satisfactory result.