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

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 pre- dictive power for risk and risk-return ratios. The purpose of this article is to show that CAPM has empirical fl aws 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.