PIB brasileiro como carteira de mercado eficiente no modelo CAPM

Abstract

The present work raises as problematic the high concentration of the Bovespa index, which is currently used as a representative of the national market portfolio in the CAPM model. Seeking inspiration from the research by Araujo, Fajardo and Di Tavani (2006), this study proposes three asset portfolios based on the sectoral composition of the Brazilian Gross Domestic Product, intending to better approach a broad and legitimate market portfolio proxy. for the CAPM asset pricing model. Differing from the 2006 essay, which used GDP as the dividend paid for a hypothetical asset, the market shares in its composition are explored, using them as the weights of the assets in forming the proposed market portfolios, consonant with Markowitz's Modern Portfolio Theory (1952). The efficiencies of the three suggested portfolios in the “medium-variance” sense and their ability to explain the return on asset portfolios were tested according to the Sharper-Lintner version of the analyzed model. Additionally, the performance of these portfolios was compared to the efficiency results obtained by Ibovespa. This research comprised a 10-year period from January 2009 to December 2018, and was further divided into 4 sub-periods. The results show that none of the portfolios mentioned, as far as the Bovespa index, are efficient. However, despite not meeting the stipulated efficiency conditions, the Ibovespa was the most reasonable measure for the market portfolio, as it was efficient over the entire sample period.