Abstract

DE SOUSA SANTANA, Fernando. Capital Asset Pricing Model and Arbitrage Pricing Theory: an Empirical Test on the Brazilian Entities of the Electrical Sector. Cuad. Contab. [online]. 2013, vol.14, n.35, pp.731-746. ISSN 0123-1472.

Capital Asset Pricing Model (CAPM) and Arbitrage Pricing Theory (APT) are valuation techniques of financial actives which are employed to determine return generated on investment. With the purpose of evaluating the applicability of these models in mind, an empirical study was performed in order to verify expected return behavior on Brazilian's Electrical Sector stocks. There was confrontation between risk and expected return given by the models and real data. The sample is comprised by quoted entities of Índice de Energia Elétrica (IEE), developed by Mercadorias e Futuros de São Paulo (BM&FBovespa) stock market, over a basis of 15 assests. The results suggest macroeconomic factors-in general-to disregard stock profitability of the studied entities. This happens because of the fact that excessive public control suggests participants to give more importance to specific variables of the industry rather than macroeconomic factors.

Keywords : Capital Asset Pricing Model; Arbitrage Pricing Theory; expected return; risk; Electric Companies-Brazil; business valuation; stock analysis.

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