Aplicando o CAPM na BOVESPA: Exemplo Prático no Excel


Neste estudo vou explicar de forma simples, como calcular no Excel e/ou no Stata, os coeficientes Betas, de ações do IBOVESPA, por meio do Modelo CAPM, utilizando um exemplo prático de um ativo que compõe o índice.

Para facilitar o entendimento disponibilizei a planilha deste estudo para DOWNLOAD.

Na primeira etapa há uma breve introdução teórica sobre o modelo CAPM, e mais a frente estudamos um ativo num dado período para calcularmos seu risco (Beta).

1.0 CAPM

Desenvolvido nos anos 60 por Willian Sharpe, John Lintner, Jack Treynor e Ian Mossim, o Capital Asset Pricing Model (CAPM), é um modelo de precificação de ativos que busca demonstrar, de maneira objetiva, o relacionamento da rentabilidade esperada de um ativo qualquer num mercado em equilíbrio, com o risco não diversificável demonstrado pelo coeficiente beta.

A equação do CAPM é conhecida da seguinte forma:

R Rf + b ´ (Rm Rf)

Onde: R – Retorno esperado de um ativo, Rf – taxa livre de risco, Rm – retorno esperado do mercado, b coeficiente beta.

Quando o beta do ativo avaliado for menor que 1, ele poderá ser classificado como defensivo. Pois à medida que o mercado vier a sofrer baixa ou alta, o preço do ativo também sofrerá baixa ou alta menos que proporcional; ou seja, se o mercado sofrer baixa ou alta de aproximadamente 1%, o preço do ativo individual tenderá a sofrer queda ou alta menor que 1%. Quando o beta do ativo avaliado for igual a 1, pode-se dizer que esse ativo é neutro, demonstrando que há uma correlação perfeita entre as taxas de retorno do ativo individual e as taxas de retorno do mercado como um todo; ou seja, quando o mercado sofrer baixa ou alta de 1%, o preço do ativo individual tenderá a sofrer baixa ou alta de 1%. Quando o beta do ativo avaliado for maior que 1, este poderá ser classificado como agressivo, significando que, à medida que o mercado sofrer baixa ou alta, o preço do ativo também sofrerá baixa ou alta mais que proporcional, ou seja, se o mercado sofrer baixa ou alta de aproximadamente 1%, o preço do ativo individual tenderá a sofrer baixa ou alta maior que 1%.

Embasado nesta teoria, estudaremos a seguir um exemplo prático de uma ação do índice BOVESPA, e analisar o risco (beta).

2.0 Análise Prática BVMF3

Neste estudo, coletamos dados de cotações históricas do ativo BVMF3 (clique aqui para ter acesso a cotações históricas), do Índice Bovespa (Neste site), e da taxa CDI over da CETIP (disponibilizadas neste site), entre dia 02/08/2010 a 17/11/2010.

Utilizamos a taxa CDI Over (diária) como taxa livre de risco e o IBOV diário como benchmark. Para isso coletamos dados no período conforme a Coluna A do quadro abaixo, levando em consideração somente os dias úteis, na coluna B temos o histórico da cotação da BVMF3, e na C temos a taxa do CDI diário mais 1.

CONTINUE LENDO AQUI: http://marketseconomy.blogspot.com.br/2012/04/aplicando-o-capm-na-bovespa-exemplo.html

Autor: jcsimionato

Especialista em Finanças pela UFPR, graduado em Economia pela UFPR . Certificado de Especialista em Investimentos ANBIMA CEA® além de CPA-20 e CPA-10. Já trabalhei em outra instituição financeira, atualmente sou assistente no Banco do Brasil. Também sou professor de cursos preparatórios para as certificações da ANBIMA e de formação básica em mercado financeiro e afins. Tenho um vasto conhecimento em investimentos, mercado de capitais, bolsa de valores, ferramentas de mensuração e gestão de riscos, matemática financeira e afins. Blog: http://marketseconomy.blogspot.com.br

  • Nilma Almeida do Nascimento

    Não foi possível fazer download da planilha, pois, no 4Shared.com aparece a mensagem “The file link that you requested is not valid”.

  • Nilma Almeida do Nascimento

    Achei excelente este exemplo prático do modelo CAPM. Didático e completo. Parábens!

  • thiago josé

    Bom dia,
    Fiz os cálculos semestrais por essa planilha, mas queria saber como achar o BETA mensal????????

  • Ana

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