Ajuste de um Modelo de Arbitragem de Preços Sob Incertezas Inflacionárias

Abstract

This article investigates the adequability of on arbitrage princing theory (APT) model under uncertain inflation to the Brazilian stock market. It is carried out through the statistical adjustment of this model to the historical series of the nominal asset returns of the more traded stocks in the So Paulo stock exchange. The hypothcses are validated by the factorial analysis of the asset returns adopting the principal factors method.