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Water pricing models: a survey

Monteiro, H.
Fonte: Dinâmia Publicador: Dinâmia
Tipo: Trabalho em Andamento
Publicado em //2005 ENG
Relevância na Pesquisa
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JEL Classification: L95, Q25.; This paper surveys water pricing models, highlighting some important results. Efficiency requires marginal cost pricing. Intra-annual price changes or customer differentiation to reflect differences in marginal costs can enhance efficiency. A marginal cost pricing mechanism may signal the value that consumers attribute to further capacity expansions as the water supply system approaches its capacity limit and marginal cost rises. However, pure marginal cost pricing may not be feasible while respecting a revenue requirement because marginal costs may be higher or lower than average costs. The most common ways of combining efficiency and revenue requirements are through the use of two-part tariffs, adjusting the fixed charge to meet the revenue requirement, or through second-best pricing like Ramsey pricing. It is not evident whether the best scheme is a two-part tariff or some other pricing mechanism. The role of block rate pricing, increasingly more frequent in actual pricing practices, is yet to be fully investigated.

Essays on pricing of information goods and services

Lahiri, Atanu (1974 - ); Dewan, Rajiv M.
Fonte: University of Rochester Publicador: University of Rochester
Tipo: Tese de Doutorado Formato: Number of Pages:xiv, 125 leaves
ENG
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Thesis (Ph. D.)--University of Rochester. William E. Simon Graduate School of Business Administration, 2010.; This dissertation consists of three essays that examine, in three specific contexts, issues related to pricing of information goods and services. As the ability to measure technology resource usage gets easier with increased connectivity, the question whether a technology resource should be priced by the amount of the resource used or by the particular application of the resource has become an important question. In the first essay, this question is examined in the context of pricing of wireless services: should the price be based on the application, e.g., voice, multimedia messages, short messages, or should it be based on the traffic generated? Contrary to the prevailing opinion that hold that consumers prefer pricing based on traffic alone and carriers prefer application-based discrimination, I show that in some instances consumers will prefer application-based discrimination, and that in some carriers will not prefer such discrimination. The first essay uses a deterministic model to analyze the impact of application-based pricing. However, deterministic models do not explain some other important pricing issues such as those related to the commonly seen “Fixed Up To” (FUT) tariff. FUT tariffs are made up of three parts: a monthly subscription fee...

Risk Aversion, Intertemporal Substitution, and Option Pricing

GARCIA, René; RENAULT, Éric
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Artigo de Revista Científica Formato: 2050193 bytes; application/pdf
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This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions option pricing formulas are not preference-free, in other words, when preferences are not hidden in the stock and bond prices as they are in the standard Black and Scholes (BS) or Hull and White (HW) pricing formulas. The dependence of option prices on preference parameters comes from several instantaneous causality effects such as the so-called leverage effect. We also emphasize that the most standard asset pricing models (CAPM for the stock and BS or HW preference-free option pricing) are valid under the same stochastic setting (typically the absence of leverage effect), regardless of preference parameter values. Even though we propose a general non-preference-free option pricing formula, we always keep in mind that the BS formula is dominant both as a theoretical reference model and as a tool for practitioners. Another contribution of the paper is to characterize why the BS formula is such a benchmark. We show that, as soon as we are ready to accept a basic property of option prices, namely their homogeneity of degree one with respect to the pair formed by the underlying stock price and the strike price...

Mapping Carbon Pricing Initiatives : Developments and Prospects 2013

Kossoy, Alexandre; Oppermann, Klaus; Reddy, Rama Chandra; Bosi, Martina; Boukerche, Sandrine; Höhne, Niklas; Klein, Noémie; Gilbert, Alyssa; Jung, Martina; Borkent, Bram; Lam, Long; Röser, Frauke; Braun, Nadine; Hänsel, Gesine; Warnecke, Carsten
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
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The Mapping Carbon Pricing Initiatives Report maps existing and emerging carbon pricing initiatives around the world. It does not provide a quantitative, transaction-based analysis of the international carbon market since current market conditions invalidate any attempt to undertake such an analysis. The development of national and subnational carbon pricing initiatives in an increasing number of countries calls for a different focus. The uncertainty surrounding the existing carbon markets in the last years has prevented valuable resources to be channeled to low-carbon investments, particularly from the private sector. Following the economic downturn and slow economic recovery in major economies, industrial output plummeted and the demand for carbon assets used for compliance fell. With limited support, prices reached historical lows. At the same time, several national and sub-national carbon pricing initiatives are emerging. It is not surprising that several of these new carbon pricing initiatives also include design features to prevent similar developments in the future, including mechanisms to stabilize the carbon price.

Egypt : Development of a Load Management Program and Design of Time of Use/Seasonal Pricing

Economic Consulting Associates, Ltd
Fonte: world Bank, Washington, DC Publicador: world Bank, Washington, DC
EN_US
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The primary aim of load shifting or peak clipping is to lower the peak demand of the electricity system as a whole or for key parts of the network and thereby to reduce the need for investment in generation and transmission capacity and to lower electricity supply costs. The pricing mechanisms and contractual frameworks examined in the project include conventional Time Of Use (TOU) tariffs that vary by season, day of the week or time of the day as well as special TOU contracts (contracts with large consumers to adjust their regular maintenance activities and/or major annual maintenance), interruptible contracts, and TOU power purchase contracts (purchase of electricity from customers who have excess self-generation). This Final Report is structured as follows; Section 2 provides an overview of the process of TOU tariff setting and rate design, Sections 3 and 4 summarise the experience of TOU tariffs and load management contracts in the MENA region (Section 3) and internationally (Section 4), Section 5 summarises the methodologies used in the development of TOU pricing mechanisms and load management contracts...

Energy Pricing Strategy in Egypt

KANTOR Management Consultants; EQI
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
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The present report is the final deliverable of the consulting study, an energy pricing strategy for Egypt, undertaken for the Government of Egypt with World Bank financing. The purpose of the report is threefold: to provide an overview and summarize key aspects of the project, and integrate the main findings that have been presented in a series of separate reports developed during the project; to provide specific recommendations for energy prices and levels, the transition path to full cost-reflective prices and the mitigation support to accompany the pricing reform; and to provide an overview of the organizational arrangements and key actions for implementing the energy pricing strategy. The present report comprises of the following sections: section one gives introduction, section two provides an overview of key elements of the study, including its objectives and tasks, the rationale for reforming energy prices, and the methodology for determining cost-reflective prices and assessing the impact of implementing them. Section three contains the recommended energy prices over the suggested transition period...

Indirect Cost Factors In Menu Pricing

Pavesic, David V.
Fonte: FIU Digital Commons Publicador: FIU Digital Commons
Tipo: Artigo de Revista Científica Formato: application/pdf
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In the discussion - Indirect Cost Factors in Menu Pricing – by David V. Pavesic, Associate Professor, Hotel, Restaurant and Travel Administration at Georgia State University, Associate Professor Pavesic initially states: “Rational pricing methodologies have traditionally employed quantitative factors to mark up food and beverage or food and labor because these costs can be isolated and allocated to specific menu items. There are, however, a number of indirect costs that can influence the price charged because they provide added value to the customer or are affected by supply/demand factors. The author discusses these costs and factors that must be taken into account in pricing decisions. Professor Pavesic offers as a given that menu pricing should cover costs, return a profit, reflect a value for the customer, and in the long run, attract customers and market the establishment. “Prices that are too high will drive customers away, and prices that are too low will sacrifice profit,” Professor Pavesic puts it succinctly. To dovetail with this premise the author provides that although food costs measure markedly into menu pricing, other factors such as equipment utilization, popularity/demand, and marketing are but a few of the parenthetic factors also to be considered. “… there is no single method that can be used to mark up every item on any given restaurant menu. One must employ a combination of methodologies and theories...

Three Essays on Asset Pricing

Wang, Zhiguang
Fonte: FIU Digital Commons Publicador: FIU Digital Commons
Tipo: Artigo de Revista Científica Formato: application/pdf
Relevância na Pesquisa
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In this dissertation, I investigate three related topics on asset pricing: the consumption-based asset pricing under long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in stock returns and stock options. These three topics are fully explored in Chapter II through IV. Chapter V summarizes the main conclusions. In Chapter II, I explore the effects of fat tails on the equilibrium implications of the long run risks model of asset pricing by introducing innovations with dampened power law to consumption and dividends growth processes. I estimate the structural parameters of the proposed model by maximum likelihood. I find that the stochastic volatility model with fat tails can, without resorting to high risk aversion, generate implied risk premium, expected risk free rate and their volatilities comparable to the magnitudes observed in data. In Chapter III, I examine the pricing performance of VIX option models. The contention that simpler-is-better is supported by the empirical evidence using actual VIX option market data. I find that no model has small pricing errors over the entire range of strike prices and times to expiration. In general, Whaley’s Black-like option model produces the best overall results...

Pricing-to-market nas exportações industriais brasileiras; Pricing-to-market in the Brazilian industrial exports

Assahide, Leonardo Kiyoshi Kinoshita
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 03/07/2015 PT
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A segmentação dos mercados internacionais permite a existência do pricing-to-market, hipótese inicialmente formulada por Krugman (1986). O primeiro objetivo deste trabalho foi testar o pricing-to-market realizado pelos exportadores brasileiros entre 1999 e 2012 utilizando dados para 26 setores industriais. À partir do modelo de Marston (1990), a sua estratégia de identificação adotada foi expandida para ser utilizada em dados em painel e considerar a possibilidade de cointegração entre as variáveis. Modelos de correção de erros em painel foram estimados utilizando diferentes técnicas de estimação, o efeito médio da taxa real de câmbio no longo prazo é de 0.673, ou seja, um aumento de 1% na taxa real de câmbio leva a um aumento de aproximadamente 0.07% nos preços relativos. No curto prazo, o efeito médio da taxa real de câmbio é de 0.233 nos preços relativos. Então há um efeito maior da taxa real de câmbio no longo prazo que no curto prazo. Após encontrar evidências de pricing-to-market nas exportações brasileiras, este estudo testou a assimetria do pricing-to-market através do modelo de painel com parâmetros limiares proposto por Hansen (1999). Foi estudado se a assimetria ou a volatilidade cambial possuem efeitos no nível de pricing-to-market realizado. As evidências encontradas mostram que a taxa real de câmbio possui efeitos assimétricos...

Fiscal expansions under flexible exchange rates and in a monetary union: the interplay of biased preferences and pricing-to-market; Expansive Fiskalpolitik bei flexiblen Wechselkursen und in einer Währungsunion: Das Zusammenspiel von Home Bias und Pricing-to-Market

Pitterle, Ingo
Fonte: Universität Tübingen Publicador: Universität Tübingen
Tipo: Dissertation; info:eu-repo/semantics/doctoralThesis
EN
Relevância na Pesquisa
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Since the 1960s, the field of open economy macroeconomics has been largely dominated by the Mundell-Fleming model and its perfect-foresight extension of Dornbusch (1976). When dealing with classical issues of international macroeconomics, including for instance the international transmission of monetary and fiscal policy or the evaluation of exchange-rate regimes, both academic researchers and policymakers relied heavily on the Keynesian type model framework that emerged from the works of Fleming (1962) and Mundell (1963, 1964). Especially during the last decade, a tremendous amount of research has been undertaken to overcome the drawbacks of this approach, such as the lack of any microfoundation, and to develop a new workhorse for the analysis of international macroeconomic issues. Eventually, these attempts resulted in the emergence of a new paradigm in international macroeconomics, labeled "New Open Economy Macroeconomics" (NOEM). The unifying feature of this literature is the combination of monopolistic behavior of economic agents with nominal rigidities in the context of explicitly microfounded general equilibrium models. The NOEM approach provides a suitable framework to address the questions raised by the international fiscal policy debate. In this dissertation...

Signalling requirements for smart pricing in mobile telecommunications systems.

Vo, Dat Tien
Fonte: Universidade de Adelaide Publicador: Universidade de Adelaide
Tipo: Tese de Doutorado
Publicado em //2011
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Smart Pricing can be classified as Dynamic Pricing and bears resemblances to Congestion Pricing. It is a pricing scheme that varies prices according to the current users' responses to rising load. Smart Pricing is a solution to the problem of underutilised network resources or to accommodate growing demand within existing network resources. All three pricing schemes necessitates signalling, however, little is known about the signalling requirements. This thesis makes original contributions in this very area whereby it: • analyses the current 3G mobile telecommunications systems network architecture and shows how Smart Pricing can be implemented; • proposes two models for implementing Smart Pricing in 3G mobile telecommunications systems. In these models, a new network element so-called Dynamic Pricing Engine is proposed to be added; • calculates and reports required signalling requirements for Smart Pricing; and • extends the models to more advanced telecommunications systems. The first model proposed is the Monte Carlo Simulation model in which operation of Smart Pricing is simulated and the required signalling is calculated. Both small and large Smart Pricing systems¹ are investigated and eighteen simulation scenarios are conducted. Highlights² of our findings are as follows. When there are more users in the system...

Reforming Fuel Pricing in an Age of $100 Oil

Kojima, Masami
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Economic & Sector Work :: Energy Study; Economic & Sector Work
ENGLISH; EN_US
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37.03%
Increases in world oil prices since 2004 have challenged consumers and oil-importing countries across the world. Oil prices temporarily fell sharply in 2009, only to triple three years later. The oil import share of gross domestic product rose by nearly half among net oil importers in just two years between 2009 and 2011. Governments that control oil product prices have come under pressure to intervene by keeping domestic prices low and effectively subsidizing consumers. This study focuses on the evolving role of oil in national economies, particularly those of developing countries, and proposes a menu of options for drawing a roadmap for pricing policy reform for oil products. In light of events since 2009, it examines how recent price movements have affected countries' vulnerability to world oil price increases, how governments have adjusted domestic fuel prices in response, the consequences of the policy responses, other coping mechanisms to deal with high oil prices and price volatility, the roadblocks to reforming pricing policy...

Fuel Pricing and Subsidies in Indonesia : Reaching an Equitable and Sustainable Policy

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work :: Energy Study; Economic & Sector Work
ENGLISH; EN_US
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Indonesia is an oil producing country and is the only East Asian member of the Organization of Petroleum Exporting Countries (OPEC). Over the years, this endowment of oil resources has been steadily exploited with substantial rents flowing to the government from production and exports of crude oil. The country is also one of the world's largest exporters of another petroleum resource, liquefied natural gas. The introduction of a new oil and gas law in 2001 (the law) provides the policy and legal basis for moving away from the present ineffective and fiscally inefficient fuel pricing and subsidy regime, towards the goal of an independent, reliable, transparent, competitive, efficient, and environmentally friendly petroleum sector that encourages the growth of the national potential and role and at the same time does not exclude the Government of Indonesia (GoI) fully meeting its social responsibility towards certain community groups. Implementation towards achieving the goals set out in the Law has been slow and hesitant. The Indonesian treasury is still saddled with a rather inefficient and ineffective fuel pricing and subsidies regime. This present report identifies a way forward for Indonesia to meet the requirements of the Law. That way forward will progressively eliminate the waste inherent in the present system...

Drawing a Roadmap for Oil Pricing Reform

Kojima, Masami
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
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In 2011, the median oil imports rose to 5 percent of gross domestic product for net importers. In the past several years, many governments have not passed through the world oil price increases to consumers fully. As a sign of divergent pricing policies, the retail prices of gasoline, diesel, and cooking gas in January 2013 varied by a factor of 190, 250, and 70, respectively, across developing countries. Policies to keep oil product prices low to benefit the economy and protect the poor have had a number of unintended negative consequences, including flourishing corruption in the oil sector and entrenchment of monopoly operators or inefficient firms through which subsidies are channeled, stifling competition and raising costs. The path to market-based pricing depends on the starting conditions: the gap between current and market-based price levels, the level of public awareness about the extent of departure from market prices, the degree of market concentration and competition in downstream oil, the subsidy delivery mechanism where subsidies are provided...

Rockets and Feathers : Asymmetric Petroleum Product Pricing in Developing Countries

Bacon, Robert; Kojima, Masami
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
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This paper aims to provide those working in developing countries with a review of the issues that can help address the four questions: 1) are petroleum product margins excessively high at certain times?; 2) Does asymmetry of price responses to cost changes exist and, if so, what are the possible reasons that could account for it?; 3) If there is asymmetry of petroleum product price responsiveness, how large is the cost to consumers compared with symmetric pricing?; And 4) what policies can combat excessive petroleum product margins? The discussion focuses mainly on liberalized markets, because, in markets subject to price control, the pattern of responses of prices to cost changes will be determined partially or largely by the Government. Chapter one describes asymmetric pricing and the structure of the oil market, focusing in particular on the links between the retail sector and the rest of the chain of supply. The chapter next briefly reviews types of legislation that exist in liberalized markets to protect consumers from monopolistic or collusive behavior in petroleum products pricing. Chapter two describes different types of firms' pricing behavior...

Petroleum Product Pricing and Complementary Policies : Experience of 65 Developing Countries Since 2009

Kojima, Masami
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
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Unable to cope fully with steadily climbing world oil prices since mid-2009, many of the 65 countries reviewed in this paper have progressed slowly or even reversed course in reforming pricing of petroleum products. End-user prices in July 2012 varied by two orders of magnitude across the countries. More than two-fifths, including some that had only recently adopted automatic pricing mechanisms, froze the prices of gasoline, diesel, or both for months or even years on end during the study period. When the prices were finally adjusted, the increases were sometimes substantial, leading to large-scale protests, partial or full reversals of price adjustments, or softening of pricing reform policy. Governments' attempts to keep domestic prices artificially low -- through price control, export or quantity restrictions, or political pressure put on oil companies -- have helped curb inflation in the short term, but frequently with serious negative consequences: flourishing black markets, smuggling, fuel adulteration, illegal diversion of subsidy funds...

Pricing Irrigation Water : A Literature Survey

Johansson, Robert C.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
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As water scarcity and population pressures increase, more countries are adopting water pricing mechanisms, as their primary means of regulating the consumption of irrigation water. The way to allocate water efficiently is to "get the prices right", but how to accomplish this is open to debate. Water pricing methods are sensitive to the social, physical, institutional, and political setting. To assess the costs and benefits of a particular irrigation project, the pricing method must be tailored to local circumstances. The author's survey of the resource economics literature on irrigation services and pricing, will be useful for developing comprehensive guidelines for water policy practitioners. He synthesizes accumulated knowledge about the implementation, and performance of various water pricing methods used over the past two decades: volumetric pricing (marginal cost pricing), output and input pricing, per area pricing, tiered pricing, two part tariffs, and water markets. As water scarcity and population pressures increase...

Modelling Derivatives Pricing Mechanisms with Their Generating Functions

Peng, Shige
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 22/05/2006
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In this paper we study dynamic pricing mechanisms of financial derivatives. A typical model of such pricing mechanism is the so-called g--expectation defined by solutions of a backward stochastic differential equation with g as its generating function. Black-Scholes pricing model is a special linear case of this pricing mechanism. We are mainly concerned with two types of pricing mechanisms in an option market: the market pricing mechanism through which the market prices of options are produced, and the ask-bid pricing mechanism operated through the system of market makers. The later one is a typical nonlinear pricing mechanism. Data of prices produced by these two pricing mechanisms are usually quoted in an option market. We introduce a criteria, i.e., the domination condition (A5) in (2.5) to test if a dynamic pricing mechanism under investigation is a g--pricing mechanism. This domination condition was statistically tested using CME data documents. The result of test is significantly positive. We also provide some useful characterizations of a pricing mechanism by its generating function.

New Pricing Framework: Options and Bonds

Laskin, Nick
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
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37%
A unified analytical pricing framework with involvement of the shot noise random process has been introduced and elaborated. Two exactly solvable new models have been developed. The first model has been designed to value options. It is assumed that asset price stochastic dynamics follows a Geometric Shot Noise motion. A new arbitrage-free integro-differential option pricing equation has been found and solved. The put-call parity has been proved and the Greeks have been calculated. Three additional new Greeks associated with market model parameters have been introduced and evaluated. It has been shown that in diffusion approximation the developed option pricing model incorporates the well-known Black-Scholes equation and its solution. The stochastic dynamic origin of the Black-Scholes volatility has been uncovered. The new option pricing model has been generalized based on asset price dynamics modeled by the superposition of Geometric Brownian motion and Geometric Shot Noise. To model stochastic dynamics of a short term interest rate, the second model has been introduced and developed based on Langevin type equation with shot noise. A new bond pricing formula has been obtained. It has been shown that in diffusion approximation the developed bond pricing formula goes into the well-known Vasicek solution. The stochastic dynamic origin of the long-term mean and instantaneous volatility of the Vasicek model has been uncovered. A generalized bond pricing model has been introduced and developed based on short term interest rate stochastic dynamics modeled by superposition of a standard Wiener process and shot noise. Despite the non-Gaussianity of probability distributions involved...

Modelos de precificação de ativos financeiros de fator único: um teste empírico dos modelos CAPM e D-CAPM; Single factor financial asset pricing models: an empirical test of the Capital Asset Pricing Model CAPM and the Downside Capital Asset Pricing Model D-CAPM

Paiva, Felipe Dias
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; ; ; ; Formato: application/pdf
Publicado em 01/06/2005 POR
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O objetivo deste estudo é analisar o capital asset pricing model (CAPM) e o downside capital asset pricing model (D-CAPM), bem como avaliar se este último modelo é uma eficiente alternativa de modelo de precificação de ativos. Os dados da pesquisa referem-se a 40 retornos de companhias listadas na Bolsa de Valores de São Paulo, de dezembro de 1996 a agosto de 2002. O artigo utilizou, para testar os modelos, as variáveis Certificado de Depósito Interbancário (CDI), como um ativo livre de risco, e o índice da Bolsa de Valores de Sao Paulo (Ibovespa), como proxy do portfólio de mercado. Conclui-se, então, que o D-CAPM possui uma maior capacidade explicativa dos retornos dos ativos se comparado ao CAPM.; This study analyzed the Capital Asset Pricing Model CAPM as well as the Downside Capital Asset Pricing Model D-CAPM and evaluated the latter as an efficient alternative asset pricing model. The returns of 40 companies on the São Paulo Stock Exchange BOVESPA were studied between December 1996 and August 2002. To test the models the study used as variables the Interbank Deposit Certificate CDI as a risk free asset and the Index of São Paulo Stock Exchange IBOVESPA as a proxy of the market portfolio. The D-CAPM was shown to be more useful in explaining the return of the stock market than the CAPM.