124 Int. J. Auditing Technology, Vol. 2, No. 2, 2014 Copyright © 2014 Inderscience Enterprises Ltd. Conditional CAPM using expected returns of Brazilian new market (corporate governance) Elmo Tambosi Filho*, Elaine Silvia Pasquini, Luis Carlos Domingos and Marcelo Dos Santos Methodist University São Paulo/SP, R. Alfeu Tavares, 149 – Rudge Ramos, São Bernardo do Campo – SP, Brazil Email: elmotf@hotmail.com Email: elaine.pasquini@metodista.br Email: adg3@uol.com.br Email: marcelo.santos@metodista.br *Corresponding author Abstract: In the last decades, CAPM model has been of great interest in the scientific scene. Despite all the criticism, the improvement of the static CAPM, which has generated new dynamic models, provided investors with stronger guarantee through financial transactions. The CAPM and its static version were and are still very important in the financial scene. Nowadays, more sophisticated adaptations of the CAPM are found, which allow us to explain some matters in finance that had remained unqualified for a couple of times. Considering such discussion about the CAPM validity, this study aims to create a basis for reflection upon the conditional model, comparing it with the static one. In order to verify such facts, tests of conditional models are examined (with beta varying throughout the exercise), something uncommonly studied in the literature. Keywords: conditional CAPM; financial markets; portfolio; Brazil. Reference to this paper should be made as follows: Tambosi Filho, E., Silvia Pasquini, E., Domingos, L.C. and Santos, M.D. (2014) ‘Conditional CAPM using expected returns of Brazilian new market (corporate governance)’, Int. J. Auditing Technology, Vol. 2, No. 2, pp.124–133. Biographical notes: Elmo Tambosi Filho graduated in Economics from the Federal University of Santa Catarina in 1996, received his Master in Production Engineering from the Federal University of Santa Catarina in 1997, Doctorate in Doctor Sandwiche – Cleveland State University in 2002, PhD in Production Engineering from the Federal University Santa Catarina in 2003 and Postdoctoral Getúlio Vargas Foundation of São Paulo in 2007. He is currently a Professor in the Masters Programme of the Methodist University of São Paulo. He has experience in administration, with emphasis in financial management, acting on the following topics: econometrics, financial market, portfolio, capital markets and emerging markets. Elaine Silvia Pasquini received her Master in Business Administration with emphasis in Finance, in 2008, graduated in Business Administration and Mathematics. She is bound as a Teacher at Mackenzie University since 02/2014