TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE (CROSBI ID 202335)
Prilog u časopisu | izvorni znanstveni rad
Podaci o odgovornosti
Džaja, Josipa ; Aljinović, Zdravka
engleski
TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE
The paper examines if the Capital Asset Pricing Model (CAPM) is adequate for capital asset valuation on the Central and South-East European emerging securities markets using monthly stock returns for nine countries for the period of January 2006 to December 2010. Precisely, it is tested if beta, as the systematic risk measure, is valid on observed markets by analysing are high expected returns associated with high levels of risk, i.e. beta. Also, the efficiency of market indices of observed countries is examined.
CAPM; European emerging markets; Beta validity; market portfolio
nije evidentirano
nije evidentirano
nije evidentirano
nije evidentirano
nije evidentirano
nije evidentirano