Macroeconomic Factors and Stock Returns – Evidence from Croatian Stock Market (CROSBI ID 615863)
Prilog sa skupa u zborniku | izvorni znanstveni rad | međunarodna recenzija
Podaci o odgovornosti
Dolinar, Denis ; Orsag, Silvije ; Sudar, Ana
engleski
Macroeconomic Factors and Stock Returns – Evidence from Croatian Stock Market
This paper empirically examines various macroeconomic indicators as factors when modeling stock returns in Croatia. The Chen-Roll-Ross macroeconomic factor model has imposed as a logical starting point. In contrast to the results of Chen, Roll and Ross for the U.S. stock market, their model was not very successful when describing a risk-return relation of Croatian stocks. As expected, the market portfolio showed as the most significant factor when explaining returns of Croatian stocks in both, time-serially and cross-sectionally. Among the other macroeconomic indicators, the oil price, liquidity and employment showed off as factors that also bear certain marginal explanatory power.
systematic risk; asset pricing model; risk-return; Croatian stock market; Chen-Roll-Ross; macroeconomic factor model
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Podaci o prilogu
2014.
objavljeno
Podaci o matičnoj publikaciji
WDSI 2014 proceedings : Western Decision Sciences Institute forty third annual meeting
Napa (CA): Western Decision Sciences Institute
1098-2248
Podaci o skupu
Western Decision Sciences Institute forty third annual meeting
predavanje
01.04.2014-04.04.2014
Napa (CA), Sjedinjene Američke Države