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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