Pregled bibliografske jedinice broj: 1178445
POSSIBILITY OF APPLYING THE FAMA-FRENCH THREE FACTOR MODEL TO THE CROATIAN STOCK MARKET
POSSIBILITY OF APPLYING THE FAMA-FRENCH THREE FACTOR MODEL TO THE CROATIAN STOCK MARKET // 9th International Conference "An Enterprise Odyssey: Managing Change to Achieve Quality Development" / Načinović Braje, Ivana ; Jaković, Božidar ; Pavić, Ivana (ur.).
Zagreb: Ekonomski fakultet Sveučilišta u Zagrebu, 2018. str. 9-19 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)
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Naslov
POSSIBILITY OF APPLYING THE FAMA-FRENCH THREE FACTOR
MODEL TO THE CROATIAN STOCK MARKET
Autori
Dolinar, Denis
Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni
Izvornik
9th International Conference "An Enterprise Odyssey: Managing Change to Achieve Quality Development"
/ Načinović Braje, Ivana ; Jaković, Božidar ; Pavić, Ivana - Zagreb : Ekonomski fakultet Sveučilišta u Zagrebu, 2018, 9-19
ISBN
78-953-346-057-4
Skup
9th International Conference “An Enterprise Odyssey: Managing Change to Achieve Quality Development”
Mjesto i datum
Zagreb, Hrvatska, 23.05.2018. - 26.05.2018
Vrsta sudjelovanja
Predavanje
Vrsta recenzije
Međunarodna recenzija
Ključne riječi
Fama-French three-factor model, systematic risk, asset pricing model, risk-return, Croatian stock market
Sažetak
This paper empirically examines the well-known Fama-French three-factor model on the Croatian stock market. In order to perform model testing several modifications have to be made to the definitions of model variables. This research observes the following alternatives when estimating variables: (1) three ways of market return calculation, (2) observed stocks are separated into four portfolios, (3) three separation criteria when building portfolios, (4) two ways of SML and HML variable calculation, and (5) three portfolio rebalancing frequencies. To improve statistical analysis in this research the Fama-MacBeth technique is modified in the way that second-pass regression is substituted with panel regression analysis. Significance of the model’s three systematic risk factors and comparison of observed model variations are considered through assessment of risk premiums and estimation of R2- within indicators. Based on the two-pass regression analysis of returns of 34 Croatian stocks during the seven-and-half-year observation period the following conclusions are made. The observed versions of the Fama-French three-factor model solely cannot adequately capture common movement of stock prices on the Croatian market. Also, there are some entropic effects between factors, thus observed versions of the Fama-French model were not better in relation to the Sharpe’s single-index market model.
Izvorni jezik
Engleski
Znanstvena područja
Ekonomija
