Naslov
Macroeconomic Factors and Stock Returns – Evidence from Croatian Stock Market

Autori
Dolinar, Denis ; Orsag, Silvije ; Sudar, Ana

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
WDSI 2014 proceedings : Western Decision Sciences Institute forty third annual meeting / - Napa (CA) : Western Decision Sciences Institute, 2014

Skup
Western Decision Sciences Institute forty third annual meeting

Mjesto i datum
Napa (CA), Sjedinjene Američke Države, 01.04.2014. - 04.04.2014

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
systematic risk; asset pricing model; risk-return; Croatian stock market; Chen-Roll-Ross; macroeconomic factor model

Sažetak
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.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA