Naslov
CAPM on Post-Crisis Capital Markets of European Transition Countries

Autori
Marijanović Bilić, Maja ; Dimitrić, Mira ; Škalamera- Alilović, Dunja

Vrsta, podvrsta i kategorija rada
Poglavlja u knjigama, znanstveni

Knjiga
The EU Economic Environment Post-Crisis: Policies, Institutions and Mechanisms

Urednik/ci
Benazić, Manuel ; Božina Beroš, Marta ; Gimigliano, Gabriella ; Novak, Aleš ; Učkar, Dean

Izdavač
Sveučilište Jurja Dobrile u Puli

Grad
Pula

Godina
2016

Raspon stranica
251-261

ISBN
978-953-7320-40-9

Ključne riječi
CAPM ; transition countries ; capital markets in post-crisis periods ; systematic risk

Sažetak
Capital Assets Pricing Model (CAPM) is one of the best known and the most controversial valuation model in finance. It was created as significant contribution to the theory of financial economics occurred during the 1960s when a number of researchers, among whom William Sharpe was the leading figure, used Markowitz’s portfolio theory as a basis for developing a price theory for financial assets, and was awarded by the Nobel Prize in 1990. Since then it has been broadly applied to estimate cost of equity. However, many papers find discrepancies between the CAPM and the markets, and empirical evidences do not justify the CAPM in many cases. This paper tests CAPM on the most liquid stocks on selected markets of European transition countries, including Croatia in two post-crisis periods (2009-2013 ; 2011-2015). The main hypothesis is that CAPM is not applicable to the capital markets of European countries in transition. Also, the official stock indices in observed countries do not lie on efficient frontier, and cannot serve as an adequate substitute for the market portfolio. And finally, beta is not the appropriate measure of systematic risk, because returns and betas do not move in accordance with each other.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

Napomena
Ovaj rad je nastao uz potporu Hrvatske zaklade za znanost u okviru projekta 6558 Business and Personal Insolvency – the Ways to Overcome Excessive Indebtedness i uz potporu Sveučilišta u Rijeci u okviru projekta: Koncepti i metode troškovnog i upravljačkog računovodstva u javnom sektoru Republike Hrvatske (br. 13.02.1.2.09.)

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