Pregled bibliografske jedinice broj: 678910
TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE
TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE // Croatian operational research review, 4 (2013), 164-175 (podatak o recenziji nije dostupan, članak, znanstveni)
CROSBI ID: 678910 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE
Autori
Džaja, Josipa ; Aljinović, Zdravka
Izvornik
Croatian operational research review (1848-0225) 4
(2013);
164-175
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
CAPM; European emerging markets; Beta validity; market portfolio
Sažetak
The paper examines if the Capital Asset Pricing Model (CAPM) is adequate for capital asset valuation on the Central and South-East European emerging securities markets using monthly stock returns for nine countries for the period of January 2006 to December 2010. Precisely, it is tested if beta, as the systematic risk measure, is valid on observed markets by analysing are high expected returns associated with high levels of risk, i.e. beta. Also, the efficiency of market indices of observed countries is examined.
Izvorni jezik
Engleski
Znanstvena područja
Ekonomija
POVEZANOST RADA
Projekti:
055-0000000-1435 - Matematički modeli u analizi razvoja hrvatskog financijskog tržišta (Aljinović, Zdravka, MZOS ) ( CroRIS)
Ustanove:
Ekonomski fakultet, Split
Profili:
Zdravka Aljinović
(autor)
Citiraj ovu publikaciju:
Uključenost u ostale bibliografske baze podataka::
- EconLit
- INSPEC
- Zentrallblatt für Mathematik/Mathematical Abstracts
