Naslov
A test of CAPM in share valuation: The case of Croatian stock exchange
(Share Valuation on the Croatian Capital Market with the Application of CAPM and SML Models)

Autori
Učkar, Dean ; Benazić, Manuel ; Radman Peša, Anita

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

Izvornik
Conference Proceedings of the 8th International Scientific Conference “Future World by 2050” / Križman Pavlović, Danijela ; Paulišić, Morena ; Kostelić, Katarina - Pula : Fakultet ekonomije i turizma Dr. Mijo Mirković Sveučilišta Jurja Dobrile u Puli, 2018, 213-252

ISBN
978-953-7320-57-7

Skup
The 8th International Scientific Conference “Future World by 2050”

Mjesto i datum
Pula, Hrvatska, 01.06.2017. - 03.06.2017

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
Behavioral Finance ; CAPM ; Emerging Markets ; SML

Sažetak
Setting of the Modern Portfolio Theory in 1952, and later the CAPM model in 1964, initiated a significant scientific research impulse for establishing a model that could be used to forecast the future value of the shares on the financial market. A number of models that followed herein were perhaps theoretically more precise, or closer to reality in their assumptions, but also more complicated to calculate. The problem that appeared at the same time, and still has not been resolved, are certain anomalies which appeared on the capital market, and that the respective models could not explain. At that point, behavioral finance appear which seek to explain such anomalies in terms of psychological relationships between the participants on the capital market. This research will try to indirectly test the behavioral elements on the Croatian capital market, following a series of data from 2002 until 2016, with the corresponding sub-periods. It will be done by determining the deviation of the theoretical values that shares should yield, according to the CAPM and SML models, from the real yields that they actually achieved. The hypothesis is that the environment on capital market will have a significant impact on the applicability of the models for the evaluation of shares. The scientific contribution will be achieved in terms of establishing additional preconditions for the applicability of these models on developing capital markets. This study demonstrated that the SML model was statistically significant only in 2007, while all other years it could not be used to identify wrongly valued shares. Such results confirmed the existence of behavioral elements on the Croatian capital market and its weak relationship with the real economy.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA