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Testing multi-factor asset pricing models in the Visegrad countries

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    0364580 - NHÚ 2012 RIV CZ eng J - Journal Article
    Morgese Borys, Magdalena
    Testing multi-factor asset pricing models in the Visegrad countries.
    Finance a úvěr-Czech Journal of Economics and Finance. Roč. 61, č. 2 (2011), s. 118-139. ISSN 0015-1920. E-ISSN 0015-1920
    R&D Projects: GA MŠk LC542
    Institutional research plan: CEZ:AV0Z70850503
    Keywords : capital asset pricing model * macroeconomic factor models * asset pricing
    Subject RIV: AH - Economics
    Impact factor: 0.346, year: 2011
    http://journal.fsv.cuni.cz/mag/article/show/id/1208

    This paper examines both the Capital Asset Pricing Model (CAPM)and macroeconomic factor models in terms of their ability to explain average stock returns using data from the Visegrad countries. We find, as expected, that the CAPM is not able to do this task. However, factor models, including factors such as the excess market return, industrial production, inflation, money, the exchange rate, exports, the commodity index, and the term structure, can in fact explain part of the variance in the Visegrad countries' stock returns.
    Permanent Link: http://hdl.handle.net/11104/0200029

     
     
Number of the records: 1  

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