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Testing multi-factor asset pricing models in the Visegrad countries
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SYSNO ASEP 0364580 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Testing multi-factor asset pricing models in the Visegrad countries Author(s) Morgese Borys, Magdalena (NHU-N) Source Title Finance a úvěr-Czech Journal of Economics and Finance. - : Univerzita Karlova v Praze - ISSN 0015-1920
Roč. 61, č. 2 (2011), s. 118-139Number of pages 22 s. Publication form www - www Language eng - English Country CZ - Czech Republic Keywords capital asset pricing model ; macroeconomic factor models ; asset pricing Subject RIV AH - Economics R&D Projects LC542 GA MŠMT - Ministry of Education, Youth and Sports (MEYS) CEZ AV0Z70850503 - NHU-N (2005-2011) UT WOS 000291850000001 Annotation 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. Workplace Economics Institute Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2012 Electronic address http://journal.fsv.cuni.cz/mag/article/show/id/1208
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