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Testing multi-factor asset pricing models in the Visegrad countries

SYSNO ASEP	0083598
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Ostatní články
Title	Testing multi-factor asset pricing models in the Visegrad countries
Title	Testování multifaktorových modelů oceňování aktiv ve visegrádských zemích
Author(s)	Morgese Borys, Magdalena (NHU-N)
Source Title	CERGE-EI Working Paper Series - ISSN 1211-3298 -, č. 323 (2007), s. 1-40
Number of pages	40 s.
Publication form	WWW - WWW
Language	eng - English
Country	CZ - Czech Republic
Keywords	capital asset pricing model ; macroeconomic factor models ; cost of capital
Subject RIV	AH - Economics
R&D Projects	LC542 GA MŠMT - Ministry of Education, Youth and Sports (MEYS)
CEZ	AV0Z70850503 - NHU-N (2005-2011)
Annotation	There is no consensus in the literature as to which model should be used to estimate the stock returns and the cost of capital in the emerging markets. The Capital Asset Pricing Model (CAPM) that is most often used for this purpose in the developed markets has a poor empirical record and is likely not to hold in the less developed and less liquid emerging markets. Various factor models have been proposed to overcome the shortcomings of the CAPM.
Workplace	Economics Institute
Contact	Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122
Year of Publishing	2008

Number of the records: 1