Počet záznamů: 1

Testing multi-factor asset pricing models in the Visegrad countries

  1. 1.
    0364580 - NHU-N 2012 RIV CZ eng J - Článek v odborném periodiku
    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
    Grant CEP: GA MŠk LC542
    Výzkumný záměr: CEZ:AV0Z70850503
    Klíčová slova: capital asset pricing model * macroeconomic factor models * asset pricing
    Kód oboru RIV: AH - Ekonomie
    Impakt faktor: 0.346, rok: 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.
    Trvalý link: http://hdl.handle.net/11104/0200029