TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE
The paper examines if the Capital Asset Pricing Model (CAPM) is adequate for capital asset valuation on the Central and South-East European emerging securities markets using monthly stock returns for nine countries for the period of January 2006 to December 2010. Precisely, it is tested if beta, as...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Croatian Operational Research Society
2013-02-01
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| Series: | Croatian Operational Research Review |
| Subjects: | |
| Online Access: | http://hrcak.srce.hr/index.php?show=clanak&id_clanak_jezik=143353 |
| _version_ | 1828840333722517504 |
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| author | Josipa Džaja Zdravka Aljinović |
| author_facet | Josipa Džaja Zdravka Aljinović |
| author_sort | Josipa Džaja |
| collection | DOAJ |
| description | The paper examines if the Capital Asset Pricing Model (CAPM) is adequate for capital asset valuation on the Central and South-East European emerging securities markets using monthly stock returns for nine countries for the period of January 2006 to December 2010. Precisely, it is tested if beta, as the systematic risk measure, is valid on observed markets by analysing are high expected returns associated with high levels of risk, i.e. beta. Also, the efficiency of market indices of observed countries is examined. |
| first_indexed | 2024-12-12T19:40:06Z |
| format | Article |
| id | doaj.art-935d9b7ebc674ddabc6b16218fa2b7f0 |
| institution | Directory Open Access Journal |
| issn | 1848-0225 1848-9931 |
| language | English |
| last_indexed | 2024-12-12T19:40:06Z |
| publishDate | 2013-02-01 |
| publisher | Croatian Operational Research Society |
| record_format | Article |
| series | Croatian Operational Research Review |
| spelling | doaj.art-935d9b7ebc674ddabc6b16218fa2b7f02022-12-22T00:14:13ZengCroatian Operational Research SocietyCroatian Operational Research Review1848-02251848-99312013-02-0141164175TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPEJosipa Džaja0Zdravka Aljinović1Faculty of Economics Split, University of Split, Split, CroatiaFaculty of Economics Split, University of Split, Split, CroatiaThe paper examines if the Capital Asset Pricing Model (CAPM) is adequate for capital asset valuation on the Central and South-East European emerging securities markets using monthly stock returns for nine countries for the period of January 2006 to December 2010. Precisely, it is tested if beta, as the systematic risk measure, is valid on observed markets by analysing are high expected returns associated with high levels of risk, i.e. beta. Also, the efficiency of market indices of observed countries is examined.http://hrcak.srce.hr/index.php?show=clanak&id_clanak_jezik=143353CAPMEuropean emerging marketsBeta validityMarket portfolio |
| spellingShingle | Josipa Džaja Zdravka Aljinović TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE Croatian Operational Research Review CAPM European emerging markets Beta validity Market portfolio |
| title | TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE |
| title_full | TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE |
| title_fullStr | TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE |
| title_full_unstemmed | TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE |
| title_short | TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE |
| title_sort | testing capm model on the emerging markets of the central and southeastern europe |
| topic | CAPM European emerging markets Beta validity Market portfolio |
| url | http://hrcak.srce.hr/index.php?show=clanak&id_clanak_jezik=143353 |
| work_keys_str_mv | AT josipadzaja testingcapmmodelontheemergingmarketsofthecentralandsoutheasterneurope AT zdravkaaljinovic testingcapmmodelontheemergingmarketsofthecentralandsoutheasterneurope |