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The application of the CAPM model on selected shares on the Croatian capital market

Sandra Odobašić ; Odo Vicus d.o.o., Bregana, Hrvatska
Marija Tolušić ; Sveučilište Josipa Jurja Strossmayera u Osijeku, Odjel za kulturologiju, Osijek, Hrvatska
Zrinka Tolušić

Puni tekst: engleski pdf 327 Kb

str. 297-311

preuzimanja: 2.288



The Capital Asset Pricing Model is a model that describes the relationship between risk, expected return
and valuation of securities. The theoretical and practical value of this model has proved unquestionable,
but under ideal circumstances. The theory has been utilized by numerous researchers and it confirms the
linear relationship between risk and return under the CAPM (Capital Asset Pricing Model) model showing
that greater exposure to risk provides higher returns. However, empirical research showed there were
numerous factors that CAPM model did not take into account since it is based on assumptions which exist
in reality, but are invisible.
Therefore, it is very interesting to study the application of the CAPM model on selected shares on the Croatian
capital market and analyze the possibilities of its application in discovering the misvalued shares. Share
price changes on the Croatian capital market suggest there are some unknown factors that also influence
share valuation. There is no doubt that the fundamental analysis of shares is not sufficient for evaluating
the real share value in light of various invisible elements and all available information available which affect
their value as well.

Ključne riječi

CAPM Model; share; return; risk; beta index

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