EFZG working paper series, No. 12, 2010.
Ostalo
Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market
Dubravka Benaković
; Ministry of Finance of the Republic of Croatia
Petra Posedel
; Faculty of Economics and Business, University of Zagreb
Sažetak
Factor models observe the sensitivity of an asset return as a function of one or more factors. This paper
analyzes returns on fourteen stocks of the Croatian capital market in the period from January 2004 to October
2009 using inflation, industrial production, interest rates, market index and oil prices as factors. Both the
direction and strength of the relation between the change in factors and returns are investigated. The analyses
included fourteen stocks and their sensitivities to factors were estimated. The results show that the market
index has the largest statistical significance for all stocks and a positive relation to returns. Interest rates, oil
prices and industrial production also marked a positive relation to returns, while inflation had a negative
influence. Furthermore, cross-sectional regression with the estimated sensitivities used as independent variables
and returns in each month as dependent variables is performed. This analysis resulted in time series of risk
premiums for each factor. The most important factor affecting stock prices proved to be the market index,
which had a positive risk premium. A statistically significant factor in 2004 and 2008 was also inflation,
marking a negative risk premium in 2004 and a positive one in 2008. The remaining three factors have not
shown as significant.
Ključne riječi
factor models; risk Premium; stock returns; estimated sensitivities; regression analysis
Hrčak ID:
136959
URI
Datum izdavanja:
16.12.2010.
Posjeta: 5.427 *