Stručni rad

THE APPLICATION OF THE CAPITAL ASSET PRICING MODEL ON THE CROATIAN CAPITAL MARKET

Bojan Tomić

Sažetak

The paper describes and analyzes the application of the capital asset pricing
model (CAPM) and the single-index model on the Zagreb stock exchange during
the drop in the total trade turnover, and mostly in the trade of equity securities. This
model shows through the analysis techniques used to estimate the systematic risk per share
compared to the market portfolio. Also, the model quantifies the environment in which
a company and its stocks exist, expressing it as risk, or a beta coefficient. Furthermore,
with respect to the market stagnation, one can also discuss the usefulness of the model,
especially if the quality of the input data is questionable. In this regard, the importance
of the proper application and interpretation of the results obtained based on the model
during the stagnation of the market, and especially during the stagnation of the trade of
equity securities, is gaining even greater importance and significance. On the other hand,
the results obtained through the analysis of data point to problems arising during the application
of the model. It turns out the main problem of applying the CAPM model is the
market index with negative returns during the observation period.

Ključne riječi

systematic risk; CAPM; beta coefficients; rate of return

Hrčak ID:

155927

URI

https://hrcak.srce.hr/155927

Datum izdavanja:

2.12.2013.

Posjeta: 3.628 *