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Croatian Operational Research Review, Vol. 4 No. 1, 2013.

Izvorni znanstveni članak

TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE

Josipa Džaja ; Faculty of Economics Split, University of Split, Split, Croatia
Zdravka Aljinović   ORCID icon orcid.org/0000-0002-9133-0149 ; Faculty of Economics Split, University of Split, Split, Croatia

Puni tekst: engleski, pdf (362 KB) str. 164-175 preuzimanja: 4.580* citiraj
APA 6th Edition
Džaja, J. i Aljinović, Z. (2013). TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE. Croatian Operational Research Review, 4 (1), 164-175. Preuzeto s https://hrcak.srce.hr/97395
MLA 8th Edition
Džaja, Josipa i Zdravka Aljinović. "TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE." Croatian Operational Research Review, vol. 4, br. 1, 2013, str. 164-175. https://hrcak.srce.hr/97395. Citirano 20.02.2019.
Chicago 17th Edition
Džaja, Josipa i Zdravka Aljinović. "TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE." Croatian Operational Research Review 4, br. 1 (2013): 164-175. https://hrcak.srce.hr/97395
Harvard
Džaja, J., i Aljinović, Z. (2013). 'TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE', Croatian Operational Research Review, 4(1), str. 164-175. Preuzeto s: https://hrcak.srce.hr/97395 (Datum pristupa: 20.02.2019.)
Vancouver
Džaja J, Aljinović Z. TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE. Croatian Operational Research Review [Internet]. 2013 [pristupljeno 20.02.2019.];4(1):164-175. Dostupno na: https://hrcak.srce.hr/97395
IEEE
J. Džaja i Z. Aljinović, "TESTING CAPM MODEL ON THE EMERGING MARKETS OF THE CENTRAL AND SOUTHEASTERN EUROPE", Croatian Operational Research Review, vol.4, br. 1, str. 164-175, 2013. [Online]. Dostupno na: https://hrcak.srce.hr/97395. [Citirano: 20.02.2019.]

Sažetak
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.

Ključne riječi
CAPM; European emerging markets; Beta validity; Market portfolio

Hrčak ID: 97395

URI
https://hrcak.srce.hr/97395

Posjeta: 5.379 *