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...

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Bibliographic Details
Published in:Croatian Operational Research Review 2013-01, Vol.4 (1), p.164-175
Main Authors: Dzaja, Josipa, Aljinovic, Zdravka
Format: Article
Language:English
Subjects:
Beta validity
Capital assets
Capital markets
CAPM
Emerging markets
European emerging markets
Investments
Market equilibrium
Market portfolio
Modems
Portfolio management
Risk premiums
Standard deviation
Stock exchanges
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Summary: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. [PUBLICATION ABSTRACT]
ISSN:1848-0225
1848-9931