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  • The goal of the paper is to investigate possibilities of utilizing multi factor APT models in constructing portfolios of securities under circumstances of Czech capital market. Authors are focusing on using several econometrical models like multifactor regression, regression including lags of explaining variables, Cochran Orcutts procedure with and without lags of explanatory variables, ARDL models and sequential F-tests for identifying factors that are crucial for explaining development of Czech market represented by index of Prague Stock Exchange. These factors are tested, evaluated and consequently applied to explain the variability of selected shares listed on the PSE. These models are created in three versions depending on different market indices. For these analysis have been chosen indices DAX, DJSTXE and WIX. Using sensitivities of companies’ shares on the selected factors, their betas are investigated. Multifactor model is transformed into one factor CAPM model.
  • The goal of the paper is to investigate possibilities of utilizing multi factor APT models in constructing portfolios of securities under circumstances of Czech capital market. Authors are focusing on using several econometrical models like multifactor regression, regression including lags of explaining variables, Cochran Orcutts procedure with and without lags of explanatory variables, ARDL models and sequential F-tests for identifying factors that are crucial for explaining development of Czech market represented by index of Prague Stock Exchange. These factors are tested, evaluated and consequently applied to explain the variability of selected shares listed on the PSE. These models are created in three versions depending on different market indices. For these analysis have been chosen indices DAX, DJSTXE and WIX. Using sensitivities of companies’ shares on the selected factors, their betas are investigated. Multifactor model is transformed into one factor CAPM model. (en)
Title
  • Combination of Multifactor APT Model and CAPM: An Empirical Analysis of the Prague Stock Exchange
  • Combination of Multifactor APT Model and CAPM: An Empirical Analysis of the Prague Stock Exchange (en)
skos:prefLabel
  • Combination of Multifactor APT Model and CAPM: An Empirical Analysis of the Prague Stock Exchange
  • Combination of Multifactor APT Model and CAPM: An Empirical Analysis of the Prague Stock Exchange (en)
skos:notation
  • RIV/00216224:14560/14:00077221!RIV15-MSM-14560___
http://linked.open...avai/riv/aktivita
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  • 7791
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  • RIV/00216224:14560/14:00077221
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  • capital markets; portfolio; CAPM; APT; PSE (en)
http://linked.open.../riv/klicoveSlovo
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  • [1434A52CD7B5]
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  • Lednice
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  • Brno
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  • Proceedings of the 11th International Scientific Conference European Financial Systems 2014
http://linked.open...in/vavai/riv/obor
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  • Benada, Luděk
  • Hruška, Juraj
http://linked.open...vavai/riv/typAkce
http://linked.open...ain/vavai/riv/wos
  • 000350701500007
http://linked.open.../riv/zahajeniAkce
number of pages
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  • Masaryk University
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  • 9788021071537
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  • 14560
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