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Description
  • This paper examines both the Capital Asset Pricing Model (CAPM)and macroeconomic factor models in terms of their ability to explain average stock returns using data from the Visegrad countries. We find, as expected, that the CAPM is not able to do this task. However, factor models, including factors such as the excess market return, industrial production, inflation, money, the exchange rate, exports, the commodity index, and the term structure, can in fact explain part of the variance in the Visegrad countries' stock returns.
  • This paper examines both the Capital Asset Pricing Model (CAPM)and macroeconomic factor models in terms of their ability to explain average stock returns using data from the Visegrad countries. We find, as expected, that the CAPM is not able to do this task. However, factor models, including factors such as the excess market return, industrial production, inflation, money, the exchange rate, exports, the commodity index, and the term structure, can in fact explain part of the variance in the Visegrad countries' stock returns. (en)
Title
  • Testing multi-factor asset pricing models in the Visegrad countries
  • Testing multi-factor asset pricing models in the Visegrad countries (en)
skos:prefLabel
  • Testing multi-factor asset pricing models in the Visegrad countries
  • Testing multi-factor asset pricing models in the Visegrad countries (en)
skos:notation
  • RIV/67985998:_____/11:00364580!RIV12-MSM-67985998
http://linked.open...avai/predkladatel
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(LC542), Z(AV0Z70850503)
http://linked.open...iv/cisloPeriodika
  • 2
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
  • Morgese Borys, Magdalena
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 234903
http://linked.open...ai/riv/idVysledku
  • RIV/67985998:_____/11:00364580
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • capital asset pricing model; macroeconomic factor models; asset pricing (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...odStatuVydavatele
  • CZ - Česká republika
http://linked.open...ontrolniKodProRIV
  • [F8E1F92C9A93]
http://linked.open...i/riv/nazevZdroje
  • Finance a úvěr-Czech Journal of Economics and Finance
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...v/svazekPeriodika
  • 61
http://linked.open...iv/tvurceVysledku
  • Morgese Borys, Magdalena
http://linked.open...ain/vavai/riv/wos
  • 000291850000001
http://linked.open...n/vavai/riv/zamer
issn
  • 0015-1920
number of pages
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