Verification of a linear dependence between the risk premium and the systematic risk: Empirical testing based on data from PSE

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F13%3A00070003" target="_blank" >RIV/00216224:14560/13:00070003 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Verification of a linear dependence between the risk premium and the systematic risk: Empirical testing based on data from PSE
Original language description
In our article we focus on an empirical research of the Capital Asset Pricing Model. The equilibrium model is tested on the data from the Prague Stock Exchange. Our research is focused on the relationship of a systematic risk with an individual market premium. We verify, whether it is possible to identify an explanatory power of the market beta on an excessive return. We are dealing with the hypothesis whether it is possible to use a non-diversifiable risk as a crucial part of the explanatory factor forinvestment decisions. For the study the Black-Jensen-Scholes methodology will be used. We apply only the one factor model and its modified version. The conditions for the modification will depend on the nature of the market risk premium. Our analysis isapplied to the period before the financial crisis, during the crisis and post-crisis. We believe that the analysis across the turbulent development enhances the credibility of our results.
Czech name
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Czech description
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Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
EUROPEAN FINANCIAL SYSTEMS 2013: PROCEEDINGS OF THE 10TH INTERNATIONAL SCIENTIFIC CONFERENCE
ISBN
9788021062948
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
15-21
Publisher name
MASARYKOVA UNIV
Place of publication
BRNO
Event location
Telc, CZECH REPUBLIC
Event date
Jun 10, 2013
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000324654400002

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