Cross-Sectional Examination of Classic Asset Pricing Models on the Russian Stock Market

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00077212" target="_blank" >RIV/00216224:14560/14:00077212 - 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
Cross-Sectional Examination of Classic Asset Pricing Models on the Russian Stock Market
Original language description
Emerging stock markets are generally considered the highly profitable opportunity for global investors. However, their relative instability, especially disclosed in high volatility and lower trading volumes, makes the forecast of returns on these marketsextremely difficult. In this paper, we test the forecast accuracy of classic asset pricing models, namely capital asset pricing model (CAPM) and several specifications of multi-factor asset pricing models with time-varying risk factor measurements to predict returns of Russian stocks. CAPM with time-varying beta is found to be the most successful, but still highly unreliable model among classic asset pricing models to explain excess returns of Russian stocks.
Czech name
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Czech description
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Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
European Financial Systems 2014. Proceedings of the 11th International Scientific Conference
ISBN
9788021071537
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
403-408
Publisher name
Masaryk University
Place of publication
Brno
Event location
Lednice
Event date
Jan 1, 2014
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000350701500054

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