Combination of Multifactor APT Model and CAPM: An Empirical Analysis of the Prague Stock Exchange
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00077221" target="_blank" >RIV/00216224:14560/14:00077221 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Combination of Multifactor APT Model and CAPM: An Empirical Analysis of the Prague Stock Exchange
Original language description
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 marketrepresented 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.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AE - Management, administration and clerical work
OECD FORD branch
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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Proceedings of the 11th International Scientific Conference European Financial Systems 2014
ISBN
9788021071537
ISSN
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e-ISSN
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Number of pages
8
Pages from-to
56-63
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
000350701500007