Capital asset pricing model in Portugal: Evidence from fractal regressions
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F18%3A00497836" target="_blank" >RIV/67985556:_____/18:00497836 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1007/s10258-018-0145-5" target="_blank" >http://dx.doi.org/10.1007/s10258-018-0145-5</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s10258-018-0145-5" target="_blank" >10.1007/s10258-018-0145-5</a>
Alternative languages
Result language
angličtina
Original language name
Capital asset pricing model in Portugal: Evidence from fractal regressions
Original language description
We examine risk profiles of the Portuguese stock market index component stocks using a novel approach to the classical capital asset pricing model (CAPM). Specifically, we estimate the CAPM via fractal regressions that allow studying the marginal effects at selected scales. In this way, we can reveal whether the risk is perceived differently by market participants with different investment horizons. Apart from the analysis itself, we provide new statistical insights into the issue of separating and comparing the scale-specific effects with statistical validity. We find several stocks deviating from an expected risk perception homogeneity across investment horizons. This is true for both analysed periods, i.e. before and after the global financial crisis. There are also several stocks that changed their relationship to the market portfolio in between, which has strong implications for possible portfolio construction. The pro- posed methodology is not limited to financial topics but can be used in any discipline where the scale-specific marginal effects might be of interest.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
<a href="/en/project/GJ17-12386Y" target="_blank" >GJ17-12386Y: Multifractal analysis in finance: Extreme events, portfolio and risk management, and market complexity</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Portuguese Economic Journal
ISSN
1617-982X
e-ISSN
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Volume of the periodical
17
Issue of the periodical within the volume
3
Country of publishing house
DE - GERMANY
Number of pages
11
Pages from-to
173-183
UT code for WoS article
000447768700002
EID of the result in the Scopus database
2-s2.0-85045622136