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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

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • 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

  • 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