Testing multi-factor asset pricing models in the Visegrad countries

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985998%3A_____%2F11%3A00364580" target="_blank" >RIV/67985998:_____/11:00364580 - isvavai.cz</a>
Result on the web
<a href="http://journal.fsv.cuni.cz/mag/article/show/id/1208" target="_blank" >http://journal.fsv.cuni.cz/mag/article/show/id/1208</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Testing multi-factor asset pricing models in the Visegrad countries
Original language description
This paper examines both the Capital Asset Pricing Model (CAPM)and macroeconomic factor models in terms of their ability to explain average stock returns using data from the Visegrad countries. We find, as expected, that the CAPM is not able to do this task. However, factor models, including factors such as the excess market return, industrial production, inflation, money, the exchange rate, exports, the commodity index, and the term structure, can in fact explain part of the variance in the Visegrad countries' stock returns.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Project
<a href="/en/project/LC542" target="_blank" >LC542: Center of Advanced Political Economy Research</a><br>
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year
2011
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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