Combination of Multifactor APT Model and CAPM: An Empirical Analysis of the Prague Stock Exchange

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Combination of Multifactor APT Model and CAPM: An Empirical Analysis of the Prague Stock Exchange

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Combination of Multifactor APT Model and CAPM: An Empirical Analysis of the Prague Stock Exchange

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Proceedings of the 11th International Scientific Conference European Financial Systems 2014

ISBN

9788021071537

ISSN

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e-ISSN

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Počet stran výsledku

8

Strana od-do

56-63

Název nakladatele

Masaryk University

Místo vydání

Brno

Místo konání akce

Lednice

Datum konání akce

1. 1. 2014

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000350701500007