Capital asset pricing model in Portugal: Evidence from fractal regressions

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Capital asset pricing model in Portugal: Evidence from fractal regressions

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Capital asset pricing model in Portugal: Evidence from fractal regressions

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/GJ17-12386Y" target="_blank" >GJ17-12386Y: Multifraktální analýza ve financích: Extrémní události, řízení rizika a portfolia, a komplexita trhů</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název periodika

Portuguese Economic Journal

ISSN

1617-982X

e-ISSN

—

Svazek periodika

17

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

DE - Spolková republika Německo

Počet stran výsledku

11

Strana od-do

173-183

Kód UT WoS článku

000447768700002

EID výsledku v databázi Scopus

2-s2.0-85045622136