Combination of Multifactor APT Model and CAPM: An Empirical Analysis of the Prague Stock Exchange
| Autoři | |
|---|---|
| Rok publikování | 2014 |
| Druh | Článek ve sborníku |
| Konference | Proceedings of the 11th International Scientific Conference European Financial Systems 2014 |
| Fakulta / Pracoviště MU | |
| Citace | |
| Obor | Řízení, správa a administrativa |
| Klíčová slova | capital markets; portfolio; CAPM; APT; PSE |
| Popis | 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 market represented 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. Weights of shares in optimal portfolio are calculated using cut-off method. However Czech market is not old enough to perfectly perform such analysis, many helpful findings can be found in this paper, which may lead to better understanding of behavior of prices in PSE. Validity of models is confirmed by rather accurate predictions of portfolio value development. |
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