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Testing APT Model upon a BVB Stocks’ Portfolio

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Author Info

  • Alexandra BONTAÅž

    ()

  • Ioan ODAGESCU

    ()

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    Abstract

    Applying the Arbitrage Pricing Theory model (APT), there can be identified the major factors of influence for a BVB’ portfolio stocks’ trend. There were taken into consideration two of the APT theory models, establishing influences upon portfolio’s yield: given to macroeconomic environment and to some stochastic factors. The research’s results certify that, on the long term, what influences the stocks’ movement in the stock market is mostly the action of specific short-term factors, without general covering, like the ones that are classified in the research area of behavioral finance (investors’ preference towards risk and towards time).

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    File URL: http://www.revistaie.ase.ro/content/60/07%20-%20Bontas,%20Odagescu.pdf
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    Bibliographic Info

    Article provided by Academy of Economic Studies - Bucharest, Romania in its journal Informatica Economica.

    Volume (Year): 15 (2011)
    Issue (Month): 4 ()
    Pages: 96-109

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    Handle: RePEc:aes:infoec:v:15:y:2011:i:4:p:96-109

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    Keywords: Portfolio; Risk; Stocks; Yield; Testing;

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    1. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
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