Advanced Search
MyIDEAS: Login to save this article or follow this journal

Egyenes-e a tőkepiaci árazási modell (CAPM) karakterisztikus és értékpapír-piaci egyenese?
[Is CAPMs characteristic, security-market line a straight one?]

Contents:

Author Info

  • Ormos, Mihály

    ()

  • Erdős, Péter
  • Zibriczky, Dávid

Abstract

Tanulmányunk egyrészt arra a kérdésre keresi a választ, vajon helytálló-e a tőkepiaci árazási modell (CAPM) azon feltevése, hogy a piaci kockázat mérőszáma, a béta és a várható hozam között lineáris kapcsolat áll fenn. Másrészt nem tudjuk, hogy megalapozott-e a kockázati mérőszám meghatározásához tett linearitási feltétel. Ha a karakterisztikus egyenesek linearitása sérül, akkor új kockázati mértékek levezetésére van szükség. Vizsgálatainkat a Standard & Poors nagy-, közép- és kisvállalati részvényindex-komponensekből vett, 150 részvényből álló véletlen mintán végezzük el. Az amerikai részvények karakterisztikus egyeneseinek linearitása minden szokásos szignifikanciaszinten elvethető, ezért szemiparametrikus kockázati mértékeket vezetünk le. Írásunkban megmutatjuk, hogy ha a karakterisztikus egyenes linearitása sérül, akkor a tőkepiaci árazási modell bétaja átlagosan szignifikánsan alulbecsli az értékpapír kockázatát, ezért a standard piaci kockázati mérték nem használható. Eredményeink alapján megfogalmazhatjuk azt az állítást, hogy a piacot csak extrém körülmények között lehet megverni. Journal of Economic Literature (JEL) kód: C14, C51, G12, G32.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.kszemle.hu/tartalom/letoltes.php?id=1153
Download Restriction: Registration and subscription. 3-month embargo period to non-subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Közgazdasági Szemle Alapítvány (Economic Review Foundation) in its journal Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences).

Volume (Year): LVII (2010)
Issue (Month): 3 ()
Pages: 201-221

as in new window
Handle: RePEc:ksa:szemle:1153

Contact details of provider:
Web page: http://www.kszemle.hu

Order Information:
Postal: Közgazdasági Szemle Alapítvány (Economic Review Foundation) Budapest, Budaörsi út 45., 1112, Hungary
Email:
Web: http://www.kszemle.hu/elofizetes/

Related research

Keywords:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Basu, Sanjoy, 1983. "The relationship between earnings' yield, market value and return for NYSE common stocks : Further evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 129-156, June.
  2. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
  3. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
  4. Elton, Edwin J & Gruber, Martin J & Blake, Christopher R, 1996. "Survivorship Bias and Mutual Fund Performance," Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1097-1120.
  5. Michael C. Jensen, 1968. "The Performance Of Mutual Funds In The Period 1945–1964," Journal of Finance, American Finance Association, vol. 23(2), pages 389-416, 05.
  6. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
  7. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
  8. Stapleton, R C & Subrahmanyam, M G, 1983. " The Market Model and Capital Asset Pricing Theory: A Note," Journal of Finance, American Finance Association, vol. 38(5), pages 1637-42, December.
  9. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
  10. Fama, Eugene F & French, Kenneth R, 1995. " Size and Book-to-Market Factors in Earnings and Returns," Journal of Finance, American Finance Association, vol. 50(1), pages 131-55, March.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ksa:szemle:1153. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Odon Sok).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.