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Capital Asset Prices in V4 Countries

In: Sustainable Finance in the Green Economy

Author

Listed:
  • Gábor Bóta

    (Eötvös Loránd University, Institute of Business)

  • László Nagy

    (Budapest University of Technology and Economics)

  • Mihály Ormos

    (Eötvös Loránd University, Institute of Business
    J. Selye University)

Abstract

In our paper we investigate the factors behind the price development of the capital markets of the Visegrád four countries: the Czech Republic, Hungary, Poland, and Slovakia. We compare our results with developed European capital markets, namely, Austria, France, Germany, and the United Kingdom as well. We run regressions for different market equilibrium models: the standard CAPM by Sharpe (J Financ 19(3):425–442, 1964), Fama and French (J Financ Econ 33(1):3–56, 1993; J Financ 51(1):55–84, 1996), three-factor model by Carhart (J Financ 52(1):57–82, 1997), four-factor model by Fama-French (J Financ Econ 116(1):1–22, 2015), and five-factor model. We use different sets of factors in order to detect the differences and similarities of these capital markets and to find the market equilibrium models with the highest explaining power. The regressions cover the period of 2005–2018 on a daily basis.

Suggested Citation

  • Gábor Bóta & László Nagy & Mihály Ormos, 2022. "Capital Asset Prices in V4 Countries," Springer Proceedings in Business and Economics, in: Agnieszka Bem & Karolina Daszynska-Zygadlo & Tatana Hajdíková & Erika Jáki & Bożena Ryszawska (ed.), Sustainable Finance in the Green Economy, pages 1-18, Springer.
    • Handle: RePEc:spr:prbchp:978-3-030-81663-6_1
    DOI: 10.1007/978-3-030-81663-6_1
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    Keywords

    Asset pricing; Multifactor models; V4 countries;
    All these keywords.

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