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The Applicability Of The Unifactorial Model For Brd Shares Quoted On The Bucharest Stock Exchange

Author

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  • Luiza Madalina APOSTOL

    (Faculty of Economics and Law, University of Pitesti, Romania)

  • Alina HAGIU

    (Faculty of Economics and Law, University of Pitesti, Romania)

Abstract

The single index model or one factor model was generated by William Sharpe (1963), who developed his research based on the idea of simplifying the Markowitz portfolio selection model. Sharpe has proposed a solution whose essential feature is to suppose that the returns of different financial titles are linked exclusively to one another through their common relationship with a basic factor. This purely empirical hypothesis has subsequently become of considerable importance. The Sharpe hypothesis can be formalized by the simple linear regression model. Thus, the profitability of each securities is considered to have only one exogenous determinant, common to all values, usually the general index of the stock market. All other factors that can cause changes in return on a value are specific (endogenous) factors for the investment projects managed by the company issuing the security. In this article we tested the applicability of the market model for the shares issued by BRD - Groupe Societe Generale S.A.

Suggested Citation

  • Luiza Madalina APOSTOL & Alina HAGIU, 2018. "The Applicability Of The Unifactorial Model For Brd Shares Quoted On The Bucharest Stock Exchange," Scientific Bulletin - Economic Sciences, University of Pitesti, vol. 17(3), pages 133-142.
    • Handle: RePEc:pts:journl:y:2018:i:3:p:133-142
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    More about this item

    Keywords

    Single index model; Systematic risk; BET index.;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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