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The APT Model and its Applicability in Romania’s Case


  • Florin Dan PIELEANU

    (Academy of Economic Studies, Bucharest)


Since the discovery and the development of the financial equilibrium asset pricing models, they were constantly and repeatedly tested mainly for the big markets and scarcely for the smaller or the emerging ones. Romania belongs to the last category, hence empirical testing of these models for its case was almost inexistent. So, this paper examines the validity and the applicability of the Arbitrage Pricing Theory model for the Romanian stock exchange, conditioned of course by the available data. The data used is represented by monthly returns of 60 companies, listed on the Bucharest Stock Exchange, using a 6-year period, from 01.01.2005 to 31.12.2010. This period was divided into 2 equal sub-periods, and the testing process was conducted for each sub-period, and then again for the whole period. The findings sustain APT only minimally for the 2 sub-periods, where only one priced factor was obtained, and stronger evidence was found for the entire period of time, where 3 factors proved to be significant in influencing the returns of the selected assets. These results and mainly those for the whole period of time resemble the conclusions of the majority of studies, who found in general 2-4 priced factors, regardless of which market was analyzed.

Suggested Citation

  • Florin Dan PIELEANU, 2012. "The APT Model and its Applicability in Romania’s Case," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 60(3), pages 103-112, September.
  • Handle: RePEc:rsr:supplm:v:60:y:2012:i:3:p:103-112

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    More about this item


    APT; Bucharest Stock Exchange; factor loadings; returns; multiple regression;

    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates


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