The APT Model and its Applicability in Romania’s Case
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.
Volume (Year): 60 (2012)
Issue (Month): 3 (September)
|Contact details of provider:|| Postal: |
Phone: 004 021 336 2691
Fax: 004 021 3124873
Web page: http://www.revistadestatistica.roEmail:
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:rsr:supplm:v:60:y:2012:i:3:p:103-112. 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: (Adrian Visoiu)
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.