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CAPM Anomalies and the Efficiency of Stock Markets in Transition: Evidence from Bulgaria

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  • Miroslav Matteev

    (Department of Business, American University in Bulgaria)

Abstract

This paper investigates empirically the relation between average return and beta in the Bulgarian stock market. First, using a sample of common stocks traded on the BSE-Sofia, the study examines the effects of infrequent trading on beta estimates, measured from daily, weekly and monthly return intervals. It aims to find out whether the differences in the stability of systematic risk estimates can be explained by infrequent trading. Second, the study investigates the role of beta and other commonly recognized variables (size, book-to-market equity, asset-to-market equity, asset-to-book equity and price) in explaining cross-sectional variations in average returns over the period from January 1998 to December 2002. Evidence indicates that beta, size, market and book leverages are priced, whereas significant book-to-market equity and price effects are not observed on the BSE-Sofia. These findings are in contrast to the evidence from other markets that the relation between average return and beta is flat, and size and book-to-market equity effects are significant.

Suggested Citation

  • Miroslav Matteev, 2004. "CAPM Anomalies and the Efficiency of Stock Markets in Transition: Evidence from Bulgaria," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 2(1), pages 35-58.
    • Handle: RePEc:seb:journl:v:2:y:2004:i:1:p:35-58
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    References listed on IDEAS

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    Cited by:

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    2. Fuzuli Aliyev & Aysel Soltanli, 2018. "Empirical test of Capital Asset Pricing Model on Selected Banking Shares from Borsa Istanbul," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 4(1), pages 74-81, March.
    3. Melody Nyangara & Davis Nyangara & Godfrey Ndlovu & Takawira Tyavambiza, 2016. "An Empirical Test of the Validity of the Capital Asset Pricing Model on the Zimbabwe Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 365-379.

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    More about this item

    Keywords

    average return; beta; cross-sectional regression; emerging markets; market in transition;
    All these keywords.

    JEL classification:

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

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