title: Capital asset pricing models and Russian stock market. Part 2. Modified CAMP applicability
metadata.name: dc.contributor.author
metadata.value: Bukhvalov, Alexander V.
metadata.name: dc.contributor.author
metadata.value: Okulov, Vitaly L.
metadata.name: dc.date.accessioned
metadata.value: 2013-12-20T09:34:52Z
metadata.name: dc.date.accessioned
metadata.value: 2014-03-17T05:42:26Z
metadata.lang: -
metadata.name: dc.date.available
metadata.value: 2013-12-20T09:34:52Z
metadata.name: dc.date.available
metadata.value: 2014-03-17T05:42:26Z
metadata.lang: -
metadata.name: dc.date.issued
metadata.value: 2006
metadata.name: dc.identifier.uri
metadata.value: http://hdl.handle.net/11701/823
metadata.name: dc.identifier.uri
metadata.value: http://hdl.handle.net/11701/823
metadata.lang: -
metadata.name: dc.description.abstract
metadata.value: Applicability of the Black’s two-factor CAPM version in the Russian stock market is tested. Selecting explicit factors influencing risky assets return allows not only to evaluate the degree of Russian market’s effectiveness but also to determine structure of non-observable market portfolios, and to draw certain conclusions about investors’ behavior in the Russian market. Other CAPM versions’ applicability in the Russian market is discussed. Such models were suggested to apply in other emerging markets, and assume that asset riskiness is determined by certain empirical factors unlike classic CAPM assumption that risk is determined by the degree of uncertainty of returns (variance of return). Specifically, special emphasis is given to D-CAPM model, which suggests that investors are more concerned with risk of receiving negative returns. Such risk interpretation is assumed to be more appropriate for rational investors in highly speculative markets, namely Russian stock market. Testing results obtained imply that D-CAPM approach is more appropriate in the Russian stock market than classic CAPM models.
metadata.lang: ru
metadata.name: dc.language.iso
metadata.value: Russian
metadata.lang: ru
metadata.name: dc.publisher
metadata.value: Graduate School of Management, Saint Petersburg State University
metadata.name: dc.relation.ispartofseries
metadata.value: Discussion Paper; #36(R)-2006
metadata.name: dc.title
metadata.value: Capital asset pricing models and Russian stock market. Part 2. Modified CAMP applicability
metadata.lang: ru
metadata.name: dc.title.alternative
metadata.value: Классические модели ценообразования на капитальные активы и российский финансовый рынок. Ч. 2: Возможность применения вариантов модели CAPM
metadata.name: dc.type
metadata.value: Working Paper
metadata.lang: ru
metadata.name: dc.contributor.altauthor
metadata.value: Бухвалов, А. В.
metadata.name: dc.contributor.altauthor
metadata.value: Окулов, В. Л.
resources.filename: 36(R)_2006.pdf
resources.url: https://dspace.spbu.ru/bitstream/11701/823/1/36%28R%29_2006.pdf
resources.format: Adobe PDF
resources.size: 997,98 kB