title: Nonmarketable assets version of the CAPM: The case of the Russian stock market
metadata.name: dc.contributor.author
metadata.value: Bukhvalov, A. V.
metadata.lang: -
metadata.name: dc.contributor.author
metadata.value: Bokuchava, L. Z.
metadata.lang: -
metadata.name: dc.date.accessioned
metadata.value: 2018-08-06T15:54:39Z
metadata.lang: -
metadata.name: dc.date.available
metadata.value: 2018-08-06T15:54:39Z
metadata.lang: -
metadata.name: dc.date.issued
metadata.value: 2018-06
metadata.lang: -
metadata.name: dc.identifier.citation
metadata.value: Bukhvalov A. V., Bokuchava L. Z. 2018. Nonmarketable assets version of the CAPM: The case of the Russian stock market. Russian Management Journal 16 (2): 173–186.
metadata.lang: en_GB
metadata.name: dc.identifier.other
metadata.value: 10.21638/spbu18.2018.201
metadata.lang: -
metadata.name: dc.identifier.uri
metadata.value: http://hdl.handle.net/11701/14671
metadata.lang: -
metadata.name: dc.description.abstract
metadata.value: The paper deals with a modification of the CAPM, being called the Mayers model, which takes
  into account the existence of nonmarketable assets. Human capital is the classic example
  of such assets though we present and discuss some other important examples. This approach,
  as well as more advanced conditional CAPM, gives a correction to traditional CAPM
  beta coefficient as a measure of market risk. In this paper we present two attempts to test
  CAPM with nonmarketable assets. First, we start from analysis of the small size effect of the
  Russian stock market. We show that in this case the Mayers model gives the possibility of
  substantial improvement of risk exposure estimate. Second, empirical analysis in the case
  of human capital shows no impact of the Mayers model in all sectors of the Moscow Stock
  Exchange other than Innovation.
metadata.lang: en_GB
metadata.name: dc.description.sponsorship
metadata.value: Research of the first author was conducted with financial support from the grant provided by St. Petersburg
  University (project No. 16.23.1460.2017).
metadata.lang: en_GB
metadata.name: dc.language.iso
metadata.value: en
metadata.lang: en_GB
metadata.name: dc.publisher
metadata.value: St Petersburg State University
metadata.lang: en_GB
metadata.name: dc.relation.ispartofseries
metadata.value: Russian Management Journal;Volume 16; Issue 2
metadata.lang: -
metadata.name: dc.subject
metadata.value: nonmarketable assets
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: CAPM
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: the Mayers model
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: Russian stock market
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: human capital
metadata.lang: en_GB
metadata.name: dc.title
metadata.value: Nonmarketable assets version of the CAPM: The case of the Russian stock market
metadata.lang: en_GB
metadata.name: dc.type
metadata.value: Article
metadata.lang: en_GB
resources.filename: 01-Bukhvalov.pdf
resources.url: https://dspace.spbu.ru/bitstream/11701/14671/1/01-Bukhvalov.pdf
resources.format: Adobe PDF
resources.size: 177,62 kB