title: Capital asset pricing models and Russian stock market. Part 1. CAMP Empirical Testing
metadata.name: dc.contributor.author
metadata.value: Bukhvalov, Alexander V.
metadata.lang: -
metadata.name: dc.contributor.author
metadata.value: Okulov, Vitaly L.
metadata.lang: -
metadata.name: dc.date.accessioned
metadata.value: 2013-12-20T09:25:55Z
metadata.lang: -
metadata.name: dc.date.accessioned
metadata.value: 2014-03-17T05:42:29Z
metadata.lang: -
metadata.name: dc.date.available
metadata.value: 2013-12-20T09:25:55Z
metadata.lang: -
metadata.name: dc.date.available
metadata.value: 2014-03-17T05:42:29Z
metadata.lang: -
metadata.name: dc.date.issued
metadata.value: 2006
metadata.lang: -
metadata.name: dc.identifier.uri
metadata.value: http://hdl.handle.net/11701/840
metadata.lang: -
metadata.name: dc.identifier.uri
metadata.value: http://hdl.handle.net/11701/840
metadata.lang: -
metadata.name: dc.description.abstract
metadata.value: Sharpe-Lintner's and Black's CAPM versions as prevailing CAPM versions and their applicability in the Russian stock market are reviewed. Demonstration of applicability of the CAPM in the Russian stock market would imply that investors' behavior is rational and the Russian stock market is effective. Demonstration of Russian market's effectiveness would signify the possibility of receiving independent market valuation for Russian companies based on the available market data. CAPM concepts about asset pricing are tested using strictly econometric methods. Thorough preparation of the source data is crucial for the testing process as the input data should be in compliance with the CAPM initial assumptions. Unfavorable results obtained from the testing of both CAPM versions could imply either irrelevance of the CAPM main assumptions for the Russian stock market or Russian market's ineffectiveness (irrational investor behavior from the risk-return point of view). Issues related to possible discrepancies between the source data and basic assumptions of both CAPM versions are discussed. Possible CAPM modification to account for irrational investor behavior is discussed in Part II.
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.lang: -
metadata.name: dc.relation.ispartofseries
metadata.value: Discussion Paper; #36(R)-2006
metadata.lang: -
metadata.name: dc.title
metadata.value: Capital asset pricing models and Russian stock market. Part 1. CAMP Empirical Testing
metadata.lang: ru
metadata.name: dc.title.alternative
metadata.value: Классические модели ценообразования на капитальные активы и российский финансовый рынок. Ч. 1: Эмпирическая проверка модели CAPM
metadata.lang: -
metadata.name: dc.type
metadata.value: Working Paper
metadata.lang: ru
metadata.name: dc.contributor.altauthor
metadata.value: Бухвалов, А. В.
metadata.lang: -
metadata.name: dc.contributor.altauthor
metadata.value: Окулов, В. Л.
metadata.lang: -
resources.filename: 36(R)_2006.pdf
resources.url: https://dspace.spbu.ru/bitstream/11701/840/1/36%28R%29_2006.pdf
resources.format: Adobe PDF
resources.size: 997,98 kB