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Testing APT Model upon a BVB Stocks’ Portfolio

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Listed:
  • Alexandra BONTAÅž
  • Ioan ODAGESCU

Abstract

Applying the Arbitrage Pricing Theory model (APT), there can be identified the major factors of influence for a BVB’ portfolio stocks’ trend. There were taken into consideration two of the APT theory models, establishing influences upon portfolio’s yield: given to macroeconomic environment and to some stochastic factors. The research’s results certify that, on the long term, what influences the stocks’ movement in the stock market is mostly the action of specific short-term factors, without general covering, like the ones that are classified in the research area of behavioral finance (investors’ preference towards risk and towards time).

Suggested Citation

  • Alexandra BONTAÅž & Ioan ODAGESCU, 2011. "Testing APT Model upon a BVB Stocks’ Portfolio," Informatica Economica, Academy of Economic Studies - Bucharest, Romania, vol. 15(4), pages 96-109.
    • Handle: RePEc:aes:infoec:v:15:y:2011:i:4:p:96-109
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    References listed on IDEAS

    as
    1. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, . "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report, Federal Reserve Bank of Minneapolis.
    2. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
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    Keywords

    Portfolio; Risk; Stocks; Yield; Testing;
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