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Egyenes-e a tőkepiaci árazási modell (CAPM) karakterisztikus és értékpapír-piaci egyenese?
[Is CAPMs characteristic, security-market line a straight one?]

Author

Listed:
  • Ormos, Mihály
  • Erdős, Péter
  • Zibriczky, Dávid

Abstract

Tanulmányunk egyrészt arra a kérdésre keresi a választ, vajon helytálló-e a tőkepiaci árazási modell (CAPM) azon feltevése, hogy a piaci kockázat mérőszáma, a béta és a várható hozam között lineáris kapcsolat áll fenn. Másrészt nem tudjuk, hogy megalapozott-e a kockázati mérőszám meghatározásához tett linearitási feltétel. Ha a karakterisztikus egyenesek linearitása sérül, akkor új kockázati mértékek levezetésére van szükség. Vizsgálatainkat a Standard & Poors nagy-, közép- és kisvállalati részvényindex-komponensekből vett, 150 részvényből álló véletlen mintán végezzük el. Az amerikai részvények karakterisztikus egyeneseinek linearitása minden szokásos szignifikanciaszinten elvethető, ezért szemiparametrikus kockázati mértékeket vezetünk le. Írásunkban megmutatjuk, hogy ha a karakterisztikus egyenes linearitása sérül, akkor a tőkepiaci árazási modell bétaja átlagosan szignifikánsan alulbecsli az értékpapír kockázatát, ezért a standard piaci kockázati mérték nem használható. Eredményeink alapján megfogalmazhatjuk azt az állítást, hogy a piacot csak extrém körülmények között lehet megverni. Journal of Economic Literature (JEL) kód: C14, C51, G12, G32.

Suggested Citation

  • Ormos, Mihály & Erdős, Péter & Zibriczky, Dávid, 2010. "Egyenes-e a tőkepiaci árazási modell (CAPM) karakterisztikus és értékpapír-piaci egyenese? [Is CAPMs characteristic, security-market line a straight one?]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 201-221.
    • Handle: RePEc:ksa:szemle:1153
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    References listed on IDEAS

    as
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    More about this item

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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