УСЛОВНИ ОДНОС ИЗМЕЂУ БЕТА КОЕФИЦИЈЕНТА И ПРИНОСА: СТУДИЈА СЛУЧАЈА СА БЕОГРАДСКЕ БЕРЗА/CONDITIONAL RELATIONSHIP BETWEEN BETA AND RETURNS: A CASE STUDY OF THE BELGRADE STOCK EXCHANGE
Abstract
Апстракт
У овом раду аутори испитују апликативност безусловног и условног модела за вредновање капиталне активе на Београдској берзи, са циљем да се добије одговор на питање да ли се безусловни и условни CAPM може поуздано применити на овом тржишту у настајању. Приноси су прикупљени са званичног сајта Београдске берзе за период од јануара 2010 до децембра 2014. године. На тај начин формиране су временске серије од 60 месечних приноса изабраних акција, што је уобичајено у тестирању модела. Временска серија од 60 месеци довољно је дугачка да се елиминишу сви краткорочни шокови, односно да се бета коефицијенти акција прилагоде својим дугорочним вредностима. Резултати истраживања указују да оба модела не могу поуздано да се примењују на овом тржишту. Резултати истраживања сугеришу да се бета не може поуздано користити за објашњавање упоредних разлика у приносима, односно не може поуздано да се користи као мера тржишног ризика.
Кључне речи: Модел за вредновање капиталне активе, Условни модел вредновања капиталне активе, Београдска берза, бета коефицијент, тржишни ризик
Abstract
This paper examines the applicability of the CAPM (Capital Asset Pricing Model) and conditional CAPM in the Belgrade Stock Exchange (BSE) in order to determine whether both the CAPM and conditional CAPM can be reliably applied to this emerging market. The returns were collected from the official BSE website for the period from January 2010 to December 2014. Time-series data were then collected for 60 monthly returns of the selected stocks, which is a common practice in model testing. The time-series data were observed for 60 months, which is long enough for all short-term shocks to be neutralized and for beta coefficients to be adjusted to their long-term values. The results of this study indicate that both the CAPM and conditional CAPM cannot be reliably applied in the BSE. The paper suggests that beta cannot be reliably used as a tool for explaining cross-sectional differences in the returns in the BSE and as a measure of market risk.
Key words: CAPM, conditional CAPM, Belgrade Stock Exch
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