Detail publikace

Kristoufek, L. & Ferreira, P.: Capital asset pricing model in Portugal: Evidence from fractal regressions

Autor: prof. PhDr. Ladislav Krištoufek Ph.D., Ferreira, Paulo
Typ: Články v impaktovaných časopisech
Rok: 2018
Číslo: 0
ISSN / ISBN:
Publikováno v: Portuguese Economic Journal 17 (3) pp. 173–183 PDF
Místo vydání:
Klíčová slova: capital asset pricing model; detrended cross-correlation analysis; detrending moving-average cross-correlation analysis; fractal regressions; Portugal
JEL kódy:
Citace:
Abstrakt: We examine risk profiles of the Portuguese stock market index component stocks using a novel approach towards the classical capital asset pricing model (CAPM). Specifically, we estimate the CAPM via the fractal regressions that allow to study the marginal effects at selected scales. This way, we are able to uncover whether the risk is perceived differently by market participants with different investment horizons. Apart from the analysis itself, we provide some new statistical insights into the issue of separating and comparing the scale-specific effects with statistical validity. We find several stocks deviating from an expected risk perception homogeneity across investment horizons. This is true for both analysed periods, i.e. before and after the Global financial crisis. There are also several stocks that changed their relationship to the market portfolio in between, which has strong implications for possible portfolio construction. The proposed methodology is not limited to the topics in finance but it can be utilised in any discipline where the scale-specific marginal effects might occur.
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