Testing for regime-switching CAPM on Zagreb Stock Exchange
The standard Capital Asset Pricing Model assumes that a linear relationship exists between the risk (beta) and the expected excess return of a stock. However, empirical findings have shown over the years that this relationship varies over time. Stock markets undergo phases of greater and smaller vol...
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Format: | Article |
Language: | English |
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Croatian Operational Research Society
2014-12-01
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Series: | Croatian Operational Research Review |
Subjects: | |
Online Access: | http://hrcak.srce.hr/index.php?show=clanak&id_clanak_jezik=197263 |