Naslov (srp)

Teorijsko-metodološki okvir analize rizika i prinosa na tržištu kapitala Srbije

Autor

Momčilović, Mirela S., 1973-, 37391207

Doprinosi

Čupić, Milan, 1981-, 13506663
Stančić, Predrag, 1954-, 13494375
Todorović, Miroslav, 1970-, 12810343
Jakšić, Milena, 1970-, 13497447

Opis (eng)

For many years many authors have tried to formulate an adequate asset pricing model. One of the first such models is Capital asset pricing model (CAPM) in which the security’s expected rate of return is proportional to its systematic risk measured by beta coefficient. Given that the CAPM model was the subject of many theoretical discussions, as well as empirical challenges, many authors have advocated the use of alternative models. The subject of the doctoral thesis are alternative asset pricing models on the capital market of Serbia. Special attention is paid to testing of the applicability of unconditional CAPM model, downside CAPM models, a model with a risk measure based on semideviation, conditional CAPM model in which the beta and market risk premium vary in time and the models that includе the effects of structural breaks. The main objective of the doctoral thesis is theoretical and methodological, as well as empirical analysis of the applicability of alternative asset pricing models in the capital market of Serbia. Empirical research on the sample of rates of return of the most liquid stocks listed on the Belgrade Stock Exchange revealed that the traditional CAPM model is not suitable for use in the Serbian capital market. Downside risk measures and asset pricing models based on them have a significantly greater ability to describe the variations in the average rates of return than the classic beta and the CAPM model. Since the share of the non-systematic risk in total risk is relatively high in the Serbian capital market, a measure of risk based on semideviation and an appropriate asset pricing model best describe the variability of the average rates of returns of all tested models. Testing of the conditional CAPM model has shown that there is a certain degree of variability in betas and market risk premiums, but time fluctuations in variables are not large enough to make conditional model better performing than unconditional. The results show that the asset pricing models that include structural break had somewhat greater ability to describe the variations in the rates of return.

Opis (srp)

Dugi niz godina, brojni autori su nastojali da formulišu adekvatan model za procenu rizika i prinosa hartija od vrednosti. Jedan od prvih takvih modela je Model određivanja cene uloženog kapitala (Capital asset pricing model – CAPM), kod koga je očekvana stopa prinosa hartije proporcionalna njenom sistematskom riziku merenom beta koeficijentom. S obzirom na to da je CAPM model bio predmet brojnih teorijskih rasprava, kao i empirijskog osporavanja, mnogi autori su se založili za korišćenje alternativnih modela. Predmet doktorske disertacije su alternativni modeli za procenu rizika i prinosa na tržištu kapitala Srbije. Posebna pažnja je posvećena testiranju primenljivosti bezuslovnog CAPM modela, CAPM modela sa betama negativnih odstupanja stopa prinosa, modela sa merom rizika zasnovanom na poludevijaciji, uslovnog CAPM modela u kojem bete i premije za tržišni rizik variraju u vremenu i modela sa uključenim efektima strukturnih lomova. Osnovni cilj doktorske disertacije je teorijsko-metodološka i empirijska analiza primenljivosti alternativnih modela za procenu rizika i prinosa na tržištu kapitala Srbije. Empirijsko istraživanje je, na uzorku stopa prinosa najlikvidnijih akcija kotiranih na Beogradskoj berzi, ukazalo da tradicionalni CAPM model nije prikladan za korišćenje na srpskom tržištu kapitala. Mere rizika negativnih odstupanja stopa prinosa i modeli za procenu rizika i prinosa zasnovani na njima imaju značajno veću sposobnost opisivanja varijacija u prosečnim stopama prinosa od klasičnih beta i CAPM modela. Budući da je na srpskom tržištu kapitala učešće nesistematskog u ukupnom riziku relativno visoko, mera rizika zasnovana na poludevijaciji, odnosno odgovarajući model za procenu rizika i prinosa, najbolje opisuje varijabilnost prosečnih stopa prinosa od svih ispitivanih modela. Testiranje uslovnog CAPM modela je pokazalo da postoji izvestan stepen promenljivosti beta i tržišnih premija rizika, ali da variranje varijabli u vremenu nije dovoljno veliko da bi uslovni model rezultirao mnogo boljim performansama od bezuslovnog. Rezultati su pokazali da modeli za procenu rizika i prinosa koji uključuju strukturne lomove mogu bolje da objasne varijacije u stopama prinosa.

Jezik

srpski

Datum

2019

Licenca

Ovo delo je licencirano pod uslovima licence
Creative Commons CC BY 2.0 AT - Creative Commons Autorstvo 2.0 Austria License.

CC BY 2.0 AT

http://creativecommons.org/licenses/by/2.0/at/