CONDITIONAL RELATIONSHIP BETWEEN BETA AND RETURNS: A CASE STUDY OF THE BELGRADE STOCK EXCHANGE Cover Image

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

Author(s): Vladimir Stančić, Evica Petrović, Nikola Radivojević
Subject(s): National Economy
Published by: Универзитет у Нишу
Keywords: CAPM; conditional CAPM; Belgrade Stock Exch

Summary/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.

  • Issue Year: XXXIX/2015
  • Issue No: 4
  • Page Range: 1165-1182
  • Page Count: 18
  • Language: English