Състояние на капиталовия пазар в България след COVID-19 и количествена оценка на акциите чрез МОКА (CAPM)
The State оf Bulgarian Capital Market After COVID - 19 аnd Quantitative Assessment оf Stock Using CAPM

Author(s): Michaela Atanassova
Subject(s): Economy, Business Economy / Management, Financial Markets, Socio-Economic Research
Published by: Университет за национално и световно стопанство (УНСС)
Keywords: CAPM; beta; capital market; Bulgaria; stock; quantitative; assessment
Summary/Abstract: The aim of the paper is to analyse the state of Bulgarian capital market and to derive the tendencies in its development. Indicators of the old index SOFIX and new one BGBX40 are important for forming a complete picture of the Bulgarian capital market. Investors and fund managers in finance are interested in those indicators in order to isolate opportunities to invest. In the paper there is 20-year sample (2004-2024) and 3-year sample (2021-2024) of data used for 15 companies in order to estimate the beta coefficient on daily, monthly and yearly basis via CAPM. Results follow the literature that CAPM is more efficient when applied on individual companies than on indices.

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