Acta academica karviniensia 2011, 11(2):5-15 | DOI: 10.25142/aak.2011.018

TESTOVANIE LINEÁRNEJ ZÁVISLOSTI RIZIKA A MIERY VÝNOSNOSTI V ROVNOVÁŽNOM MODELY CAPM

Jozef Glova

Ing. Jozef Glova, PhD., Odborný asistent Katedra bankovníctva a investovania, Ekonomická fakulta, Technická univerzita, Němcovej 32, 042 00 Košice, Slovenská republika, jozef.glova@tuke.sk

This article explores CAPM equilibrium model with the objective to formulate and test hypotheses that should equilibrium model of capital asset pricing holds whether one believes in this model. We examined whether the strategies with respect to risk (Beta) over long period produce returns consistent with modern capital theory, as well as of CAPM model. Therefore we formulated an hypotheses whether higher risk, expressed by Beta, should be associated with a higher level of return and whether the return is linearly related to market portfolio through Beta coefficient significantly. To test this hypothesis on empirical data we used two tests of CAPM model, test of Sharpe and Cooper and test of Black, Jensen, and Scholes.

Keywords: Asset pricing, capital asset pricing models, hypothesis testing

JEL classification: C12, C58, G12

Published: June 30, 2011  Show citation