Multiscale test of CAPM for three Central and Eastern European stock markets

This paper examines the systematic risk and validity of the basic capital asset pricing model of Sharpe (1964), Lintner (1965) and Mossin (1966) in three Central and Eastern European stock markets (i.e. Slovenia, Hungary and Czech Republic). The CAPM is tested on a multiscale basis, building on the...

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Bibliographic details
Volume: 14
Main Author: Dajcman, Silvo
Festić , Mejra
Kavkler, Alenka
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: VILNIUS Vilnius Gediminas Technical University 2013
Taylor & Francis Group
VILNIUS GEDIMINAS TECH UNIV
Taylor & Francis Ltd
published in: Journal of business economics and management Vol. 14; no. 1; pp. 54 - 76
Data of publication: 2013
ISSN: 1611-1699
2029-4433
EISSN: 2029-4433
Alternate Title: Multiscale test of CAPM for three Central and Eastern European stock markets
Discipline: Business
Economics
Subjects:
D53
G11
G15
D92
Online Access: Fulltext
Database: Central and Eastern European Online Library (C.E.E.O.L.) (DFG Nationallizenzen)
CEEOL: Open Access
Central and Eastern European Online Library
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Web of Science - Social Sciences Citation Index - 2013
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