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Anali Ekonomskog fakulteta u Subotici
2019, br. 42, str. 129-145
jezik rada: engleski
vrsta rada: pregledni članak
doi:10.5937/AnEkSub1942129L


Dometi teorije arbitražnog vrednovanja
Univerzitet u Kragujevcu, Fakultet za hotelijerstvo i turizam, Vrnjačka Banja

e-adresa: m.lekovic@kg.ac.rs

Sažetak

Važan elemenat pozitivne portfolio teorije koji, pored modela vrednovanja kapitalne aktive (Capital Asset Pricing Model - CAPM), pruža značajan doprinos u pravcu razumevanja odnosa između prinosa i rizika i vrednovanja aktive na tržištu kapitala, jeste teorija arbitražnog vrednovanja (Arbitrage Pricing Theory - APT). Ova teorija decenijama unazad zaokuplja pažnju ekonomista i ostvaruje preimućstvo nad CAPM modelom, u teorijskom, ali ne i u praktičnom pogledu. Cilj rada je traženje odgovora na pitanje da li je u finansijskoj literaturi, četiri decenije nakon uvođenja APT modela, postignut konsenzus o validnosti i opravdanosti primene ovog modela u praksi. U istraživanju je primenjen metod kvalitativne ekonomske analize, koji omogućava da se proučavanjem relevantne literature donesu validni zaključci o istraživanoj problematici. Generalni zaključak istraživanja jeste da među ekonomskim teoretičarima, istraživačima i praktičarima nije postignut konsenzus po pitanju ključnih faktora sistemskog rizika, čime bi se otklonio osnovni nedostatak APT modela, obezbedila njegova validnost i unapredila primenljivost u praksi. Utvrđeno odsustvo konsenzusa po pitanju najvažnijih sistemskih faktora rizika ukazuje na ograničene domete APT modela, što predstavlja i glavni rezultat istraživanja.

Ključne reči

APT model; faktorska analiza; mikroekonomski i makroekonomski faktori sistemskog rizika

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