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Anali Ekonomskog fakulteta u Subotici
2012, br. 27, str. 121-134
jezik rada: srpski
vrsta rada: stručni članak

Empirijska analiza ravnoteže srpskog finansijskog tržišta
Institut ekonomskih nauka, Beograd

e-adresa: jelena.minovic@ien.bg.ac.rs

Sažetak

U ovom radu data je teorijska postavka modela za vrednovanje kapitala (CAPM, Sharpe, 1964 i Lintner, 1965). Dat je i detaljan pregled literature iz ove oblasti. CAPM je linearni ravnotežni model prinosa na investicije koji objašnjava prinose iznad nerizične stope koristeći samo jedan beta koeficijent koji predstavlja meru sistematskog rizika. Inače, najčuveniji model finansijske ravnoteže je CAPM. Ovaj model je empirijski testiran pomoću regresione analize na srpskom finansijskom tržištu. Za analizu su korišćeni podaci za period: 2005-2009. Cilj analize je bio da se utvrdi da li ovaj model može biti korišćen za opisivanje ravnoteže i proces otkrivanja cene na jednom graničnom tržištu kao što je srpsko. Rezultati empirijske analize su potvrdili da je klasični CAPM postavljen za razvijena i likvidna tržišta, te da nije u stanju da opiše ravnotežu graničnih tržišta, niti proces otkrivanja cene na ovim tržištima.

Ključne reči

CAPM; ravnoteža; beta koeficijent; granično tržište

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