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2022, vol. 77, br. 3, str. 363-372
Dokazi za i protiv validnosti modela vrednovanja kapitalne aktive
Univerzitet u Kragujevcu, Fakultet za hotelijerstvo i turizam, Vrnjačka Banja

e-adresam.lekovic@kg.ac.rs
Ključne reči: CAPM model; sistemski rizik; portfolio; beta koeficijent
Sažetak
Model 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. Osnovna ideja CAPM modela je da aktive izložene istom nivou sistemskog rizika treba da imaju isti nivo očekivanog prinosa. Stoga, CAPM model vrednuje aktivu, tj. određuje njenu cenu na nivou koji obezbeđuje da očekivani prinos odgovara preuzetom sistemskom riziku. Pored pozitivnih strana CAPM modela, u radu je podjednaka pažnja posvećena razumevanju problema i uvažavanju nedostataka i ograničenja sa kojima se suočava ovaj model. Cilj istraživanja je traženje odgovora na pitanje da li je CAPM model ispravan model vrednovanja finansijske aktive. S tim u vezi, u radu su predstavljeni brojni dokazi za i protiv validnosti CAPM modela, sa zaključkom da, ni posle više od pola veka istraživanja, u finansijskoj literaturi nije postignut konsenzus o prisustvu ili odsustvu njegove validnosti.
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O članku

jezik rada: srpski
vrsta rada: pregledni članak
DOI: 10.5937/tehnika2203363L
primljen: 22.01.2022.
prihvaćen: 25.03.2022.
objavljen u SCIndeksu: 15.07.2022.
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