Capital asset pricing model in Portugal : evidence from fractal regressions
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/16296 |
Resumo: | We examine risk profiles of the Portuguese stock market index component stocks using a novel approach to the classical capital asset pricing model (CAPM). Specifically, we estimate the CAPM via fractal regressions that allow studying the marginal effects at selected scales. In this way, we can reveal whether the risk is perceived differently by market participants with different investment horizons. Apart from the analysis itself, we provide new statistical insights into the issue of separating and comparing the scale-specific effects with statistical validity. We find several stocks deviating from an expected risk perception homogeneity across investment horizons. This is true for both analysed periods, i.e. before and after the global financial crisis. There are also several stocks that changed their relationship to the market portfolio in between, which has strong implications for possible portfolio construction. The pro- posed methodology is not limited to financial topics but can be used in any discipline where the scale-specific marginal effects might be of interest. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Capital asset pricing model in Portugal : evidence from fractal regressionsCapital asset pricing modelDetrended cross-correlation analysisDetrending moving-average cross-correlation analysisFractal regressionsPortugalWe examine risk profiles of the Portuguese stock market index component stocks using a novel approach to the classical capital asset pricing model (CAPM). Specifically, we estimate the CAPM via fractal regressions that allow studying the marginal effects at selected scales. In this way, we can reveal whether the risk is perceived differently by market participants with different investment horizons. Apart from the analysis itself, we provide new statistical insights into the issue of separating and comparing the scale-specific effects with statistical validity. We find several stocks deviating from an expected risk perception homogeneity across investment horizons. This is true for both analysed periods, i.e. before and after the global financial crisis. There are also several stocks that changed their relationship to the market portfolio in between, which has strong implications for possible portfolio construction. The pro- posed methodology is not limited to financial topics but can be used in any discipline where the scale-specific marginal effects might be of interest.ISEG - Departamento de EconomiaRepositório da Universidade de LisboaKristoufek, LadislavFerreira, Paulo2018-10-31T15:48:12Z2018-112018-11-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/16296engKristoufek, Ladislav e Paulo Ferreira (2018). "Capital asset pricing model in Portugal : evidence from fractal regressions". Portuguese Economic Journal, 17(3):173-1831617-9838 (Online)10.1007/s10258-018-0145-5metadata only accessinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-06-18T01:30:34Zoai:www.repository.utl.pt:10400.5/16296Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:01:44.208619Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Capital asset pricing model in Portugal : evidence from fractal regressions |
title |
Capital asset pricing model in Portugal : evidence from fractal regressions |
spellingShingle |
Capital asset pricing model in Portugal : evidence from fractal regressions Kristoufek, Ladislav Capital asset pricing model Detrended cross-correlation analysis Detrending moving-average cross-correlation analysis Fractal regressions Portugal |
title_short |
Capital asset pricing model in Portugal : evidence from fractal regressions |
title_full |
Capital asset pricing model in Portugal : evidence from fractal regressions |
title_fullStr |
Capital asset pricing model in Portugal : evidence from fractal regressions |
title_full_unstemmed |
Capital asset pricing model in Portugal : evidence from fractal regressions |
title_sort |
Capital asset pricing model in Portugal : evidence from fractal regressions |
author |
Kristoufek, Ladislav |
author_facet |
Kristoufek, Ladislav Ferreira, Paulo |
author_role |
author |
author2 |
Ferreira, Paulo |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Kristoufek, Ladislav Ferreira, Paulo |
dc.subject.por.fl_str_mv |
Capital asset pricing model Detrended cross-correlation analysis Detrending moving-average cross-correlation analysis Fractal regressions Portugal |
topic |
Capital asset pricing model Detrended cross-correlation analysis Detrending moving-average cross-correlation analysis Fractal regressions Portugal |
description |
We examine risk profiles of the Portuguese stock market index component stocks using a novel approach to the classical capital asset pricing model (CAPM). Specifically, we estimate the CAPM via fractal regressions that allow studying the marginal effects at selected scales. In this way, we can reveal whether the risk is perceived differently by market participants with different investment horizons. Apart from the analysis itself, we provide new statistical insights into the issue of separating and comparing the scale-specific effects with statistical validity. We find several stocks deviating from an expected risk perception homogeneity across investment horizons. This is true for both analysed periods, i.e. before and after the global financial crisis. There are also several stocks that changed their relationship to the market portfolio in between, which has strong implications for possible portfolio construction. The pro- posed methodology is not limited to financial topics but can be used in any discipline where the scale-specific marginal effects might be of interest. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018-10-31T15:48:12Z 2018-11 2018-11-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/16296 |
url |
http://hdl.handle.net/10400.5/16296 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Kristoufek, Ladislav e Paulo Ferreira (2018). "Capital asset pricing model in Portugal : evidence from fractal regressions". Portuguese Economic Journal, 17(3):173-183 1617-9838 (Online) 10.1007/s10258-018-0145-5 |
dc.rights.driver.fl_str_mv |
metadata only access info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
metadata only access |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
ISEG - Departamento de Economia |
publisher.none.fl_str_mv |
ISEG - Departamento de Economia |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799131106681815040 |