USING THE MARKET MODEL ON ROMANIAN STOCK EXCHANGE

Dan Armeanu (), Cristina Andreea Doia (), Andreea Negru () and Natalita Hurduc ()
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Cristina Andreea Doia: Academy of Economic Studies Bucharest
Andreea Negru: Academy of Economic Studies Bucharest
Natalita Hurduc: „Athenaeum” University Bucharest

Internal Auditing and Risk Management, 2010, vol. 4, issue 20, 9 - 16

Abstract: One of the concerns in portfolio management is to anticipate market evolution, generally given by a stock index. The market value of a stock is connected to the trends of the index; each security follows, more or less, the index trend line. This relationship between the return on a financial security and the return on a market index outlines the concept of market model.

Keywords: market model; systematic risk (market risk); unsystematic risk (idiosyncratic risk); volatility; correlation coefficient; etc. (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2010
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