Capital Asset Prices in V4 Countries

Gábor Bóta (), László Nagy () and Mihály Ormos
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Gábor Bóta: Eötvös Loránd University, Institute of Business
László Nagy: Budapest University of Technology and Economics

A chapter in Sustainable Finance in the Green Economy, 2022, pp 1-18 from Springer

Abstract: Abstract In our paper we investigate the factors behind the price development of the capital markets of the Visegrád four countries: the Czech Republic, Hungary, Poland, and Slovakia. We compare our results with developed European capital markets, namely, Austria, France, Germany, and the United Kingdom as well. We run regressions for different market equilibrium models: the standard CAPM by Sharpe (J Financ 19(3):425–442, 1964), Fama and French (J Financ Econ 33(1):3–56, 1993; J Financ 51(1):55–84, 1996), three-factor model by Carhart (J Financ 52(1):57–82, 1997), four-factor model by Fama-French (J Financ Econ 116(1):1–22, 2015), and five-factor model. We use different sets of factors in order to detect the differences and similarities of these capital markets and to find the market equilibrium models with the highest explaining power. The regressions cover the period of 2005–2018 on a daily basis.

Keywords: Asset pricing; Multifactor models; V4 countries; G11; G12; G15 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-81663-6_1

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DOI: 10.1007/978-3-030-81663-6_1

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