TEST OF THE CHEN-ROLL-ROSS MACROECONOMIC FACTOR MODEL: EVIDENCE FROM CROATIAN STOCK MARKET
Journal Title: UTMS Journal of Economics - Year 2015, Vol 6, Issue 2
Abstract
This paper empirically examines the well-known Chen-Roll-Ross model on the Croatian stock market. Modifications of definitions of the Chen-Roll-Ross model variables showed as necessary because of doubtful availability and quality of input data needed. Namely, some macroeconomic and market variables are not available in the originally defined form or do not exist. In that sense this paper gives some alternative definitions for some model variables. Also, in order to improve statistical analysis, in this paper we have modified Fama-MacBeth technique in the way that second-pass regression was substituted with panel regression analysis. Based on the two-pass regression analysis of returns of 34 Croatian stocks on 4 macroeconomic variables during the seven-and-half-year observation period the following conclusion is made. In contrast to the results of Chen, Roll and Ross (1986) for the U.S. stock market, their model is not successful when describing a risk-return relation of Croatian stocks. Nevertheless, one observed version of the Chen-RollRoss model showed certain statistical significance. Namely, two risk factors in that version of the model were statistically significant: default premium, measured as risk premium for the corporate short-term bank loan financing, and term structure premium, measured on short-run basis.
Authors and Affiliations
Denis Dolinar, Silvije Orsag, Paola Suman
Keywords
Related Articles
- EP ID EP274244
- DOI -
- Views 115
- Downloads 0
CAUSES AND EFFECTS OF THE GLOBAL DECREASE IN DEMAND
The current economic crisis has been lasting too long, and particular examples of economic growth and unemployment reduction in some countries have not been the accelerator sufficient for the global recovery. The general...
MARKETING AND MANAGEMENT IMPLEMENTATION ON MEGATRENDS IN MODERN TOURISM
During recent five decades, remarkable growth of tourist traffic and tourist spending was recorded in the international scale so, eventually the tourist market recorded great changes. The appearance of the mega trends in...
CROATIAN TOURISM AND HOSPITALITY INDUSTRY: CURRENT STATE AND FUTURE DEVELOPMENTAL PERSPECTIVES
The economic crisis had a significant influence on the world economy, as well as on tourism and hospitality industry. Despite minor oscillations, European and world tourism turnover is registering a significant growth. C...
AN IMPLICIT EFFECT OF THE HEALTH INSURANCE PORTABILITY AND ACCOUNTABILITY ACT ON MEDICAL TOURISM IN INDIA
In today’s world, the concept of implementing any standard is very much necessary for any nation to stand on a global level. Medical tourism is one of the most emerging industries in India. Many tourists from different n...
INTERDEPENDENCE OF INTERNATIONAL CAPITAL MARKETS
World financial centers have an impact on the economies around the world. This particularly applies for the U.S. equity market. Transactions which are performed on the U.S. market define market trends in most of the worl...