Abstract
The capital asset pricing model (CAPM) can be used for measuring of the risk of securities. The β coefficient of the model as the result is usually estimated by using the method of ordinary least squares (OLS) but unfortunately the results are often inconsistent with the theory. In this study the β coefficients are estimated for American and Hungarian share prices. The verification of the results for the Hungarian prices shows some instability of the β coefficient which can be partly explained by the disequilibrium of the capital market and partly of the variance of the returns. Using the Box-Cox transformation providing for variance-stabilization results in the determination of the adequate theoretical parameter and the equilibrium market return range.
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© 1997 Springer-Verlag Berlin Heidelberg
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Rappai, G., Varga, J. (1997). Applicability of the CAPM on the Hungarian Stock Market: An Empirical Investigation. In: Zopounidis, C. (eds) New Operational Approaches for Financial Modelling. Contributions to Management Science. Physica, Heidelberg. https://doi.org/10.1007/978-3-642-59270-6_9
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DOI: https://doi.org/10.1007/978-3-642-59270-6_9
Publisher Name: Physica, Heidelberg
Print ISBN: 978-3-7908-1043-1
Online ISBN: 978-3-642-59270-6
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