CAPM MODEL – APLICATION IN CAPITAL MARKET OF REPUBLIC OF SRPSKA

Authors

  • Goran Radivojac, M.Sc. Faculty of Economics, University of Banja Luka

Keywords:

expected rate of return, asset, systematic and nesystematic risk, beta coefficient.

Abstract

The CAPM model was introduced by Jack Treynor, William Sharpe, John Lintner and Jan Mossin independently, building on the earlier work of Harry Markowitz on diversification and modern portfolio theory. The Capital Asset Pricing Model (CAPM) is used in finance to determine a theoretically appropriate required rate of return (and thus the price if expected cash flows can be estimated) of an asset, if that asset is to be added to an already well diversified portfolio, given that asset's non-diversifiable risk. The CAPM formula takes into account the asset's sensitivity to systematic risk or market risk, in a number often referred to as beta (?) in the financial industry, as well as the expected return of the market and the expected return of a theoretical risk-free asset. The CAPM is a model for pricing an individual asset or a portfolio.

Downloads

Download data is not yet available.

References

Alexander, J. Gordon; Sharpe, F. William; Bailey V. Jeffery: Fundamentals of Investments, 3rd Edition, Prentice Hall, 2001.

Blake, David: Financial Market Analysis, 2nd Edition, John Wiley & Sons, 2000.

Bodie, Zvi; Kane, Alex; Marcus, J. Alan: Essential of Investments, 3rd Edition, Irwin McGraw-Hill, 1998.

Bodie, Zvi; Kane, Alex; Marcus, J. Alan: Investments, 3rd Edition, Irwin McGraw-Hill, 1996.

Brealey, Richard and Myers Stewart: Principle of Corporate Finance, 6th Edition, Irwin McGraw-Hill, 1991.

Ерић, Д. Дејан: Финансијска тржишта и инструменти, 2. Допуњено и измењено изд. Чигоја, Београд, 2003.

Foley, J. Bernard: Capital Markets, Macmillan Education Ltd., London 1991.

Иванишевић, Милорад: Пословне финансије, Економски факултет, Београд, 2001.

Manes, S. Terry: Introduction to Corporate Finance, McGraw-Hill, 1988.

Милојевић, Добривоје: Лексикон финансијских тржишта, Савремена администрација, Београд, 1996.

Микеревић, Драган: Финансијски менађмент, Економски факултет, Бања Лука, 2005.

Микеревић, Драган: Стратешки финансијски менађмент, Економски факултет, Бања Лука, 2005.

Mishkin, S. Frederic; Eakins, G. Stanley: Financijska tržišta i institucije, Mate, Zagreb, 2005.

Downloads

Published

2007-12-31

How to Cite

Radivojac, G. (2007). CAPM MODEL – APLICATION IN CAPITAL MARKET OF REPUBLIC OF SRPSKA. Acta Economica, 5(7), 101–113. Retrieved from http://ae.ef.unibl.org/index.php/AE/article/view/265

Issue

Section

Professional article