CONDITIONAL RELATIONSHIP BETWEEN BETA AND RETURNS: A CASE STUDY OF THE BELGRADE STOCK EXCHANGE

@inproceedings{Petrovi2015CONDITIONALRB,
  title={CONDITIONAL RELATIONSHIP BETWEEN BETA AND RETURNS: A CASE STUDY OF THE BELGRADE STOCK EXCHANGE},
  author={Evica Petrovi{\'c}},
  year={2015}
}
This paper examines the applicability of the CAPM (Capital Asset Pricing Model) and conditional CAPM in the Belgrade Stock Exchange (BSE) in order to determine whether both the CAPM and conditional CAPM can be reliably applied to this emerging market. The returns were collected from the official BSE website for the period from January 2010 to December 2014. Time-series data were then collected for 60 monthly returns of the selected stocks, which is a common practice in model testing. The time… CONTINUE READING

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