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Translated Title

The Applicability of the Capital Asset Pricing Model for the Slovenian capital market

Please Note:

This article is in Slovenian.

Ključne besede

trg kapitala, CAPM, diskrecija vhodnih podatkov

Keywords

capital Market, CAPM, input data discretion

Povzetek

V članku proučujemo uporabnost CAPM modela na slovenskem trgu kapitala. Poudarek je na izbiri možnih (smiselnih) vrednosti vhodnih parametrov, ki bi jih investitor uporabil na slovenskem trgu kapitala. Ugotavljamo da: i) je variabilnost ocenjenih bet za slovenske delnice izrazito visoka; ii) je variabilnost ocen zahtevane donosnosti izrazito visoka ne glede na vrsto vhodnih podatkov, ki jih je smiselno izbrati; iii) med pričakovanimi donosnostmi izračunanimi s CAPM modelom in dejanskimi donosnostmi ni statistično zanesljive povezave. Ugotovitve vodijo do sklepa, da CAPM modela na slovenskem trgu kapitala ni mogoče zanesljivo uporabiti ne s podatki, ki izvirajo iz slovenskega trga kapitala, ne s podatki iz tujih trgov kapitala.

Abstract

The article examines the applicability of the Capital Asset Pricing Model (CAPM) to the Slovenian capital market. The focus is on the choice of possible (reasonable) values of the input parameters that the investor would use in the Slovenian capital market. We find that: i) the variability of estimated betas for Slovenian stocks is very high; ii) the variability of estimates of required rate of return is extremely high, regardless of the type of input data that can be reasonably chosen; iii) there is no statistically significant relationship between expected rates of return calculated by the CAPM model and actual rates of return. The results lead to the conclusion that the CAPM model cannot be used reliably for the Slovenian capital market, neither with data from the Slovenian market, nor with data from foreign capital markets.

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