Search

Purpose of the article: The present article is focused on the Capital Asset Pricing Model (CAPM) and its implementation into American Stock Market. It attempts to empirically test the validity of the CAPM to estimate individual stock returns based on historical stock data of selected companies. Security Market Line (SML) was used on the data collected from a wide range of investment horizons (periods of 1, 3, 5, and 10 years). The results show that the coefficient beta is incapable of explaining returns of single assets and the relation between systematic risk and expected return is weak. Methodology/methods: Empirical analysis is make on the time period 2001-2011. Selected stocks has to by trade on AMEX, NASDAQ or NYSE minimal since year 2000. Concrete 10 stock were selected with using branch analysis and were divide in two groups (a) cyclic stocks and (b) other (neutral-anticyclic) stocks. By every stock was watch the closing price which was adjusted of dividends and contain splits. Scientific aim: The aim of this article is by using the model of Security Market Line (SML) verify the validity of CAPM model by assets pricing. According to Alfa coefficient is determine how much differentiate is the yield set by CAPM model and the market yield in selected investment horizons. Findings: Selected length of investment horizon has important effect on the results. Worst results were found by the shortest length (1 year). With the growing of the investment horizon are the results better, but the Alfa coefficients is still to higher and the model inaccurate. Selected stocks with lower beta coefficient has higher yield that yield set by the CAPM model. Conclusions: For explanation of the yields by selected stocks we can't recommend use the CAPM model nor on the biggest stock market, on US stock market. The relation between beta coefficient and stock yield is very weak. But other site CAPM model in the shape of SML curve can be recommended by using as discount factor [ABSTRACT FROM AUTHOR]

Purpose of the article: The article deals with issues of contemporary interconnecting of commodities market with financial investment instrument markets, with special regards to the influence of contemporary changes in commodities trading and creating individual sorts of structured products based on commodities. Considering the fact that mutual interconnections between commodities and financial investment instruments are not random, where, beside its theoretical interestingness, they have their insignificant economic importance, the aim of the article is to analyse contemporary utilization of individual sorts of commodity structured products both from the point of view of theoretical nature and, before all, their economic importance. In connection with it, reasons of contemporary spreading of synthetic financial derivative instruments derived from commodities, commodity stock exchange indexes or individually constructed, so called commodity baskets, are explored. And last but not least, it deals with a question whether this is just a temporary situation or continuation of the phenomenon can be supposed. Methodology/methods: The article deals with system analysis of relations between commodity underlying assets and individual sorts of structured products and analysis contemporary changes in ways how commodities are traded in stock exchanges; it is focused on how they influence creating structured products. Scientific aim: The aim of the research is to specify both positive and negative aspects of mutual interconnection of commodity instruments with individual structured products and to predict future development in this field with regards to possible influences on world economy. Findings: The article explains contemporary changes in the way how commodities are traded at world stock exchanges and it specifies both positive and negative influences of these changes on world economy. Conclusions: Based on accomplished analysis of connections between underlying commodity assets and individual sorts of structured products as well as contemporary changes of ways of commodities trading at stock exchange, internationally coordinated state regulation is recommended as well as stricter supervision of institutions working in this area. [ABSTRACT FROM AUTHOR]