Primerjava modela vrednotenja dolgoročnih naložb (CAPM) in arbitražne teorije cen (APT)

diplomsko delo

Katja Miklič (Author), Dušan Zbašnik (Mentor)

Abstract

Spoznati želimo model vrednotenja dolgoročnih naložb (CAPM) in arbitražno teorijo cen naložb (APT). Oba modela želita ugotoviti, kakšne bodo pričakovane donosnosti v nekem portfelju. S CAPM-jem izračunavamo pričakovane donosnosti s pomočjo povprečja in variance, medtem ko so pri APT-ju pomembni faktorji. APT je neke vrste nadgradnja CAPM-ja. Raziskovalci, ki so modela primerjali (pri gozdarskih in kmetijskih naložbah) so ugotovili, da je APT model krepkejši, vendar pa tudi rezultatov CAPM-ja ne gre zanemariti. Pri obeh pa so med svojim raziskovanjem naleteli na težave. Oba imata svoje prednosti in slabosti. Kitajski raziskovalci so ugotovili, da je APT na kitajskem borznem trgu neuporaben, medtem ko so na Japonskem tudi testirali ta model in pokazali, da je ta model v prednosti pred CAPM-jem. CAPM pa se lahko uporablja tudi kot orodje za strateško planiranje, in sicer v korporacijah, ki se morajo odločiti, katere posle bodo obdržali in katere odstranili.

Keywords

naložbe;investicije;vrednotenje;modeli;portfolio;cene;teorija cen;diverzifikacija;tveganje;strateško planiranje;

Data

Language:	Slovenian
Year of publishing:	2011
Source:	Maribor
Typology:	2.11 - Undergraduate Thesis
Organization:	UM EPF - Faculty of Economics and Business
Publisher:	[K. Miklič]
UDC:	336.767
COBISS:	10716444
Views:	2031
Downloads:	262
Average score:	0 (0 votes)
Metadata:

Other data

Secondary language:	English
Secondary title:	Comparison between capital asset pricing theory (CAPM) and arbitrage pricing theory (APT)
Secondary abstract:	We want to represent capital asset pricing model (CAPM) and arbitrage pricing theory (APT). With both models we can calculate what the expected return will be in a portfolio. With CAPM we can calculate expected returns with averages and variances but in arbitrage pricing theory factors are important. APT is kind of upgrede of CAPM. Researchers who compered the models (in forestry-related investments and agricultural investments) have found that the APT model is more robust. But the findings of CAPM should not be neglected. They have had problems throughout their research with both models. Both have their strengths and weaknesses. Chinese researchers have found that the APT is not applicable on Chinese security market. While in Japan APT was also tested and shows a superiority over the CAPM. CAPM can be used as a tool for strategic planning in multi-divisional firms that must decide which business will be retained and which removed.
Secondary keywords:	modern portfolio theory (MPT);capital asset pricing model (CAPM);arbitrage pricing theory (APT);portfolio;diversification;risk;systematic risk;specific risk;β coefficient;
URN:	URN:SI:UM:
Type (COBISS):	Undergraduate thesis
Thesis comment:	Univ. v Mariboru, Ekonomsko-poslovna fak.
Pages:	57 str., 7 str. pril.
Keywords (UDC):	social sciences;družbene vede;economics;economic science;ekonomija;ekonomske vede;finance;finance;money;monetary system;banking;stock exchanges;denar;monetarni sistem;bančništvo;borzništvo;
ID:	1014443