Revisiting the CAPM model with quantile regression : creating investment strategies on the Zagreb Stock Exchange
Tihana Škrinjarić, Marina Slišković
| Year of publication: |
2020
|
|---|---|
| Authors: | Škrinjarić, Tihana ; Slišković, Marina |
| Published in: |
International journal of economics and business research : IJEBR. - Genève [u.a.] : Inderscience Enterprises, ISSN 1756-9869, ZDB-ID 2537709-7. - Vol. 19.2020, 3, p. 266-289
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| Subject: | downside beta | quantile regression models | stock market | volatility | systematic risk | CAPM | developing stock market | pseudo R 2 | dynamic investment strategy | portfolio optimisation | Portfolio-Management | Portfolio selection | Aktienmarkt | Stock market | Betafaktor | Beta risk | Theorie | Theory | Regressionsanalyse | Regression analysis | Volatilität | Volatility | Börsenkurs | Share price | Börsenhandel | Stock exchange trading | Kapitaleinkommen | Capital income |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJEBR.2020.106527 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012205614