ДЕКОМПОЗИРАНЕ НА ДОХОДНОСТ И РИСКОВА АТРИБУЦИЯ ПО ПРИМЕРА НА НОВОВЪЗНИКВАЩИ ЕВРОПЕЙСКИ ПАЗАРИ
RETURN DECOMPOSITION AND RISK ATTRIBUTION – A CASE STUDY OF EMERGING EUROPEAN MARKETS

Author(s): Nikola Iliychev Iliev
Subject(s): Economy
Published by: Бургаски свободен университет
Summary/Abstract: Using a time series model the research attempts to determine, measure and interpret sources of fundamental stock return in a given market. The paper builds on the assumption that big part of stock’s risk stems from global exogenous factors. If investors determine significant factors (a process called risk attribution) and remove their influence (a process called return decomposition), they’ll be left with fundamental returns unrelated inbetween and to said factors.

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