Combination of Multifactor APT Model and CAPM: An Empirical Analysis of the Prague Stock Exchange
Combination of Multifactor APT Model and CAPM: An Empirical Analysis of the Prague Stock Exchange

Author(s): Luděk Benada, Juraj Hruška
Subject(s): Evaluation research, Financial Markets
Published by: Masarykova univerzita nakladatelství
Keywords: capital markets; portfolio; CAPM; APT; PSE;
Summary/Abstract: The goal of the paper is to investigate possibilities of utilizing multi factor APT models in constructing portfolios of securities under circumstances of Czech capital market. Authors are focusing on using several econometrical models like multifactor regression, regression including lags of explaining variables, Cochran Orcutts procedure with and without lags of explanatory variables, ARDL models and sequential F-tests for identifying factors that are crucial for explaining development of Czech market represented by index of Prague Stock Exchange.

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