Nonmarketable Assets Version of the CAPM

The Case of the Russian Stock Market

Переведенное название: Модель CAPM с неторгуемыми активами на российском фондовом рынке

A. V. Bukhvalov, L. Z. Bokuchava

Результат исследований: Научные публикации в периодических изданияхстатьянаучнаярецензирование

Выдержка

The paper deals with a modification of the CAPM, being called the Mayers model, which takes into account the existence of nonmarketable assets. Human capital is the classic example of such assets though we present and discuss some other important examples. This approach, as well as more advanced conditional CAPM, gives a correction to traditional CAPM beta coefficient as a measure of market risk. In this paper we present two attempts to test CAPM with nonmarketable assets. First, we start from analysis of the small size effect of the Russian stock market. We show that in this case the Mayers model gives the possibility of substantial improvement of risk exposure estimate. Second, empirical analysis in the case of human capital shows no impact of the Mayers model in all sectors of the Moscow Stock Exchange other than Innovation.
Язык оригиналаанглийский
Страницы (с-по)173-186
Число страниц14
ЖурналРОССИЙСКИЙ ЖУРНАЛ МЕНЕДЖМЕНТА
Том16
Номер выпуска2
DOI
СостояниеОпубликовано - сен 2018

Отпечаток

Capital asset pricing model
Stock market
Assets
Human capital
Market risk
Stock exchange
Empirical analysis
Moscow
Risk exposure
Coefficients
Innovation
Conditional CAPM

Ключевые слова

  • WOS
  • РИНЦ

Цитировать

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note = "Bukhvalov, A. V. Nonmarketable Assets Version of the CAPM: The Case of the Russian Stock Market / A. V. Bukhvalov, L. Z. Bokuchava // Rossiiskii zhurnal menedzhmenta. – 2018. – Volume 16, Issue 2. – P. 173-186.",
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Nonmarketable Assets Version of the CAPM : The Case of the Russian Stock Market. / Bukhvalov, A. V.; Bokuchava, L. Z.

В: РОССИЙСКИЙ ЖУРНАЛ МЕНЕДЖМЕНТА, Том 16, № 2, 09.2018, стр. 173-186.

Результат исследований: Научные публикации в периодических изданияхстатьянаучнаярецензирование

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