Standard

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.

Результаты исследований: Научные публикации в периодических изданиях › статья › Рецензирование

Harvard

Bukhvalov, AV & Bokuchava, LZ 2018, 'Nonmarketable Assets Version of the CAPM: The Case of the Russian Stock Market', РОССИЙСКИЙ ЖУРНАЛ МЕНЕДЖМЕНТА, Том. 16, № 2, стр. 173-186. https://doi.org/10.21638/spbu18.2018.201

APA

Bukhvalov, A. V., & Bokuchava, L. Z. (2018). Nonmarketable Assets Version of the CAPM: The Case of the Russian Stock Market. РОССИЙСКИЙ ЖУРНАЛ МЕНЕДЖМЕНТА, 16(2), 173-186. https://doi.org/10.21638/spbu18.2018.201

Vancouver

Bukhvalov AV, Bokuchava LZ. Nonmarketable Assets Version of the CAPM: The Case of the Russian Stock Market. РОССИЙСКИЙ ЖУРНАЛ МЕНЕДЖМЕНТА. 2018 Сент.;16(2):173-186. https://doi.org/10.21638/spbu18.2018.201

Author

Bukhvalov, A. V. ; Bokuchava, L. Z. / Nonmarketable Assets Version of the CAPM : The Case of the Russian Stock Market. в: РОССИЙСКИЙ ЖУРНАЛ МЕНЕДЖМЕНТА. 2018 ; Том 16, № 2. стр. 173-186.

BibTeX

@article{c2c24d26f0a84287af0d0759d8c1a5e4,
title = "Nonmarketable Assets Version of the CAPM: The Case of the Russian Stock Market",
abstract = "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.",
keywords = "nonmarketable assets, CAPM, the Mayers model, WOS, РИНЦ, WOS, РИНЦ",
author = "Bukhvalov, {A. V.} and Bokuchava, {L. Z.}",
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.",
year = "2018",
month = sep,
doi = "10.21638/spbu18.2018.201",
language = "English",
volume = "16",
pages = "173--186",
journal = "РОССИЙСКИЙ ЖУРНАЛ МЕНЕДЖМЕНТА",
issn = "1729-7427",
publisher = "Издательство Санкт-Петербургского университета",
number = "2",

}

RIS

TY - JOUR

T1 - Nonmarketable Assets Version of the CAPM

T2 - The Case of the Russian Stock Market

AU - Bukhvalov, A. V.

AU - Bokuchava, L. Z.

N1 - 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.

PY - 2018/9

Y1 - 2018/9

N2 - 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.

AB - 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.

KW - nonmarketable assets

KW - CAPM

KW - the Mayers model

KW - WOS

KW - РИНЦ

KW - WOS

KW - РИНЦ

U2 - 10.21638/spbu18.2018.201

DO - 10.21638/spbu18.2018.201

M3 - Article

VL - 16

SP - 173

EP - 186

JO - РОССИЙСКИЙ ЖУРНАЛ МЕНЕДЖМЕНТА

JF - РОССИЙСКИЙ ЖУРНАЛ МЕНЕДЖМЕНТА

SN - 1729-7427

IS - 2

ER -

ID: 36784237