THE CORRECTNESS OF THE CAPM-MODEL APPLICATION IN THE UKRAINIAN REALITY IN TERMS OF INVESTORS FINANCIAL SECURITY

##plugins.themes.bootstrap3.article.main##

##plugins.themes.bootstrap3.article.sidebar##

PDF
Published: Jun 7, 2018
https://doi.org/10.30525/2256-0742/2018-4-1-163-168

  Liudmyla Zakharkina

  Maryna Abramchuk

Abstract

Purpose. The purpose of this article is the research of correctness of CAPM-model application in the Ukrainian stock market and the analysis of the time factor’s influence on the results of this model application. This problem acquires a special relevance for the provision of the investors’ financial security, who act in the conditions of significant uncertainty and high risk of the Ukrainian stock market. Methodology. In this work, methods of dynamic lines’ analysis, statistical, structural, comparative, correlation-regressive analysis were used. As the initial data during the research of profitability of the Ukrainian enterprises’ shares, the data of the exchanging prices of the Ukrainian emitters’ securities, according to the results of the trades in the Public JSC “Ukrainian Exchange”, were used. Results. Contemporary approaches to the CAPM-model application in the markets, which are being developed, were analysed. As the result of this analysis, it was revealed that most of the scientific researches in this area emphasize incorrectness and unreliability of the results as to the prediction of the profitability indexes on such markets. Calculation of the β-coefficient for the Ukrainian emitters’ securities for the various investments’ horizon periods was done. The results of the calculation showed that the value of the β-coefficient varies greatly on the terms of investment and is not of the strictly consistent pattern. Stock market profitability per month based on UX-index and considering the investment horizon period was calculated. The expected profitability of the Ukrainian emitters’ securities was distinguished and compared to their real rate of returns. During the profitability analysis in the investment intervals, exponential moving average with its further shift for a month was used. It gave an opportunity to distinguish an average monthly profitability in the various investment horizon periods (1 till 12 months). Practical significance. The application of the suggested approach can become an additional technique for the estimation of the investment attractiveness of securities of the stock market emitters in the various investment horizon periods that, in its turn, will increase the safety of such investment. Conclusions. The conclusion was made as to the correctness of the CAPM-model application in the Ukrainian reality, according to which it is almost impossible to define the exact regularity of the behaviour of indexes of the expected and real profitability depending on the investment horizon period. It casts doubt on the possibility of the appropriate and correct application of the CAPMmodel in the Ukrainian stock market. This conclusion, in general, coincides with the conclusions of many scientists, who conducted similar researches in the stock markets of other developing countries.

How to Cite

Zakharkina, L., & Abramchuk, M. (2018). THE CORRECTNESS OF THE CAPM-MODEL APPLICATION IN THE UKRAINIAN REALITY IN TERMS OF INVESTORS FINANCIAL SECURITY. Baltic Journal of Economic Studies, 4(1), 163-168. https://doi.org/10.30525/2256-0742/2018-4-1-163-168
Article views: 429 | PDF Downloads: 314

##plugins.themes.bootstrap3.article.details##

Keywords

stock market, profitability, beta-coefficient, stock index, investment horizon

References

Markowitz, Н. (1952). Portfolio selection. The Journal of Finance, 7(1), 77-91. Retrieved from https://www.math.ust.hk/~maykwok/courses/ma362/07F/markowitz_JF.pdf (in Eng.)

Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. Journal of Finance, 19, 425-442. (in Eng.)

Treynor, J. L., (1962). Toward a Theory of Market Value of Risky Assets, Unpublished manuscript. A final version was published in 1999, in Asset Pricing and Portfolio Performance: Models, Strategy and Performance Metrics.

Robert A. Korajczyk (editor) London: Risk Books, pp. 15-22. (in Eng.)

Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. The Review of Economics and Statistics, 47(1),13-37. (in Eng.)

Mossin, J. (1966). Equilibrium in a Capital Asset Market. Econometrica, 34(4), 768-783. (in Eng.)

Black, F., Jensen, M.C., & Scholes, M. (1972). The Capital Asset Pricing Model: Some Empirical Tests. Studies in the theory of capital markets. New York : Praeger Publishers Inc., 54. Pages Posted: 13 Jun 2006 . – Retrieved from http://www.efalken.com/LowVolClassics/blackjensenscholes.pdf (in Eng.)

Zakharkin, O., Zakharkina, L., & Antoniuk, N. (2017). A comparative analysis of stock market volatility depending on investment time horizon. Economic Annals-XXI, 167(9-10), 49-52. https://doi.org/10.21003/ea.V167-10 (in Eng.)

Kompleksna prohrama rozvytku finansovoho sektoru Ukrainy do 2020 roku [Complex program of Ukrainian financial sector development till 2020]. (2015) Revised by the solution of the National Bank of Ukraine Administration on 16 Jan 2018, № 28. Retrieved from https://bank.gov.ua/doccatalog/document?id=43352266 (in Ukrainian)

Fama, E.F., & French, K. R. (1992). The Cross-Section of Expected Stock Returns. Journal of Finance, 47(2), 427-65. – Retrieved from https://www.ivey.uwo.ca/cmsmedia/3775518/the_cross-section_of_expected_stock_returns.pdf (in Eng.)

Roll, R. (1977). A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory. Journal of Financial Economics, 4(2), 129-176. ( in Eng.)

Levy, R.A. (1971). On the short-term stationarity of beta coefficients. Financial Analysts Journal, 27(6), 55-61. (in Eng.)

Blume, M.E. (1975). Betas and then regression tendencies. Journal of Finance, 30(3), 785-795. Retrieved from http://www.stat.ucla.edu/~nchristo/statistics417/blume_betas.pdf (in Eng.)

Scholes, M., & Williams J. (1977). Estimating betas from nonsynchronous data. Journal of Financial Economics, 5(3), 309-327.(in Eng.)

Merton, R. (1973). Theory of rational option pricing. Bell Journal of Economics and Management Science, 4(1), 141–183. Retrieved from http://www.people.hbs.edu/rmerton/Theory%20of%20Rational%20Option%20 Pricing.pdf (in Eng.)

Harvey, C.R. (1989).Time-varying conditional covariance’s in tests of asset pricing models. Journal of Financial Economics, 24(.2), 289-317 (in Eng.)

Robertson, D. & Wright S. (1998). The good news and the bad news about long-run stock market returns (working paper). University of Cambridge..pdf Retrieved from https://www.repository.cam.ac.uk/bitstream/handle/1810/412/stocks?sequence=1&isAllowed=y (in Eng.)

Ibbotson, R. & Chen, P. (2002). Stock Market Returns in the Long Run: Participating in the Real Economy (Yale ICF working paper № 0.00-44). Yale School of Management. Retrieved from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=274150 (in Eng.)

Gibson, R. (2013). Asset Allocation: Balancing Financial Risk : Fifth Edition . N. Y.: McGraw-Hill Education LLC (in Eng.)

Berzon, N. I. (2014). Ocenka finansovyh aktivov po kriteriju «risk-dohodnost» s uchetom dlitelnosti investirovanija [Assessment of financial assets by the ratio of "risk-yield", taking into consideration the duration of investments].

Vestnik Moskovskogo universiteta imeni S. Ju. Vitte. Serija 1: Jekonomika i upravlenie – Moscow Witte University Bulletin. Series 1: Economics and Management, 2(8), 39-52. Retrieved from https://www.muiv.ru/vestnik/pdf/eu/eu_2014_2_039-052.pdf (in Russian)

Abramov, A., Radygin, A. & Chernova, M. (2015). Dolgosrochnye portfelnye investicii: novyj vzgljad na dohodnost i riski [Long-Term Portfolio Investment: New Insight into Return and Risk]. Voprosy jekonomiki – Voprosy Ekonomiki, 10, 54-77 (in Russian)

Boyarskiy, A. (2016). Faktor vremeni v ocenke jeffektivnosti portfelnyh investicij na rossijskom fondovom rynke [Time factor in the estimation of the indirect investment efficiency in the Russian stock market]. http://abnsecurities.blogspot.com/ Retrieved from http://abnsecurities.blogspot.com/2016/03/blog-post.html (in Russian)

Diakonov, K.M. & Oleksich, D. V. (2010). Mekhanizm urakhuvannia vplyvu ryzykiv na otsinku finansovykh instrumentiv za dopomohoiu beta-koefitsiienta [Process of consideration of influence of the risks on the estimation of financial assets with the help of β-coefficient]. Zbirnyk naukovykh prats Cherkaskoho derzhavnoho tekhnolohichnoho universytetu. Seriia : Ekonomichni nauky – Collected Works "ChSTU Bulletin. Series: Economics", 22(2), 127-130. (in Ukrainian)

Zavorotnii, R. I. (2014). Problemy otsinky ryzykovosti emitentiv na finansovykh rynkakh [Problems of the betaratios valuation of the enterprises on financial markets]. Finansy Ukrainy - Finance of Ukraine, 6, 49-62. (in Ukrainian)

Kukhta, P. V. (2005). Perspektyvy vykorystannia modeli tsinoutvorennia na rynku kapitaliv u prak-tytsi otsiniuvannia vartosti vlasnoho kapitalu pidpryiemstv Ukrainy [Outlooks of pricing model application in the assets market in the practice of estimation of the price of the Ukrainian enterprises private capital]. Visnyk Kyivskoho natsionalnoho universytetu imeni Tarasa Shevchenka. Seriia “Ekonomika” – Bulletin of Taras Shevchenko National University of Kyiv. Economics”, 74, 36–38. (in Ukrainian)

Lukianenko, I. H. (2007). Otsinka kapitalnykh aktyviv u finansovomu menedzhmenti [Estimation of capital assets in financial management]. Naukovi zapysky NaUKMA. Seriia Ekonomichni nauky - Scientific Papers NaUKMA. Economics, 68, 47-52. (in Ukrainian)

Capital Asset Pricing Model (САРМ). Retrieved from http://buklib.net/books/22595/#_ftnref1 (in Ukrainian)

Mertens, A. V. (1997). Investicii: Kurs lekcij po sovremennoj finansovoj teorii [Investment: course of lectures on modern financial theory]. Kiev:: Investment agensy of Kiev (in Russian)

Kojefficient beta. Formula. Sovremennye modifikacii [β-coefficient. Formula. Modern modifications]. Retrieved from http://finzz.ru/koefficient-beta-formula-raschet-v-excel.html (in Russian)

Sait Ukrainskoi birzhi [Site of Ukrainian Exchange]. Retrieved from http://www.ux.ua/ua/ (in Ukrainian)

Issue
Vol. 4 No. 1 (2018): Baltic Journal of Economic Studies