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http://hdl.handle.net/11701/14671
Полная запись метаданных
Поле DC | Значение | Язык |
---|---|---|
dc.contributor.author | Bukhvalov, A. V. | - |
dc.contributor.author | Bokuchava, L. Z. | - |
dc.date.accessioned | 2018-08-06T15:54:39Z | - |
dc.date.available | 2018-08-06T15:54:39Z | - |
dc.date.issued | 2018-06 | - |
dc.identifier.citation | Bukhvalov A. V., Bokuchava L. Z. 2018. Nonmarketable assets version of the CAPM: The case of the Russian stock market. Russian Management Journal 16 (2): 173–186. | en_GB |
dc.identifier.other | 10.21638/spbu18.2018.201 | - |
dc.identifier.uri | http://hdl.handle.net/11701/14671 | - |
dc.description.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. | en_GB |
dc.description.sponsorship | Research of the first author was conducted with financial support from the grant provided by St. Petersburg University (project No. 16.23.1460.2017). | en_GB |
dc.language.iso | en | en_GB |
dc.publisher | St Petersburg State University | en_GB |
dc.relation.ispartofseries | Russian Management Journal;Volume 16; Issue 2 | - |
dc.subject | nonmarketable assets | en_GB |
dc.subject | CAPM | en_GB |
dc.subject | the Mayers model | en_GB |
dc.subject | Russian stock market | en_GB |
dc.subject | human capital | en_GB |
dc.title | Nonmarketable assets version of the CAPM: The case of the Russian stock market | en_GB |
dc.type | Article | en_GB |
Располагается в коллекциях: | Issue 2 |
Файлы этого ресурса:
Файл | Описание | Размер | Формат | |
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01-Bukhvalov.pdf | 177,62 kB | Adobe PDF | Просмотреть/Открыть |
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