Redefinirani Fama French trofaktorski model za istočnoeuropske narode EU

master's thesis

• Author: Domina Gojsalić
• Mentor: Boris Podobnik (mentor)
• Committee member: Boris Podobnik (predsjednik povjerenstva)
• Committee member: Eduard Marušić-Paloka (član povjerenstva)
• Committee member: Ilja Gogić (član povjerenstva)
• Committee member: Igor Ciganović (član povjerenstva)
• Granter: University of Zagreb; Faculty of Science; (Department of Mathematics); Zagreb
• Defense date and country: 2019-09-25, Croatia
• Scientific / art field, discipline and subdiscipline: NATURAL SCIENCES; Mathematics

Abstract

U ovom radu koristimo verziju trofaktorskog Fama French (FF) modela primjenjivog za EU zemlje koje su pristupile Uniji nakon 2004. Pokazujemo kako standardni FF model pokazuje slabe rezultate kad se primijeni na ovaj set zemalja čime se potvrđuje da ekonomski modeli ne pokazuju univerzalnost i samim time ovise o stupnju razvoja pojedine zemlje. U redefiniranom modelu tržišnu vrijednost imovine zamjenjujemo s omjerom neto dobiti i neto prihoda od poslovnih aktivnosti koja se koristi kao procjenitelj kvalitete zarade poduzeća. Na kraju testiramo redefinirani i standardni trofaktorski FF model na hrvatskom tržištu dionica. Dobiveni rezultati pokazuju kakao redefinirani model bolje objašnjava prosječne povrate dionica izlistanih na Zagrebačkoj burzi, iako ponovno veliki dio varijacija kod povrata ostaje neobjašnjen.

Abstract (english)

In this paper, we use the version of the three-factor Fama French (FF) model applicable to EU countries that joined the Europian Union after 2004. We show that the standard FF model performs poorly when applied to this set of countries, thus confirming that economic models do not show universality and depend on countries development level. In the respecified model, we replace the market value of assets with the ratio of net income and net income from operating activities used as proxy for companies’ earnings quality. Finally, we test the respecified and standard FF model on the Croatian stock market. The results show that the respecified model is better able to explain average returns on the Zagreb Stock Exchange, although much of the variation in average returns still remains unexplained.

• Keywords: Fama French model; ekonomski modeli; tržište dionica
• Keywords (english): Fama French model; economic models; stock market
• Language: croatian
• URN:NBN: urn:nbn:hr:217:833735
• Study programme: Title: Finance and Business Mathematics; Study programme type: university; Study level: graduate; Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Open access
• Created on: 2020-01-23 12:10:33