Naslov (eng)

Risk of Investment in Southeast European Countries, CAPM Calculation

Autor

Petrović, Dragana
Ilić, Milena
Ranković, Marko
Dobrilović, Milutin

Opis (eng)

Abstract The CAPM model was built by William Sharpe in the 1960s and published in 1970 in the book Portfolio Theory and Capital Markets. In recognition of his work, he was awarded the 1990 Nobel Prize in Economics. The Capital Asset Pricing Model (CAPM) is an important analytical tool in determining the expected return of a potential investor from investing in an entity's stock that directly seeks to strike a balance between the return on a particular asset and its associated risk. This fact has contributed to this model being at the heart of corporate finance and investment analysis. The model is based on the view that all stock investments are inherently risky investments, and in the standard CAPM equation, a distinction is made between two types of common stock investment risk, non-systemic and systemic risk. The aim of the research is to indicate that when making foreign investors' decisions about investing in SEE countries, the standard equation of the CAPM model is not sufficient, as these countries are exposed to numerous risk factors. Therefore, in the continuation of the work, the authors will present, on a practical example of these countries, its modification for the country risk premium, which will enable foreign investors to understand the risk complex and specificity of investing in the shares of SEE issuers. Investors also expect higher returns on securities, as a compensation for the risks of investing in these countries, which also causes the cost of capital costs to rise in growing markets. The difference in yield that reflects a country's risk is called the country's risk premium, which will be detailed in the paper.

Jezik

engleski

Datum

2021

Licenca

Ovo delo je licencirano pod uslovima licence
Creative Commons CC BY 4.0 - Creative Commons Autorstvo 4.0 International License.

http://creativecommons.org/licenses/by/4.0/legalcode

Predmet

Keywords: CAPM Model, Southeast European Countries, Country Risk, Capital Risk Premium

Deo kolekcije (1)

o:28218

Ekonomski fakultet