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master's thesis
Redefinirani Fama French trofaktorski model za istočnoeuropske narode EU
Zagreb: University of Zagreb, Faculty of Science, 2019. urn:nbn:hr:217:833735
Gojsalić, Domina
University of Zagreb
Faculty of Science
Department of Mathematics

Institutional repository: Repository of the Faculty of Science

Cite this document

Gojsalić, D. (2019). Redefinirani Fama French trofaktorski model za istočnoeuropske narode EU (Master's thesis). Zagreb: University of Zagreb, Faculty of Science. Retrieved from https://urn.nsk.hr/urn:nbn:hr:217:833735

Gojsalić, Domina. "Redefinirani Fama French trofaktorski model za istočnoeuropske narode EU." Master's thesis, University of Zagreb, Faculty of Science, 2019. https://urn.nsk.hr/urn:nbn:hr:217:833735

Gojsalić, Domina. "Redefinirani Fama French trofaktorski model za istočnoeuropske narode EU." Master's thesis, University of Zagreb, Faculty of Science, 2019. https://urn.nsk.hr/urn:nbn:hr:217:833735

Gojsalić, D. (2019). 'Redefinirani Fama French trofaktorski model za istočnoeuropske narode EU', Master's thesis, University of Zagreb, Faculty of Science, accessed 24 June 2024, https://urn.nsk.hr/urn:nbn:hr:217:833735

Gojsalić D. Redefinirani Fama French trofaktorski model za istočnoeuropske narode EU [Master's thesis]. Zagreb: University of Zagreb, Faculty of Science; 2019 [cited 2024 June 24] Available at: https://urn.nsk.hr/urn:nbn:hr:217:833735

D. Gojsalić, "Redefinirani Fama French trofaktorski model za istočnoeuropske narode EU", Master's thesis, University of Zagreb, Faculty of Science, Zagreb, 2019. Available at: https://urn.nsk.hr/urn:nbn:hr:217:833735

Metadata
TitleRedefinirani Fama French trofaktorski model za istočnoeuropske narode EU
AuthorDomina Gojsalić
MentorBoris Podobnik (mentor)
Committee memberBoris Podobnik (predsjednik povjerenstva)
Committee memberEduard Marušić-Paloka (član povjerenstva)
Committee memberIlja Gogić (član povjerenstva)
Committee memberIgor Ciganović (član povjerenstva)
GranterUniversity of Zagreb
Faculty of Science
(Department of Mathematics)
Zagreb
Defense date and country2019-09-25, 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
Keywords (english)
Languagecroatian
URN:NBNurn:nbn:hr:217:833735
Study programmeTitle: Finance and Business Mathematics
Study programme type: university
Study level: graduate
Academic / professional title: magistar/magistra matematike (magistar/magistra matematike)
Type of resourceText
File originBorn digital
Access conditionsOpen access
Terms of useLicence In copyright icon
Created on2020-01-23 12:10:33