SAŽETAK: U nastojanjima da se najpoznatiji jedno-faktorski model, model procjenjivanja kapitalne imovine (CAPM), primijeni u praksi esto su se koristili dioni ki indeksi temeljeni na tržišnoj kapitalizaciji. Istraživanja su, me utim, pokazala da takvi indeksi naješ e ne predstavljaju eÞ kasan portfolio svojih sastavnica pa su u posljednjih 10-ak godina razvijani pristupi koji bi investitorima trebali ponuditi eÞ kasnije indekse. Istraživanja za hrvatsko tržište upu uju na otežanu primjenu takvih istraživanja zbog speciÞ nosti malog i nelikvidnog tržišta. U ovome radu kao alternativa tržišnoj kapitalizaciji testiraju se fundamentalni pokazatelji slijede i istraživanje Arnott et al. (2005.). Ispituje se više fundamentalnih pokazatelja, a performanse indeksa uspore uju se s CROBEX indeksom za revizije indeksa u razdoblju 2009. -2016. Rezultati istraživanja pokazuju bolje performanse odre enih testiranih indeksa u vidu ve ih odnosa rizika i nagrade, ali uz slabu robusnost. Tako er, ve i odnosi rizika i nagrade proizlaze iz relativno ve eg pove anja prinosa u odnosu na rizik što sugerira potrebu za provo enje daljnjih istraživanja.KLJU NE RIJE I: CAPM, faktorski modeli, eÞ kasni indeksi, indeksi temeljeni na fundamentalnim pokazateljima.
SUMMARY:In order to apply one of the most famous single-factor models (CAPM) in practice, equity market cap-weighted indices were often used. However, research has shown that such indices often do not represent efÞ cient portfolios of their constituents. Therefore, various approaches have been developed in the last 10 years in pursuit of more efÞ cient indices for investors. Research conducted for the Croatian market points out difÞ -* Mario Kova evi ,
Abstract:The fact that cap-weighted indices provide an ineffi cient risk-return trade-off is well known today. Various research approaches evolved suggesting alternative to cap-weighting in an effort to come up with a more effi cient market index benchmark. In this paper we aim to use such an approach and focus on the Croatian capital market. We apply statistical shrinkage method suggested by Ledoit and Wolf (2004) to estimate the covariance matrix and follow the work of Amenc et al. (2011) to obtain estimates of expected returns that rely on risk-return trade-off. Empirical fi ndings for the proposed portfolio optimization include out-of-sample and robustness testing. This way we compare the performance of the capital-weighted benchmark to the alternative and ensure that consistency is achieved in different volatility environments. Research fi ndings do not seem to support relevant research results for the developed markets but rather complement earlier research (Zoričić et al., 2014).
Research examining long-term outcomes after childbirth performed with different techniques of caesarean section have been limited and do not provide information on morbidity and neuropathic pain. The study compares two groups of patients submitted to the 'Traditional' method using Pfannenstiel incision and patients submitted to the 'Misgav Ladach' method ≥ 5 years after the operation. We find better long-term postoperative results in the patients that were treated with the Misgav Ladach method compared with the Traditional method. The results were statistically better regarding the intensity of pain, presence of neuropathic and chronic pain and the level of satisfaction about cosmetic appearance of the scar.
The work of Arnott et al. (2005) presented an interesting fact that the fundamentally-weighted indices generally outperform the market capitalisation-weighted counterparts in the US stock market. The research results prompted the introduction of fundamentally-weighted indices in the US market. Since research dealing with Croatian capital market also points out the inefficiency of the risk return trade-off of the cap-weighted (CROBEX) index this paper examines more closely the risk return characteristics of the potential fundamentally-weighted alternative and analyses the source of higher returns in the case of fundamentally-weighted indices. We use the original and propose a modified Fama French three factor model in order to try to capture specific sources of risk in the small and illiquid market. We find evidence in support of the view that better risk return trade-off of the fundamentally-weighted indices is driven by additional exposure to risk factors in comparison to CROBEX index.
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