Multifactorial analysis of the price formation in the terms of a risk-free rate

Abstract

The prices being studied on the market must be tested in such a way as to identify the risks that exist, to identify the influencing factors and according to them to be able to assess whether the diversification of some prices on the market is real or is a momentary situation. The expected return of macro factors is not restricted by the null hypothesis and in this respect it is shown that this null hypothesis indicates to the investor the conditions to be taken into account in analysing the prices at which they place portfolios on the stock market, capital market or not. The factors can be grouped and they must be tested from a statistical point of view, to see if the parameters we have calculated can be a decision criterion in making the decision to place by purchase, to place by sale or to buy shares or other assets constituted in other types of portfolios. The models usually used are regression models that ensure the estimation and inference on the market, so to draw a definite conclusion on how it can be appreciated that prices are realistic, are those that have the level pursued by the investor in the sense of increase or decrease. Always, an analysis using the regression model is supplemented with a spectral analysis model to find the seasonal variation that could occur in the capital market. The purpose of this article is to test prices influenced by several factors and to identify a rate and a time when these prices are not fully risky.

Keywords

• prices
• capital market
• returns
• risks
• models