Testing APT Model upon a BVB Stocks’ Portfolio

Abstract

Applying the Arbitrage Pricing Theory model (APT), there can be identified the major factors of influence for a BVB’ portfolio stocks' trend. There were taken into consideration two of the APT theory models, establishing influences upon portfolio's yield: given to macroeconomic environment and to some stochastic factors. The researchs results certify that, on the long term, what influences the stocks’ movement in the stock market is mostly the action of specific short-term factors, without general covering, like the ones that are classified in the research area of behavioral finance (investors’ preference towards risk and towards time).

Keywords

• Portfolio
• Risk
• Stocks
• Yield
• Testing