Empirical Tests of Capital Asset Pricing Model (CAPM) in the Hungarian Capital Market

Abstract

The results of empirical tests of Capital Asset Pricing Model (CAPM) in the Hungarian capital market is presented in our paper. The outcomes are based on monthly data of 17 Hungarian companies listed in the Budapest Stock Exchange (BSE). The recently developing Hungarian capital market has required a meticulous care in the methods of examinations than that in case of international markets. Therefore a significant part of the article deals with the exploration and solution of these problems. The CAPM acceptably describes the Hungarian capital market, however, comparing the same results for capital markets with a great past ours shows a much weaker representation of the reality.