Progress Report of the Team Project

Team:

Bărbuceanu Teodor

Cojocariu Mihai Robert

Gheorghiță Andra-Maria

Kedei Alexandru

Potocea Talisa

Șeclăman Andra-Ștefania

Ștefănescu Alexandru

Tudorache Mihaela

Group 961, D series, III-rd year

Project theme: Pricing capital markets financial products

In week 8 we are still working on our individual reviews of the scientific

papers. We already stated the general aims for each and every scientific paper, but
we are still working on demonstrating the hypothesis using the results for every
market perspective. We found some similarities between some of the scientific
papers, which we are going to talk about after the reviews, namely when talking
about the main results and conclusions of the project.

The „Indian stock market and the asset pricing models” and „An analysis of
the capital asset pricing model in the Egyptian stock market” are quite interesting,
because these countries’ stock markets and asset pricing models are different from
others due to the cultural differences as well.
 Also, the paper called „An empirical comparison of alternative models of
capital asset pricing in Germany” states some interesting similarities and
differences between the capital asset pricing models. The paper specifically tests
the models in order to see which one is the best fit for the German capital markets.
The test contains a two-stage procedure: the first one estimates the average returns
and betas for each asset, while the second one regresses the cross-sectional average
returns on the cross-sectional betas.

Some ideas presented in the scientific paper mentioned above are also
present in the „European capital market integration: An empirical study based on a
European asset pricing model” scientific paper, because it presents most of
Europe’s countries, including Germany.

Another very detailed scientific paper about the capital market in European
countries is the one about our country, Romania, named „Price leadership in
Romanian capital market”. It invetigates price discovery process in two markets,
using two different approaches. The paper demonstrates that almost 90% of
efficient price variation is formed in Vienna, while only 10% is made in Bucharest.

We hope to make greater progress by next week’s time and try to finish
analyzing every scientific paper.