Aplikácia modelu CAPM na dlhopisový trh v USA

The thesis is focused on the equilibrium single factor capital asset pricing model CAPM and its ability to explain risk-return relationship of corporate bonds in the USA. The CAPM model is applied on historical data of five chosen corporate bonds that represent different economic sectors in the period of last ten years. The examined period begins in October 2008 and finishes in September 2018. The ability of CAPM model to explain returns of chosen bonds with factor beta which represents systemic risk is tested on the investment horizon of three, five and seven years with monthly data frequency. Empirical testing proved that the ability of the model to explain bond returns with the risk factor beta has been weak in the last years, which questions its current relevance in the tested market