Mrs. Zrinka Lovretin Golubić
University of Zagreb, Faculty of Economics & Business
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Academic Career Length
10Years (2017-Present)
(Calculated once Scilit publication data is synced: current year − year of first publication + 1)
Representative Publications
View All Publications1 December 2017 in Zbornik Ekonomskog Fakulteta u Zagrebu
Journal Article
MKMario Kovačević
Mario KovačevićDZDavor Zoricic
Davor ZoricicZrinka Lovretin GolubićU nastojanjima da se najpoznatiji jedno-faktorski model, model procjenjivanja kapitalne imovine (CAPM), primijeni u praksi često su se koristili dionički indeksi temeljeni na tržišnoj kapitalizaciji. Istraživanja su, međutim,...
1 December 2018 in Zagreb International Review of Economics and Business
Journal Article
DZDavor Zoričić
Davor Zoričić
DDDenis Dolinar
Denis Dolinar
Zrinka Lovretin GolubićThe work of Arnott et al. (2005) presented an interesting fact that the fundamentally-weighted indices generally outperform the market capitalisation-weighted counterparts in the US stock market. The research results prompted the introduction of fundamentally-weighted indices in the US market. Since research dealing with Croatian capital market also points out the inefficiency of the risk return trade-off of the cap-weighted (CROBEX) index this paper examines more closely the risk return characteristics of the potential fundamentally-weighted alternative and analyses the source of higher returns in the case of fundamentally-weighted indices. We use the original and propose a modified Fama French three factor model in order to try to capture specific sources of risk in the small and illiquid market. We find evidence in support of the view that better risk return trade-off of the fundamentally-weighted indices is driven by additional exposure to risk factors in comparison to CROBEX index.
1 May 2019 in Croatian Review of Economic, Business and Social Statistics
Journal Article
DDDenis Dolinar
Denis Dolinar
DZDavor Zoričić
Davor Zoričić
Zrinka Lovretin GolubićIn the field of portfolio management the focus has been on the out-of-sample estimation of the covariance matrix mainly because the estimation of expected return is much more challenging. However, recent research efforts have not only tried to improve the estimation of risk parameters by expanding the analysis beyond the mean-variance setting but also by testing whether risk measures can be used as proxies for the expected return in the stock market. In this research, we test the standard deviation (measure of total volatility) and the semi-deviation (measure of downside risk) as proxies for the expected market return in the illiquid and undeveloped Croatian stock market in the period from January 2005 until November 2017. In such an environment, the application of the proposed methodology yielded poor results, which helps explain the failure of the out-of-sample estimation of the maximum Sharpe ratio portfolio in earlier research in the Croatian equity market.
1 January 2023 in Zbornik Ekonomskog Fakulteta u Zagrebu
Journal Article
Zrinka Lovretin GolubićU radu se polazi od jednofaktorskoga modela kako bi se pojednostavnilo određivanje premije rizika dionica i obveznica na hrvatskom tržištu kapitala. Osim uobičajene mjere sistematskog rizika, bete, uvodi se i modificirana mjera rizika, donjostrana be...
1 January 2021
Book Chapter
ZOZrinka Orlović
Zrinka Orlović
Zrinka Lovretin GolubićDZDavor Zoricic
Davor ZoricicInstead of traditionally looking at investing in different types of asset classes in order to exploit diversification effects, investors are turning to the underlying performance drivers built-in in many asset classes – factors. The intuition is that assets earn risk premiums because they are exposed to underlying risk factors. Factor models were developed as a simplification and continuation of diversification principle and mean-variance efficiency introduced by Harry Markowitz. This chapter will focus on one of the standard investment and cross section factors called momentum. It became very popular since 1993 when Jegadeesh and Titman documented that strategies that buying stocks that have performed well in the past and selling stocks that have performed poorly generate significant positive returns. This chapter aims to provide an introduction to factor models development and momentum effects on stock and bond markets – description of methodology and detailed literature overview.
About Me
Zrinka Lovretin Golubić graduated in 2010 at the Faculty of Economics and Business, University of Zagreb. From September 2010 till May 2017 she worked in INA-INDUSTRIJA NAFTE, d.d. in Treasury Sector, Funding Department on different positions and last two years as a Funding Expert where she was preparing financial plan, managing the financial covenants, she was included in negotiations and signing of various loan facility agreements as well as analysis and control of subsidiaries from treasury point of view. Currently, she works as a Teaching and Research Assistant at the Department of Managerial Economics, Faculty of Economics and Business, University of Zagreb and attending University Postgraduate (Doctoral) Study Programme. Her research interest is focused on investment analysis, portfolio management and corporate finance. Skilled in negotiation, business planning, corporate finance, statistical tools, and financial risk management. She is a member of Croatian Statistical Association.