Finanse, Rynki Finansowe, Ubezpieczenia

Previously: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia


ISSN: 2450-7741     eISSN: 2300-4460    OAI    DOI: 10.18276/frfu.2017.86-07
CC BY-SA   Open Access 

Issue archive / 2/2017 (86)
Relacje między systematycznymi miarami ryzyka inwestycji kapitałowych w podejściu klasycznym i dolnostronnym
(THE RELATIONSHIPS BETWEEN SYSTEMATIC MEASURES OF RISK OF CAPITAL INVESTMENTS IN THE CLASSICAL AND DOWNSIDE FRAMEWORK)

Authors: Lesław Markowski
Katedra Metod Ilościowych, Uniwersytet Warmińsko-Mazurski w Olsztynie
Keywords: CAPM beta downside beta data generating process
Data publikacji całości:2017
Page range:14 (83-96)
Cited-by (Crossref) ?:

Abstract

Purpose - The aim of this study was to present the relationship between classical and downside beta coefficients in the context of data generating process. Design/Methodology/Approach – The theoretical analysis were the basis for determining the relationship between the beta coefficients in the classical and downside framework. Empirical studies based on regression analysis and correlation of the time series of monthly returns sectoral indices quoted Warsaw Stock Exchange. Findings - Our results suggest that the relationships between classical and downside systematic risk measures depend on the basic parameters of the distribution of returns of market portfolio approximation. There are statistically significant correlations between the standard deviation, asymmetry and kurtosis of market portfolio and measures expressing the relation of beta coefficients. Originality/Value - The arguments may be an indication of choosing a systematic risk measures and evaluation of the real beta coefficients. This choice is determined by the data generating process, which may contribute to discrepancies between results of CAPM tests.
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