THE ANALYSIS OF A TOTAL AND SYSTEMATIC RISK IN THE CONTEXT OF A DOWNSIDE RISK BASED ON THE EXAMPLE OF CAPITAL INVESTMENTS AT WARSAW STOCK EXCHANGE

• Authors: Markowski Leslaw , Rutkowska-Ziarko Anna
• Languages of publication: EN

Abstracts

EN

Investments in large, medium and small companies listed at Warsaw Stock Exchange in the aspect of the downside risk were the major subject of the studies. For the analyzed companies, in addition to the variances and classic beta coefficients their downside equivalents, i.e. semivariances and semi-betas were determined. It was shown that companies of different size are characterized by the different levels of total and systematic risk. Additionally, semi-betas, being the measures of the downside systematic risk, are much stronger correlated with the profitability achieved than their classical equivalents.

Keywords

EN

ASYMMETRIC MEASURES OF RISK; DOWNSIDE BETA COEFFICIENTS; DOWNSIDE RISK

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Uniwersytet Warmińsko-Mazurski w Olsztynie
• Journal: Olsztyn Economic Journal
• Year: 2010
• Volume: 5
• Issue: 1
• Pages: 28-38
• Document type: ARTICLE

Contributors

author

Markowski Leslaw

author

Rutkowska-Ziarko Anna

• Leslaw Markowski, Anna Rutkowska-Ziarko - Chair of Quantitative Methods, University of Warmia and Mazury in Olsztyn

Identifiers

CEJSH db identifier

11PLAAAA091320