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QUANTIFICATION OF THE SYSTEMATIC RISK IN INDUSTRIES

100%
Majdúchová H., Siváková B., Rybárová D., Šagátová S.
Ekonomický časopis (Journal of Economics)
|
2017
|
vol. 65
|
issue 7
602 – 617
EN
The aim of this paper is to verify systematic risk possibility in an alternative way using the accounting data. The verification is based on the Brimble-Hodgson accounting model, which we tested on a sample of EU-15 companies within ten years in total and separately for each concerned industry. We developed our own model using accounting data due to the more general model applicability, and tested the model on the same sample of a company. We obtained data for the analysis from the Datastream database. The Brimble-Hodgson accounting model could explain 28 – 77% of the variability of systematic risk, and our accounting model explained 21 – 75% of the variability of systematic risk, depending on the sector. The result is to identify determinants affecting systematic risk to individual industries, and formulation of industry-based accounting models, which can be applied in practice.
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VOLATILITY - GOOD OR BAD? ANALYSIS OF THE POLISH STOCK MARKET (Zmiennosc - dobra czy zla? Analiza polskiego rynku kapitalowego)

75%
Cwynar W.
Finansowy Kwartalnik Internetowy e-Finanse
|
2010
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vol. 6
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issue 2
16-25
EN
The application of the Capital Asset Pricing Model, which is a mean-variance technique, requires the distribution of stock returns to be symmetric. Securities traded on many emerging capital markets, including the Warsaw Stock Exchange (WSE), usually do not have such a feature. In these cases, methods of risk evaluation based on semivariance seem to be superior to those based on total variance. Since the ratio of companies having asymmetric stock return distributions is still high (although it is declining each year, proving that the Polish market is becoming increasingly mature year after year), methods based on semivariance (three versions of downside Capital Asset Pricing Model) are used to assess investment risk. The outcomes obtained conclude that the best results for assessing the risk of negative deviations in rate of returns on the Polish capital market is provided by the Bawa and Lindenberg model.
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