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QUASI-BETA INDEX: MULTIDIMENSIONAL COMPARATIVE ANALYSIS APPLICATION TO DETERMINE RISK INDEX FOR STOCK INVESTMENTS ON WARSAW STOCK EXCHANGE (Indeks quasi-beta: Wykorzystanie wielowymiarowej analizy porownawczej do wyznaczania indeksu ryzyka inwestycji

100%
Cwynar W.
Finansowy Kwartalnik Internetowy e-Finanse
|
2010
|
vol. Special Issue
1-14
EN
Cost of capital is the key parameter when evaluating company's financial performance and valuing a firm or a project. The cost of equity calculation methods most commonly used in practice, are based on market data. When such a data is not available, classical methods used to determine required rate of return on equity capital are substituted with techniques based on accounting data. One of these techniques is multidimensional comparative analysis. This text shows an attempt to assess quasi-beta indices using multidimensional comparative analysis. Using five financial ratios calculated for companies from Warsaw Stock Exchange indices WIG20, mWIG40 and sWIG80, risk coefficients were determined as taxonomic measures of development, and then they were compared to traditional beta indices. The final results are promising – the highest values of quasi-beta indices are assigned to companies that are characterized by equally high values of beta coefficients (characterized by high volatility of stock returns compared to volatility of broad market returns).
2

ACTUAL QUESTIONS OF RISK MANAGEMENT IN MODELS AFFECTING ENTERPRISE PERFORMANCE

75%
Šofranková B., Kiseľáková D., Horváthová J.
Ekonomický časopis (Journal of Economics)
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2017
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vol. 65
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issue 7
644 – 667
EN
The aim of the article was to design an enterprise performance assessment model that accepts the results of selected financial indicators, ex ante models and risks. For the identification of risks, two approaches to calculating the Cost of Equity were applied. The first approach was based on CAPM's calculation of Cost of Equity, with the assumption of external and systematic risks. The second approach was based on Build-up model with the acceptance of internal and non-systematic risks. The data of the food industry enterprises in Slovakia for the period 2004 – 2013 were used to implement this research. Based on the application of these approaches, it was possible to identify the impact of internal, external risks, systematic and non-systematic risks on a company performance. Finally, we constructed new 3-dimensional Enterprise Risk Model (ERM) is a suitable risk management tool for assessing and predicting the risk impact on the enterprise performance.
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