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Further evidence on the validity of CAPM: The Warsaw Stock Exchange application

100%
Markowski L.
Journal of Economics and Management
|
2020
|
vol. 39
82-104
EN
Aim/purpose – The purpose of the research is to verify the Capital Asset Pricing Model (CAPM) in the Polish capital market based on a conventional and downside risk approach. Design/methodology/approach – The author in this study, using individual securities and portfolios, compares the unconditional risk-return relationships with the conditional risk, estimated in up and down market using realised returns in cross-sectional regressions. Except for a beta coefficient, the CAPM is tested with co-skewness as a higher order co-moment and downside betas as a risk measure in a downside approach. Findings – The unconditional regressions give evidence of existing risk premium associated with co-skewness and downside beta, and confirmed the validity of the downside CAPM. The author, based on conditional relations, found that risk-return relations depend on the state of the stock market. The average premium for systematic risk in term of beta coefficient is significantly positive in up market periods and significantly negative in down market periods. The use of conditional models did not explicitly confirm the suitability of co-skewness in asset pricing. Research implications/limitations – The main implications include the fact that the conventional beta coefficient is an appropriate risk measure when we consider using it separately for up and down market. A valuable extension of this research would be a benchmarking analysis to compare results for the Polish capital market against other emerging and developed markets. Originality/value/contribution – The author in this paper proposes an alternative approach to testing risk-return relationships based on the CAPM in comparison to commonly used tests founded upon joint estimations of these relationships in periods of both positive and negative market excess return. The noteworthy contribution of this study is an application of the downside beta coefficient and the co-skewness coefficient in crosssectional regressions.
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Verifying Capital Asset Pricing Model in Greek Capital Market

75%
Mustafakulov S., Khudoykulov K.
Central European Review of Economics & Finance
|
2015
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issue Vol. 7, No 1
5-15
EN
To begin, the article verifying of Capital Asset Pricing Model (CAPM) would be appropriate for capital asset valuation on the Greek capital market. We examined 32 companies listed on the Athens Stock Exchange (ASE) on a weekly basis for a period from June 2009 to December 2013 under this model. The CAPM model is tested by performing two-pass characteristic regression analyses. The first-pass characteristic line regression was used to estimate stocks of beta. Hence, the second-pass characteristic line regression was taken to analyze the intercept and the slope coefficients of stocks. The two characteristics of line regression verify the adequacy of the CAPM. According to our results, we came to a conclusion that there was a linear relationship between systematic risk and returns. The CAPM would be the verification of our major hypotheses from the time series tests. In order for this to be true, the intercept ought to be approximately equal to zero, supporting the theories for both individual assets and portfolios. However, the testing provides evidence against the CAPM, but do they do? It should be kept in mind that it does not necessarily represent evidence in favor of any alternative model. (original abstract)
3
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Klasyczne a innowacyjne metody szacowania kosztu kapitału własnego przedsiębiorstwa

63%
Michalak A.
Studia Ekonomiczne
|
2014
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vol. 186 cz 2
27-37
EN
The cost of the capital of a company is one of the basic parameters used in the process of the management of company's finances. The cost of equity is here of a particular importance. Its calculation is connected with numerous problems resulting from the fact that it is not directly observable and needs to be calculated with the use of some indirect methods. Due to the difficulties connected with the calculation of the cost of equity by traditional methods, there are numerous innovative suggestions presented in the literature. The purpose of this article is a review of traditional and innovative methods of estimation of the cost of equity in a company.
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