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ANALIZA EFEKTYWNOŚCI PORTFELI ZBUDOWANYCH W OPARCIU O BETY MNK I GARCH

100%
Wolski R.
Acta Universitatis Lodziensis. Folia Oeconomica
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2014
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vol. 2
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issue 301
PL
Współczynnik beta jest jednym z najpopularniejszych wskaźników stosowanych przez inwestorów, jednak niewielu z nich zadaje sobie trud by dokładnie przeanalizować jego charakterystykę zadawalając się danymi dostępnym w wyspecjalizowanych bazach. Powstaje pytanie, czy inwestorzy słusznie ignorują dokładną metodologię wyliczania bety, czy różnice jakie mogą się pojawić w związku z efektem ARCH i brakiem rozkładu normalnego przy danych finansowych mają znaczenie praktyczne. W artykule autor postanowił przetestować współczynnik beta obliczany klasyczną metodą MNK – beta bezwarunkowa i metoda GARCH (1,1) – beta warunkowa. Porównanie otrzymanych wyników pozwoliło na pewne refleksje związane z naturą inwestorów, ale także pozwoliło zbliżyć się do odpowiedzi, czy różnice w wyznaczonych współczynnikach mają jakieś znaczenie. Wyniki przeprowadzonych badań wydają się sugerować, że zbytnie przywiązywanie wagi do wymogów formalnych nie ma znaczenia dla przeciętnego inwestora, a dla powodzenia inwestycji najważniejsze jest określenie „rzędu” wielkości bety, nie jej dokładnej wartości. The beta ratio is one of the most popular indicators used by investors. However, few of them bothers to carefully examine its characteristics, and most of them just take the data available in specialized databases. The question is whether investors are right to ignore the exact methodology for calculating beta, or differences which may arise in connection with the ARCH effect and the lack of a normal distribution with financial data have practical significance. In the article, the author decided to test a beta calculated using classical method of least squares and GARCH (1,1) method. Comparison of the results led to some of the reflections of the nature of the investors, but also made it possible to get closer to the answer whether differences in designated coefficients are some important. The results of the study seem to suggest that too much importance attached to the formal requirements does not matter to the average investor, and for the success of the investment is enough to determine the approximate value of beta, not its exact value.
2

APPLICATION OF BLUME’S BETA ADJUSTMENT METHOD IN RISK PREDICTION ON THE EXAMPLE OF WIG20 COMPANIES

100%
Lisicki B.
Zeszyty Naukowe Wyższej Szkoły Finansów i Prawa w Bielsku-Białej
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2017
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issue 3
EN
The paper presents the results of studies on the use of Blume’s beta to identify systematic risk of companies listed on the Warsaw Stock Exchange. For this purpose, beta values for WIG20 companies for 2014-2016 were calculated. Weekly rates of return on stocks of certain companies were used in the calculations. Once the annual betas were estimated, the author conducted regression of the results to develop an equation that would enable an estimation of parameters for the future period. In most of the analyzed cases, values of beta parameters calculated on the basis of historical data and the data obtained by Blume’s method were similar. Therefore, Blume’s adjustment method is a good tool for forecasting market risk level of shares of companies listed on the Polish stock exchange.
3

Testing the CAPM in Bosnia and Herzegovina with Continuously Compounded Returns

100%
Zaimović A.
South East European Journal of Economics and Business
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2013
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vol. 8
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issue 1
35-43
EN
The capital markets of neighboring transitional Western Balkan countries have attracted a lot of interest from domestic and international investors in the last decade, who view them as an attractive alternative to investing in more developed markets. These markets are characterized by higher returns, and higher volatility of stock returns as compared to those of developed markets. The recent economic and financial crises devastated capital markets worldwide. The new Bosnian capital market faced its hardest times following the withdrawal of international investors. The aim of this paper is to explore whether there is a standard relation between stock returns and market portfolio returns, as proposed by the Sharpe-Lintner Capital Asset Pricing Model (CAPM), in the stock market of Bosnia and Herzegovina. We tested the model hypotheses with a traditional two-stage regression procedure using the OLS method, using continuously compounded (logarithmic) returns on stocks. Our study indicates that despite the crisis the systematic risk measured by the beta coefficient is priced and that the beta premium is positive. Nevertheless, the Security Market Line (SML) intercepts the ordinate lower than the risk free rate of return. Other factors might also influence stock returns in this market.
4
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Should risk-averse investors target the portfolios of socially responsible companies?

88%
Valls Martínez M. d. C., Soriano Román R., Martín Cervantes P. A.
Oeconomia Copernicana
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2022
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vol. 13
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issue 2
439-474
EN
Research background: Companies are required to implement Corporate Social Responsibility (CSR) policies to mitigate the adverse social and environmental effects of their activities and gain legitimacy in the eyes of society. Sustainability initiatives are costly for companies but, at the same time, they are important value-creation drivers. Retail and institutional investors are increasingly choosing portfolios based on CSR performance. However, the relationship between CSR and market beta has hardly been studied at all in the literature, and no direct comparison of the U.S. and European markets has been conducted. Purpose of the article: The two fundamental variables that define an investment are return and risk, and the appropriate risk-return combination depends on the profile of the investors. This research aims to analyze the relationship between CSR and market risk, understood as price volatility and measured by market beta in the U.S. and European markets. Methods: Companies listed in the S&P 500 and Euro Stoxx 300 indexes from 2015 to 2019 were examined using OLS regressions with instrumental variables (IV) and fixed effects panel data. Findings & value added: The results show that those companies with higher CSR have betas below the market index in the U.S. market as well as lower volatility, and are, therefore, more appropriate choices for risk-averse investors. However, this relationship was not confirmed in the European market. This difference may be justified by two reasons: 1) The non-adherence of the United States to the Kyoto Protocol, resulting in less strict legal regulations than in Europe; 2) In the U.S. market, betas are more aggressive, while in the European market they are more defensive, with little margin for reduction. This research contributes to the current state of knowledge by providing empirical evidence that social, environmental, and corporate governance sustainability practices reduce stock volatility in the U.S. capital market, which is highly relevant for private and institutional investors who make their investments based on moral criteria. The results are current and reliable since they cover a broad and recent period for two of the most important stock market indexes.
5
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Analysis of risks and investments’ opportunities in water sector

75%
Zeneli F.
Academicus. International Scientific Journal
|
2016
|
issue 13
128-137
EN
While water demand is projected to grow by 41% by 2030, considering also the ultimate reserves of drinking water, it is believed that this element will attract the majority of investments in the coming decades. Opportunities in drinking water sector are numerous, because its process of providing and delivery of drinking water includes many aspects: management of infrastructure, design of technological solutions, conservation and water’s quality. These opportunities result from the difference between water supply and water demand; an increasingly difference that requires capital investments in production and water treatment technologies. Investments need to be combined with the knowledge on the legislation, regulatory framework and technological developments. This article may serve to clarify type of investments in drinking water sector, known by literature, to identify opportunities of investment in this sector, indicating the theoretical framework of beta and alpha risk ratio coefficient calculation and to suggest how these types of investments can be allocated to the investment portfolios.
6

How to Perform Discounted Cash Flow Valuation?

63%
Janiszewski S.
Foundations of Management
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2011
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vol. 3
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issue 1
81-96
EN
Within the last few decades the quickly accelerating globalization processes contributed to rapid increase in the value of the global capital markets, and mergers and acquisitions transactions. This implicated the rising importance of methodologies that enable investors to efficiently value the companies. The aim of this elaboration is to present practical approach towards the discounted cash flow company valuation method, considered one of the most effective but simultaneously one of the most sophisticated among all. The article comprises purely theoretical as well as practical knowledge, based on the author's broad professional experiences.
7
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Persistence of Beta of Mutual Funds Operating in Poland

63%
Wieloch M.
Journal of Management and Financial Sciences
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2015
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vol. 22(4)
45-56
EN
The research of the persistence of beta of mutual funds operating in Poland, based on half of the general population of Polish equity mutual funds, was conducted primarily in order to examine whether there is any variation of systematic risk in mutual funds operating in Poland. The level of this kind of risk was measured and its volume evaluated. The thesis assuming the absence of volatility risk measured by the beta indicator was rejected. The results of this study were used to propose a novel risk indicator for mutual funds – the Synthetic Indicator of Systematic Risk Volatility (SISRV), which takes into account both the level of beta volatility of funds and its dispersion (maximum drawdown).
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