ESTIMATION OF RISK-RETURN RELATION PARAMETERS IN THE CONTEXT OF THE APT MODEL

• Authors: Kobylinska Malgorzata , Markowski Leslaw
• Languages of publication: EN

Abstracts

EN

Pricing of capital instruments is one of the important problems in the theory of finance. Theoretical studies resulted in appearance of 'Multi-Index Models', defining the correlation between the profitability of individual securities and a number of systematic risk factors. In the basis of those models another, different from the classical Markowitz theory, method for determining the risk of investment was given specifying at the same time the risk measure appropriate for that model. As a result of further works the 'Arbitrage Pricing Theory' - APT was formulated. The article shows an attempt at pricing capital investments in shares of innovation SiTech segment companies determined by means of the APT model. It was assumed that the rates of return are generated by two-index model in which the general stock exchange market situation and the teleinformation sector market situation are the sources of risk. Analysis of the relation described by that model was supported by the non-typical observations elimination methods based, among others on the measures of depth of the observations in the sample. Estimations of the cross section regression, following the elimination of non-typical observations indicate that investments in modern technology securities are characterized by positive and statistically significant premium for market risk. On the other hand, it was determined that the influence of sectoral risk on the expected tares of return for analyzed companies was insignificant statistically.

Keywords

EN

APT MODEL; DEPTH MEASURES; NON-TYPICAL OBSERVATIONS

Discipline

• ECONOMICS: ECONOMICS

• Publisher: Uniwersytet Warmińsko-Mazurski w Olsztynie
• Journal: Olsztyn Economic Journal
• Year: 2009
• Volume: 4
• Issue: 1
• Pages: 26-38
• Document type: ARTICLE

Contributors

author

Kobylinska Malgorzata

author

Markowski Leslaw

• Malgorzata Kobylinska, Uniwersytet Warminsko-Mazurski w Olsztynie, Katedra Metod Ilosciowych, ul. Oczapowskiego 4, 10-957 Olsztyn, Poland

Identifiers

CEJSH db identifier

10PLAAAA076717