Empirical tests of the CAMP and D-CAMP models at the Warsaw Stock Exchange
The paper presents the classic approach to testing the risk-profit relation at Warsaw Stock Exchange in the context of securities pricing based on the CAPM. Next to the standard risk measure, which the beta coefficient is, one of the forms of downside beta coefficient was proposed assuming simplified assumption on the zero risk-free rate. The distributions of both risk measures indicate that securities reacted much stronger to the negative changes in the market conditions than to the combined negative and positive changes in the market index during the entire period and in the two sub-periods. The classic beta coefficient is not the only significant systematic risk measure. Investors are rewarded with a positive and statistically significant premium also for the risk related to unfavourable changes in the market. It should be highlighted that during the bear market periods the D-CAPM model describes mean rates of return better than the classic approach. The model of downside risk framework would probably play a greater role in case of negatively skewed distributions of returns than in the situation of positively skewed distributions that occurred in case of the majority of the securities. Additionally, the results of the expanded forms of both CAPM and D-CAPM offer the base for formulating the general conclusion that pricing of securities at Warsaw Stock Exchange is not consistent with the standard form of the CAPM. The specific risk measured by the residual variance from Sharpe's equations represents a significant factor influencing securities pricing. Additionally, empirical tests showed significance of non-linear relationship between the mean returns and systematic risk measures. (fragment tekstu)
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