Empirical tests of the CAMP and D-CAMP models at the Warsaw Stock Exchange

• Autorzy: Lesław Markowski
• Języki publikacji: EN

Abstrakty

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)

Słowa kluczowe

EN

Risk management; Investment; Stock market

PL

Zarządzanie ryzykiem; Inwestycje; Giełda papierów wartościowych

• Czasopismo: Prace Naukowe / Uniwersytet Ekonomiczny w Katowicach
• Rocznik: 2013
• Tom: Zastosowanie metod ilościowych w zarządzaniu ryzykiem w działalności inwestycyjnej
• Strony: 57--70

Twórcy

autor

Lesław Markowski

• Uniwersytet Warmińsko-Mazurski w Olsztynie

Bibliografia

• Artavanis N., Diacogiannis G., Mylonakis J., The D-CAPM: The Case of Great Britain and France, "International Journal of Economics and Finance" 2010, Vol. 2, No. 3.
• Bawa V.S., Lindenberg E.B., Capital Market Equilibrium in a Mean-Lower Partial Moment Framework, "Journal of Financial Economics" 1977, Vol. 5.
• Chow K.V., Denning K.C., On Variance and Lower Partial Moment Betas the Equivalence of Systematic Risk Measure, "Journal of Business Finance & Accounting" 1994, No. 21(2).
• Elton E.J., Gruber M.J., Nowoczesna teoria portfelowa i analiza papierów wartościowych, Wig Press, Warszawa 1998.
• Estrada J., Systematic risk in emerging markets: the D-CAPM, "Emerging Markets Review" 2002, No. 3.
• Estrada J., Mean-semivariance behavior: Downside risk and capital asset pricing, "International Review of Economics & Finance" 2007, No. 16.
• Galagedera U.A., Brooks R. D., Is co-skewness a better measure of risk in the downside than downside beta? Evidence in emerging market data, "Journal of Multinational Financial Management" 2007, No. 17.
• Harlow W.V., Rao R.K.S., Asset pricing in a generalized mean-lower partial moment framework: theory and evidence, "Journal of Financial and Quantitative Analysis" 1989, No. 24.
• Hogan W., Warren J., Toward the development of an equilibrium capital-market based on semivariance. "Journal of Finance and Quantitative Analysis" 1974, January.
• Kim D., The Errors in the Variables Problem in the Cross-Section of Expected Stock Return, "Journal of Finance" 1995, No. 5.
• Markowski L., Asymetryczne miary ryzyka w wycenie aktywów kapitałowych na GPW w Warszawie, Prace Naukowe UE we Wrocławiu nr 117, Inwestycje finansowe i ubezpieczenia-tendencje światowe a polski rynek, Wrocław 2010.
• Pedersen C.S., Hwang S., Does downside beta matter in asset pricing?, "Applied Financial Economics" 2007, No. 17.13.
• Price K., Price B., Nantell T.J., Variance and lower partial moment measures of systematic risk: some analytical and empirical results, "The Journal of Finance" 1982, No. 3.
• Post T., van Vliet P., Downside risk and asset pricing, "Journal of Banking & Finance" 2006, No. 30.
• Rutkowska-Ziarko A., Markowski L., Wykorzystanie dolnostronnych współczyn-ników beta do oceny ryzyka na przykładzie spółek notowanych na GPW w Warszawie, Uniwersytet Ekonomiczny, Wrocław 2009.