Risk of Public Family Firms

• Autorzy: Jacek Lipiec

Warianty tytułu

Ryzyko giełdowych firm rodzinnych

• Języki publikacji: EN

Abstrakty

EN

This article tests the Value at Risk (VaR) model and its improvements to measure the risk approach of family firms and their nonfamily peers at the Warsaw Stock Exchange. The paper analyses the construction portfolio of firms listed at the Warsaw Stock Exchange between 2006 and 2012. This time period was used to compare the performance of these two portfolios in three sub-periods: during the crisis times as well as before and after the crisis. This article is based on historical and parametric Value of Risk to compare the performance of these two portfolios. In addition, it uses the Conditional Value at Risk to exhibit what happens beyond Value at Risk. This article finds that by using historical Value at Risk, family firms were on average less risky than their nonfamily peers before the latest crisis of 2008-2009. In the crisis, family firms bore more risk whereas after the crisis they were almost equally risky as nonfamily firms(original abstract)

Niniejszy artykuł omawia model Value at Risk (VaR) oraz jego odmiany umożliwiające zbadanie nastawienia do ryzyka grupy firm rodzinnych oraz nierodzinnych notowanych na Giełdzie Papierów Wartościowych w Warszawie. W niniejszym artykule poddano analizie portfel firm budowlanych notowanych na giełdzie w latach 2006-2012. Okres ten podzielono na trzy podokresy w celu zbadania efektywności firm w czasach: przedkryzysowych, kryzysowych oraz pokryzysowych. Ryzyko obu grup firm zmierzono, wykorzystując historyczne oraz parametryczne metody VaR. W analizie dodatkowo wykorzystano warunkowy Var (CVaR). Z artykułu wynika, że firmy rodzinne wykazały średnio mniejsze ryzyko niż firmy nierodzinne w okresie przedkryzysowym. W czasie kryzysu firmy rodzinne obciążone były większym ryzykiem, natomiast w okresie pokryzysowym wykazały podobny stopień ryzyka jak ich nierodzinne odpowiedniki(abstrakt oryginalny)

Słowa kluczowe

EN

Family-owned business; Risk; Value at Risk Analysis; Stock market

PL

Przedsiębiorstwo rodzinne; Ryzyko; Analiza wartości zagrożonej; Giełda papierów wartościowych

• Czasopismo: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
• Rocznik: 2015
• Numer: nr 412 Zarządzanie finansami firm - teoria i praktyka
• Strony: 185--203

Twórcy

autor

Jacek Lipiec

• Warsaw School of Economics, Poland

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Identyfikatory

DOI

10.15611/pn.2015.412.15