Application of Blume Method in Forecasting Risk on the Example of Public Companies Listed on WIG20

• Autorzy: Bartłomiej Lisicki
• Języki publikacji: EN

Abstrakty

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.(original abstract)

Słowa kluczowe

EN

Public companies; Risk; Shares

PL

Spółki publiczne; Ryzyko; Akcje

• Czasopismo: Scientific Journal of Bielsko-Biala School of Finance and Law
• Rocznik: 2017
• Numer: nr 3
• Strony: 30--44

Twórcy

autor

Bartłomiej Lisicki

• University of Economics in Katowice, Poland

Bibliografia

• [1.] Resolution of 15/12/2016 No. 1343/2016 of the Management Board of the Warsaw Stock Exchange regarding the sectoral classification of listed companies and companies whose financial instruments are introduced to the alternative trading system.
• [1] Anholcer M., Gaspars-Wieloch H., Owczarkowski A. (2010), Ekonometria z Excelem. Przykłady i zadania, the University of Economics in Poznań, Poznań.
• [2] Blume M. (1971), On the assessment of risk, The Journal of Finance, Vol. XXVI, No 1, p. 1-10.
• [3] Blume M. (1975), Betas and their regression tendencies, The Journal of Finance, Vol. XXX, No 3, p. 785-795.
• [4] Brealey R.A., Myers S.C. (1999), Podstawy finansów przedsiębiorstw, vol. I and II, transl. J. Katolik, PWN, Warszawa.
• [5] Feder-Sempach E. (2012), Analiza porównawcza prognozy dla wybranych spółek z indeksu WIG20 [in:] J. Handschke, W. Przybylska- Kapuścińska (ed.), Rynki finansowe i ubezpieczenia: Nowe perspektywy instytucji i instrumentów, the University of Economics in Poznań, Poznań, no 143/2010, pp. 84- 91.
• [6] Feder-Sempach E. (2017), Efekt interwału w oszacowaniach współczynnika beta na podstawie akcji spółek z indeksu WIG20 i DAX w okresie 2005-2015-Analiza porównawcza, Economic Studies of the University of Economics in Katowice, Katowice, no 325/2017, pp. 20-30.
• [7] Jajuga K., Jajuga T. (2004), Inwestycje, PWN, Warszawa.
• [8] Jonek-Kowalska I. (2017), Pomiar i ocena ryzyka w przedsiębiorstwach górniczych-perspektywa międzynarodowa, Scientific Journal of the Silesian Technical University, no 1974/2017, pp. 207-222.
• [9] Markowitz H. (1959), Portfolio selection. Efficient diversification of investment, Cowles Foundation for Research in Economics at Yale University, New York.
• [10] Sharpe W. (1963), A Simplified Model for Portfolio Analysis, Management Science, Vol. IX, No 2.
• [11] Pera K., Buła R., Mitrenga D.(2014), Modele inwestycyjne, C. H. Beck, Warszawa.
• [12] Rydzewska A. (2016), Contemporary nature of stock exchange from the prospective of demutualization process, Oeconomia Copernicana, Nicolas Copernicus University in Toruń, vol. 7, issue 1, 2016, pp. 49-62.
• [13] Vasicek O. (1973), A note on using cross-sectional information in Bayesian estimation of security betas, The Journal of Finance,Vol.28, No5, pp. 1233-1239.
• [14] Welfe A. (2003), Ekonometria, PWE, Warszawa.
• [15] Węgrzyn H. (2016), Szacowanie kosztu kapitału własnego przedsiębiorstwa z branży telekomunikacyjnej z wykorzystaniem metody AHP, WSH Scientific Journal. Management, no 3/2016, pp. 403-422.
• [1] https://www.gpw.pl/akcje_i_pda_notowania_ciagle (access 26.12.2016).
• [2] https://www.stooq.pl (access 22.12.2016).

Identyfikatory

DOI

10.19192/wsfip.sj3.2017.2