Koniunktura giełdowa a relacje między współczynnikami beta i stopami zwrotu określone modelem CAPM na przykładzie spółek sektora teleinformatycznego

• Autorzy: Lesław Markowski

Warianty tytułu

Stock market situation and relations between beta coefficients and returns determined by the CAPM on the example of companies from the ICT sector

• Języki publikacji: PL

Abstrakty

Postulaty modelu CAPM pozwalają postawić hipotezę, że w warunkach racjonalnych zachowań inwestorów istnieje określenie ogólnego zachowania się wszystkich uczestników rynku i w konsekwencji sposobu stanowienia cen i stóp zwrotu, które zapewniają równowagę popytu i podaży na tym rynku2. Specyfikacja modelu równowagi określa właściwą miarę ryzyka oraz precyzuje zależności między oczekiwanymi stopami zwrotu i ryzykiem dla dowolnego waloru lub portfela w warunkach równowagi. Zależność tę przedstawiają równania E. J. Eltona i M. J. Grubera(fragment tekstu)

EN

In contrast to the classical approach, this work proposes the separate treatment of results received in periods of positive and negative market excess returns. Moreover, this study has used rather realised than average returns of the ICT sector in Poland in cross-sectional regressions. The results indicate that relations between returns and beta coefficients are the conditioned sign of market excess returns. The average value of the premium for systematic risk is significantly larger from zero in periods of positive market excess returns and significantly smaller from zero in periods of negative market excess returns. Moreover, conditional relations between average returns and beta are significant in contrast with unconditional relations. The received results underline the meaning of analysis of behaviour of realised returns towards factor risks (in the case of market risk) and confirm the usefulness of the beta coefficient as proper measures of risk, which is valid in portfolio management(original abstract)

Słowa kluczowe

PL

Koniunktura giełdowa; Technologie informacyjne i telekomunikacyjne; Współczynnik Beta

EN

Stock market outlook; Information and Communication Technology (ICT); Beta factor

• Czasopismo: Roczniki Kolegium Analiz Ekonomicznych / Szkoła Główna Handlowa
• Rocznik: 2019
• Numer: nr 54 Rozwój gospodarki informacyjnej : wybrane aspekty
• Strony: 393--407

Twórcy

autor

Lesław Markowski

• Uniwersytet Warmińsko-Mazurski w Olsztynie

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