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Author
Urbański Stanisław (AGH University of Science and Technology Kraków, Poland)
Title
The Cost of Capital for Investment in the Warsaw Stock Exchange Indexes - Versus Djia
Source
Folia Oeconomica Stetinensia, 2021, vol. 21, iss. 1, s. 122-143, rys., tab., bibliogr. 26 poz.
Keyword
Model wyceny aktywów kapitałowych, Koszt kapitału, Premia za ryzyko, Metody samowsporne
Capital Asset Pricing Model (CAPM), Capital cost, Risk premium, Bootstrap
Note
JEL Classification: G11, G12
summ.
This work is supported by the National Science Centre, Poland (Research Grant 2015/19/B/HS4/01294).
Abstract
Research background and purpose: The CAPM, Fama-French and modified Fama-French models were used to estimate the cost of the capital of the DJIA and selected Polish stock indexes were used. The estimated cost of capital was the cost of the portfolio of corporate investment projects estimated by market returns. Research methodology: The model tests were run on 276 monthly returns of stocks listed on the markets in the years 1995-2019. The bootstrap method to estimate the confidence interval of the cost of capital was used. Results: The highest and positive cost of capital median was found for the DJIA index, about 0.85% monthly, and for the WIG20 and WIGDIV indexes, about 0.25% monthly. The cost of capital median for the mWIG80, WIGBANK and WIGCHEMIA indexes were found to be negative. This was due to large errors in the estimated cost of capital. Novelty: Minor errors in the estimation of the cost of capital of index DJIA may result from a more rational policy for the implementation of investment projects by companies included in the index. (original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
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ISSN
1730-4237
Language
eng
URI / DOI
http://dx.doi.org/10.2478/foli-2021-0009
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