BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

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Autor
Zhang Jianhua (Göteborg University), Wihlborg Clas (Copenhagen Business School)
Tytuł
The Polish stock market : risk and risk premia
Źródło
The Poznań University of Economics Review, 2004, vol. 4, nr 2, s. 5-27, rys., tab., bibliogr. 20 poz.
Słowa kluczowe
Giełda papierów wartościowych, Premia za ryzyko, Koszty, Model wyceny aktywów kapitałowych, Wycena aktywów
Stock market, Risk premium, Costs, Capital Asset Pricing Model (CAPM), Asset valuation
Firma/Organizacja
Giełda Papierów Wartościowych w Warszawie
Warsaw Stock Exchange
Abstrakt
This paper analyzes issues related to the pricing of equity in an Eastern European emerging capital market, the Warsaw Stock Exchange (WSE), with the purpose of estimating the CAPM, and the return-risk relationship, using the domestic and the international asset-pricing model. The empirical evidence from a sample of 221 Polish firms listed on the Warsaw Stock Exchange indicates that there exists a (sign-) conditional relationship between beta and return when the domestic CAPM is tested. The international CAPM did not perform well in the early days of the transition but since 2000 the Polish stock market seems well integrated. Most likely the local market has been segmented during the early period. The cross-sectional stock returns are positively related to the downside risk variable measured by the semi-deviation from the mean, and the total risk. However, the crosssectional stock returns are also positively related to the unsystematic risk, and negatively related to other downside risk measures. In addition, firm size is found to be positively related to the cross-sectional stock returns, while the book-to-market ratio is found to have no explanatory power as regards the returns. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej w Warszawie
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
Pełny tekst
Pokaż
Bibliografia
Pokaż
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  12. Goetzmann W. and Jorion P. (1999), Re-Emerging Market, Journal of Financial and Quantitative Analysis No. 34, p. 1-32.
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Cytowane przez
Pokaż
ISSN
1643-5877
Język
eng
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