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Issue 40/2016 The CEA states that the primary version is the paper one. Lesław Markowski Dolnostronne miary ryzyka a wycena aktywów kapitałowych na przykładzie sektora IT i mediów Giełdy Papierów Wartościowych w Warszawie *** Downside risk measures and capital asset pricing. Example of IT and media sectors on the Warsaw Stock Exchange Abstract The paper proposes an investigation of risk related to IT and media assets quoted on the Warsaw Stock Exchange in a downside framework. Daily returns were used to estimate three variants of downside measure, such as the beta coefficient and co- -skewness. A cross-sectional analysis provides evidence that these downside measures are priced. The analysis of investment portfolios shows that co-semi skewness is a better variable of effectiveness than downside beta. Article: PDF Table of contents of issue 40 |
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