VOLATILITY - GOOD OR BAD? ANALYSIS OF THE POLISH STOCK MARKET (Zmiennosc - dobra czy zla? Analiza polskiego rynku kapitalowego)
Treść / Zawartość
The application of the Capital Asset Pricing Model, which is a mean-variance technique, requires the distribution of stock returns to be symmetric. Securities traded on many emerging capital markets, including the Warsaw Stock Exchange (WSE), usually do not have such a feature. In these cases, methods of risk evaluation based on semivariance seem to be superior to those based on total variance. Since the ratio of companies having asymmetric stock return distributions is still high (although it is declining each year, proving that the Polish market is becoming increasingly mature year after year), methods based on semivariance (three versions of downside Capital Asset Pricing Model) are used to assess investment risk. The outcomes obtained conclude that the best results for assessing the risk of negative deviations in rate of returns on the Polish capital market is provided by the Bawa and Lindenberg model.
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