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2009 | 8 | nr 1 | 140-153
Tytuł artykułu

The Influence of Negative Beta Assets on the Empirical SML in the Polish Capital Market

Autorzy
Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The classical approach to the SML assumes that it is a straight line, which means that an investor is willing to accept lower return on the negative beta assets than on the risk-free assets. However, Cloninger, Waller, Bendeck and Revere (2004) challenged this commonly accepted approach. The author of the paper decided to verify the approach using empirical data for years 1999-2006 obtained from the Warsaw Stock Exchange. Finance theoreticians believe that the SML is linear, which means that an investor buying negative beta assets is willing to accept lower return than in the case of a risk-free asset. Cloninger et al. (2004) formulated a hypothesis stating that the SML is V-shaped and that it is not a straight line. It was concluded that an investor had no reason to accept lower return of the negative beta assets; quite the contrary, the investor would expect the same return as on the positive beta ones. The author of this article performed an investigation for the Polish market, taking advantage of companies quoted at the Warsaw Stock Exchange. The investigation demonstrated that between 1999 and 2006, the SML had a V-like shape and thus the research hypothesis formulated in the article was positively verified. (original abstract)
Rocznik
Tom
8
Numer
Strony
140-153
Opis fizyczny
Twórcy
  • University of Lodz, Poland
Bibliografia
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171194687
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