CAPM applications for appropriate stock pricing – impact of speculation companies

• Autorzy: Urbański S. , Skalna I.

Identyfikatory

DOI

10.7494/manage.2017.18.2.227

• Języki publikacji: EN

Abstrakty

EN

Research on the pricing of stocks listed on the Polish market shows a contradiction with the classic CAPM. The results of these studies are consistent with the results carried out on other developed markets. The reasons for inconsistent pricing are not known; this is the main objective of this work. It is a continuation of the authors’ previous work on the impact of speculation and penny stocks on the pricing in light of the ICAPM. Despite the scientific justifications for pricing in light of the ICAPM, a common estimate of the capital cost for companies is still performed on the basis of the classic CAPM. It has been conjectured that speculative stocks contribute to incompatible pricing in light of the CAPM. The elimination of speculative stocks would allow for the proper estimate of the cost of capital without the need of complicated and laborious ICAPM applications. The research is conducted on the basis of stocks listed on the Warsaw Stock Exchange from 1995 through 2012. The tested period is divided into two separate sub-periods: 1995–2005 (the years preceding Poland’s accession to the EU) and 2005–12 (the years of Poland’s membership in the EU). The analyzed stocks are grouped into quintile portfolios according to two variants. The pricing tests are carried out in three modes. In Mode, 1 all listed stocks are analyzed. In Modes 2 and 3, speculative stocks are excluded from the study. The research results prove the validity of the adopted conjectures.

Słowa kluczowe

EN

stock pricing; penny stocks; speculative stocks; return changes

• Wydawca: Wydawnictwa AGH
• Czasopismo: Managerial Economics
• Rocznik: 2017
• Tom: Vol. 18, no. 2
• Strony: 227--245
• Opis fizyczny: Bibliogr. 25 poz., tab.

Twórcy

autor

Urbański S.

• AGH University of Science and Technology, Faculty of Management

autor

Skalna I.

• AGH University of Science and Technology, Faculty of Management

Bibliografia

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Uwagi

Opracowanie rekordu w ramach umowy 509/P-DUN/2018 ze środków MNiSW przeznaczonych na działalność upowszechniającą naukę (2018).