Application of downside beta to systematic risk assessment on the Warsaw Stock Exchange during changeable trend cycles
DOI:
https://doi.org/10.12775/AUNC_ECON.2010.005Keywords
capital asset pricing model, semi-variance, downside risk, downside betaAbstract
The immediate objective of the study was to analyze whether the downside risk is priced at the Warsaw Stock Exchange. The intermediate objective was to analyze changes in the parameters in the capital asset pricing models at different trend cycles of the stock exchange market. It was found that semi-variance had a more noticeable effect on the capital asset pricing than the variance. The application of the CAPM extended model proved that the profitability of the stocks can be best modeled by using the combination of both the classic and the downside beta.
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