Application of downside beta for risk assessment based on the example of companies listed at warsaw stock exchange in the bull and bear market phases

Anna Rutkowska-Ziarko

Acta Universitatis Nicolai Copernici, Ekonomia, 2010, vol. 41, 71-82

Abstract: The main aim of research was to check if downside risk is priced at Warsaw Stock Exchange. The analyzing of changing in models parameters in different phase of economic situation was the additional aim. Semi-variance was better measure of risk then variance in capital asset pricing model. The best way is use semi-beta and classic beta together in one model.

Keywords: capital asset pricing model; semi-variance; downside risk; semi-beta. (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkanc:2010:p:71-82

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