EconPapers    
Economics at your fingertips  
 

Dolnostronne miary ryzyka a wycena aktywów kapitałowych na przykładzie sektora IT i mediów Giełdy Papierów Wartościowych w Warszawie

Lesław Markowski
Additional contact information
Lesław Markowski: Uniwersytet Warmińsko-Mazurski w Olsztynie

Collegium of Economic Analysis Annals, 2016, issue 40, 439-452

Abstract: The paper proposes an investigation of risk related to IT and media assets quoted on the Warsaw Stock Exchange in a downside framework. Daily returns were used to estimate three variants of downside measure, such as the beta coefficient and co- -skewness. A cross-sectional analysis provides evidence that these downside measures are priced. The analysis of investment portfolios shows that co-semi skewness is a better variable of effectiveness than downside beta.

Keywords: downside risk; beta coefficient; co-skewness; CAPM; IT sector (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://rocznikikae.sgh.waw.pl/p/roczniki_kae_z40_32.pdf Full text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sgh:annals:i:40:y:2016:p:439-452

Access Statistics for this article

Collegium of Economic Analysis Annals is currently edited by Joanna Plebaniak, Beata Czarnacka-Chrobot

More articles in Collegium of Economic Analysis Annals from Warsaw School of Economics, Collegium of Economic Analysis Contact information at EDIRC.
Series data maintained by Michał Bernardelli ().

 
Page updated 2017-09-29
Handle: RePEc:sgh:annals:i:40:y:2016:p:439-452