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

Lesław Markowski
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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
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Handle: RePEc:sgh:annals:i:40:y:2016:p:439-452