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Stock market situation and relations between beta coefficients and returns determined by the CAPM on the example of companies from the ICT sector

Lesław Markowski
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Lesław Markowski: Uniwersytet Warmińsko-Mazurski w Olsztynie, Wydział Nauk Ekonomicznych, Katedra Metod Ilościowych

Collegium of Economic Analysis Annals, 2019, issue 54, 393-408

Abstract: In contrast to the classical approach, this work proposes the separate treatment of results received in periods of positive and negative market excess returns. Moreover, this study has used rather realised than average returns of the ICT sector in Poland in cross-sectional regressions. The results indicate that relations between returns and beta coefficients are the conditioned sign of market excess returns. The average value of the premium for systematic risk is significantly larger from zero in periods of positive market excess returns and significantly smaller from zero in periods of negative market excess returns. Moreover, conditional relations between average returns and beta are significant in contrast with unconditional relations. The received results underline the meaning of analysis of behaviour of realised returns towards factor risks (in the case of market risk) and confirm the usefulness of the beta coefficient as proper measures of risk, which is valid in portfolio management.

Keywords: CAPM; conditional relations; excess market returns; risk premium; ICT sector (search for similar items in EconPapers)
Date: 2019
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Handle: RePEc:sgh:annals:i:54:y:2019:p:393-408