Verification of the Conditional CAPM: The Example of the Polish Capital Market

Lesław Markowski ()
Additional contact information
Lesław Markowski: University of Warmia and Mazury in Olsztyn

A chapter in Contemporary Trends and Challenges in Finance, 2019, pp 127-135 from Springer

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

Date: 2019
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:spr:prbchp:978-3-030-15581-0_12

Ordering information: This item can be ordered from
http://www.springer.com/9783030155810

DOI: 10.1007/978-3-030-15581-0_12

Access Statistics for this chapter

More chapters in Springer Proceedings in Business and Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().