Systematic risks for the financial and for the non-financial Romanian companies

Ramona Dumitriu, Razvan Stefanescu and Costel Nistor

MPRA Paper from University Library of Munich, Germany

Abstract: The systematic risk is considered as one of the most important factors that influence the investment in financial assets. Usually, it is evaluated in the framework of the Capital Asset Price Model. The systematic risk associated to firm equities is affected by some firm’s characteristics, among them being the particularities of its activity. In the last decade the financial markets from Romania experienced a substantial development interrupted by the recent global crisis that provoked significant changes for the financial risks. In this paper we study, using CAPM betas, the systematic risk for the Romanian companies listed at the Bucharest Stock Exchange. We find significant differences between the financial and the non financial companies’ systematic risks.

Keywords: Systematic risk; CAPM Betas; Bucharest Stock Exchange; Global Crisis; Financial and Non Financial Companies (search for similar items in EconPapers)
JEL-codes: G10 G11 G20 (search for similar items in EconPapers)
Date: 2010-02-28, Revised 2010-02-28
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Published in The Proceedings of the International Conference CKS 2010, “Challenges of the Knowledge Society”, Bucharest, April 23-24, 2010 – 4th Edition (2010): pp. 1786-1795

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