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Application of downside beta for risk assessment based on the example of companies listed at warsaw stock exchange in the bull and bear market phases

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  • Anna Rutkowska-Ziarko

Abstract

The main aim of research was to check if downside risk is priced at Warsaw Stock Exchange. The analyzing of changing in models parameters in different phase of economic situation was the additional aim. Semi-variance was better measure of risk then variance in capital asset pricing model. The best way is use semi-beta and classic beta together in one model.

Suggested Citation

  • Anna Rutkowska-Ziarko, 2010. "Application of downside beta for risk assessment based on the example of companies listed at warsaw stock exchange in the bull and bear market phases," Acta Universitatis Nicolai Copernici, Ekonomia, Uniwersytet Mikolaja Kopernika, vol. 41, pages 71-82.
    • Handle: RePEc:cpn:umkanc:2010:p:71-82
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