Systematic risks for the financial and for the non-financial Romanian companies
AbstractThe 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 41636.
Date of creation: 28 Feb 2010
Date of revision: 28 Feb 2010
Systematic risk; CAPM Betas; Bucharest Stock Exchange; Global Crisis; Financial and Non Financial Companies;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G20 - Financial Economics - - Financial Institutions and Services - - - General
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