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Dolnostronne miary ryzyka a wycena aktywów kapitałowych na przykładzie sektora IT i mediów Giełdy Papierów Wartościowych w Warszawie

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  • Lesław Markowski

    (Uniwersytet Warmińsko-Mazurski w Olsztynie)

Abstract

The paper proposes an investigation of risk related to IT and media assets quoted on the Warsaw Stock Exchange in a downside framework. Daily returns were used to estimate three variants of downside measure, such as the beta coefficient and co- -skewness. A cross-sectional analysis provides evidence that these downside measures are priced. The analysis of investment portfolios shows that co-semi skewness is a better variable of effectiveness than downside beta.

Suggested Citation

  • Lesław Markowski, 2016. "Dolnostronne miary ryzyka a wycena aktywów kapitałowych na przykładzie sektora IT i mediów Giełdy Papierów Wartościowych w Warszawie," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 40, pages 439-452.
    • Handle: RePEc:sgh:annals:i:40:y:2016:p:439-452
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    References listed on IDEAS

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    7. Hogan, William W. & Warren, James M., 1974. "Toward the Development of an Equilibrium Capital-Market Model Based on Semivariance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(1), pages 1-11, January.
    Full references (including those not matched with items on IDEAS)

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