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Further evidence on the validity of CAPM: The Warsaw Stock Exchange application

Author

Listed:
  • Markowski Lesław

    (Department of Finance, Faculty of Economic Sciences, University of Warmia and Mazury in Olsztyn, Poland)

Abstract

Aim/purpose – The purpose of the research is to verify the Capital Asset Pricing Model (CAPM) in the Polish capital market based on a conventional and downside risk approach.

Suggested Citation

  • Markowski Lesław, 2020. "Further evidence on the validity of CAPM: The Warsaw Stock Exchange application," Journal of Economics and Management, Sciendo, vol. 39(1), pages 82-104, March.
    • Handle: RePEc:vrs:jecman:v:39:y:2020:i:1:p:82-104:n:6
    DOI: 10.22367/jem.2020.39.05
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    References listed on IDEAS

    as
    1. I-Hsuan Ethan Chiang, 2016. "Skewness And Coskewness In Bond Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 39(2), pages 145-178, June.
    2. Post, Thierry & van Vliet, Pim, 2006. "Downside risk and asset pricing," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 823-849, March.
    3. Fabozzi, Frank J & Francis, Jack Clark, 1977. "Stability Tests for Alphas and Betas over Bull and Bear Market Conditions," Journal of Finance, American Finance Association, vol. 32(4), pages 1093-1099, September.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    downside risk; co-skewness; conditional relationship; CAPM;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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