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

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  • Dumitriu, Ramona
  • Stefanescu, Razvan
  • Nistor, Costel

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.

Suggested Citation

  • Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2010. "Systematic risks for the financial and for the non-financial Romanian companies," MPRA Paper 41636, University Library of Munich, Germany, revised 28 Feb 2010.
    • Handle: RePEc:pra:mprapa:41636
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    References listed on IDEAS

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    More about this item

    Keywords

    Systematic risk; CAPM Betas; Bucharest Stock Exchange; Global Crisis; Financial and Non Financial Companies;
    All these keywords.

    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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