COMPARISON OF RISK INDEX ESTIMATING METHODS ON THE POLISH FINANCIAL MARKET
Journal Title: e-Finanse - Year 2018, Vol 14, Issue 4
Abstract
The purpose of this paper is to determine a practical approach of calculation of the systematic risk of companies in line with the CAPM model. By performing an analysis of the methodology used in practice of determining the beta and review of the literature on the subject the accounting rules that make the best possible impact on the change in the level of risk index are determined. In this work on the Polish financial market are also carried out simulations showing the impact of the change in assumptions on the final amount of beta. Based on the empirical results there is a recommendation formulated as to what method should determine beta for public companies using the CAPM model. These boundary conditions are also possible implementations of the proposed approach and possible desirable solutions, if minimum boundary conditions are not met. The defined scope for the use of the recommended method of calculating the risk index allows us to reduce the error probability of over-or underestimation of the value of the index.
Authors and Affiliations
Krzysztof Janas
FUZZY NUMBERS IN VALUATION OF REAL INVESTMENT PROFITABILITY
In response to the weakness of traditional efficiency assessment methods taking risk into account, the modification of the Certainty Equivalent method is proposed in this paper. The possibility of connecting solutions fr...
TRADE CREDIT: A BENEFIT TO GET, A “MUST” TO GIVE? MOTIVES BEHIND TRADE CREDIT USE IN POLAND
The paper analyses the motives behind trade use credit in the Polish enterprise sector, based on the results of the 2016 NBP Annual Survey. It verifies the conclusions stemming from trade credit theories regarding both t...
IS IT WORTH BEING GOOD? – THE EFFICIENCY AND RISK OF SOCIALLY RESPONSIBLE INVESTING IN LIGHT OF VARIOUS EMPIRICAL STUDIES
The paper discusses the issue of the effects of using SRI strategies on performance and risk of investment portfolios. During the research procedure, a number of goals were executed which is reflected by the article’s st...
PUBLIC ISSUE OF BANK BONDS CASE STUDY OF BANK POCZTOWY S.A.
This article concerns the financing of banking in Poland through public bond issues addressed to individual investors. It is a case study of Bank Pocztowy, which, as one of three banks in Poland, decided to raise capital...
Crowdfunding as a mechanism for financing small and medium-sized enterprises
The implementation of an innovative idea by small and medium-sized enterprises often is difficult because of the difficulty in finding a source of financing. The modern level of development of communication technology, e...