| Autor: Waldemar Tarczyński | 199 |
Strony: 199-213
pełen tekst
ANOTHER PROPOSAL OF EVALUATION THE BETA COEFFICIENT ON THE POLISH CAPITAL MARKET
Summary
The Sharpe model is among the most important investment tools on the capital market. The problem involved in its application is the lack of criteria allowing for a straightforward choice of series length to estimate the model as well as the appearing instability of the beta coeffi cient, the greater with the growing length of the time series. The article proposes a procedure of determining the beta co-effi cient that enables the elimination of these inconveniences. The method was presented on the example of companies listed on the Warsaw Stock Exchange from January 2nd 2007 to November 7th 2008.
pełen tekstANOTHER PROPOSAL OF EVALUATION THE BETA COEFFICIENT ON THE POLISH CAPITAL MARKET
Summary
The Sharpe model is among the most important investment tools on the capital market. The problem involved in its application is the lack of criteria allowing for a straightforward choice of series length to estimate the model as well as the appearing instability of the beta coeffi cient, the greater with the growing length of the time series. The article proposes a procedure of determining the beta co-effi cient that enables the elimination of these inconveniences. The method was presented on the example of companies listed on the Warsaw Stock Exchange from January 2nd 2007 to November 7th 2008.