ŚREDNIA RYNKOWA STOPA ZWROTU INDEKSU WIG JAKO NARZĘDZIE W MODELU CAPM DO PREDYKCJI ZMIAN CEN AKCJI NOTOWANYCH NA RYNKU REGULOWANYM W LATACH 2009–2013
THE AVERAGE MARKET RATE OF RETURN OF WIG AS A TOOL IN CAPM MODEL FOR THE PREDICTION OF PRICE CHANGES OF STOCKS LISTED ON THE REGULATED MARKET IN 2009–2013
Author(s): Marcin Jan FlotyńskiSubject(s): Economy, Methodology and research technology, Policy, planning, forecast and speculation, Financial Markets
Published by: Wydawnictwo Naukowe Uniwersytetu Szczecińskiego
Keywords: model CAPM; portfolio theory; risk premium; beta coefficient; risk-free rate of return;
Summary/Abstract: In the article the CAPM model has been presented as well as the issue of utilizing the appropriate market rate of return. The empirical study based on the data from the Warsaw Stock Exchange has been conducted. The time scope embraces years 2009–2013 after the global financial crisis. Calculations have been carried out of 60 the biggest and most liquid public shares. Their rates of return were utilized to verify the usefulness of long-term average rate of return of market portfolio as a parameter of one-factor CAPM for forecasting rates of return of stocks.
Journal: Studia i Prace WNEIZ US
- Issue Year: 2015
- Issue No: 40/1
- Page Range: 153-169
- Page Count: 17
- Language: Polish
