Model CAPM z ryzykiem płynności na polskim rynku kapitałowym
The CAPM model with liquidity risk in the Polish capital market

Summary/Abstract: The article presents the capital asset pricing model with liquidity risk. Market risk and liquidity risk in the pricing model of capital goods were listed for the purpose of identification and assessment of significance. The impact of liquidity risk on the valuation of the assets has been verified on the basis of rates of return and volume of shares of companies listed on the Warsaw Stock Exchange in the period from 2000 to 2014. In the estimation of the parameters of the CAPM model with liquidity risk has been applied generalized method of moments GMM. The study examined the accuracy of modeling the expected returns of equity portfolios. The article presents the results of approximation of the expected returns of portfolios diversified liquidity costs and the conditions under which liquidity risk improves the accuracy of the valuation of assets in the capital market.

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