Relacje między systematycznymi miarami ryzyka inwestycji kapitałowych w podejściu klasycznym i dolnostronnym
The Relationships Between Systematic Measures of Risk of Capital Investments in the Classical and Downside Framework

Summary/Abstract: Purpose – The aim of this study was to present the relationship between classical and downside beta coefficients in the context of data generating process. Design/Methodology/approach – The theoretical analysis were the basis for determining the relationship between the beta coefficients in the classical and downside framework. Empirical studies based on regression analysis and correlation of the time series of monthly returns sectoral indices quoted Warsaw Stock Exchange. Findings – Our results suggest that the relationships between classical and downside systematic risk measuresdepend on the basic parameters of the distribution of returns of market portfolio approximation. There are statistically significant correlations between the standard deviation, asymmetry and kurtosis of market portfolio and measures expressing the relation of beta coefficients. Originality/Value – The arguments may be an indication of choosing a systematic risk measures and evaluationof the real beta coefficients. This choice is determined by the data generating process, which may contribute todiscrepancies between results of CAPM tests.

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