The statistical verification of the CAPM in the polish capital market

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Published:
Oct 21, 2006
Issue
No. 60 (2006)
Section
Artykuły
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Grażyna Trzpiot
Katedra Statystyki Akademii Ekonomicznej w Katowicach
Dominik Krężołek
Katedra Statystyki Akademii Ekonomicznej w Katowicach

DOI: https://doi.org/10.22630/EIOGZ.2006.60.55
Keywords : CAPM, beta coefficient, the Ordinary Least Square (OLS), the crosssectional regression model
Abstract
This paper presents some tests of validity of CAPM using data from the Warsaw Stock Exchange (WSE). Two approaches are presented: the traditional approach (proposed by Fama and MacBeth) and conditional approach (proposed by Pettengill, Sundaram and Mathur). The conditional approach contains additionally two tests: first one, that the excess market returns are, on average, positive and second one – that the risk – return relationship is symmetrical between periods of positive and negative excess market returns. To test the assumptions of CAPM the daily log-returns of 92 stocks listed in the WSE for the period January 2000 to December 2005 are used in this study

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How to Cite
Trzpiot, G., & Krężołek, D. (2006). The statistical verification of the CAPM in the polish capital market. Zeszyty Naukowe SGGW - Ekonomika I Organizacja Gospodarki Żywnościowej, (60), 341–351. https://doi.org/10.22630/EIOGZ.2006.60.55
References

Bryka-Kita K., Rozkrut D. Testowanie modelu CAMP na polskim rynku kapitałowym, Zeszyty Naukowe Uniwersytetu Szczecińskiego, Nr 389, Finanse. Rynki Finansowe. Ubezpieczenia. Nr 2, 2004.

Fama E. F., MacBeth J. D. Risk, return, and equilibrium: empirical tests, "Journal of Political Economy", Vol. 81, 1973, p. 607-636. (Crossref)

Gołąbowska B. Wykorzystanie współczynnika beta w podejmowaniu decyzji inwestycyjnych, praca doktorska, Akademia Ekonomiczna im. Karola Adamieckiego w Katowicach, Katowice 2002.

Pettengil G. N., Sundaram S., Mathur I. The conditional relation between beta and returns, "Journal of Financial and Quantitative Analysis", Vol. 30, No 1, March 1995, p. 101-116. (Crossref)

Sharpe W. F. Capital asset prices: a theory of market equilibrium under conditions of risk, "The Journal of Finance", Vol. 21, No 3, September 1964, p. 425-442. (Crossref)

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