Is D-CAPM Superior to CAPM When Assessing Investment Risk on the Polish Stock Market?

2010 ◽  
Author(s):  
Wiktor Cwynar ◽  
Piotr Kazmierkiewicz
Keyword(s):  
Stock Market ◽  
Investment Risk

scholarly journals Do investors care about CSR? Evidence from Polish public listed companies

2020 ◽  
Vol 23 (4) ◽  
pp. 53-63
Author(s):  
Agnieszka Kłysik-Uryszek
Keyword(s):  
Corporate Social Responsibility ◽  
Stock Market ◽  
Social Responsibility ◽  
Lower Risk ◽  
Listed Companies ◽  
Investment Risk ◽  
Rates Of Return ◽  
Csr Strategy ◽  
Corporate Social

The CSR (corporate social responsibility) concept has become an increasingly important part of corporations’ strategies and plans. However, it does not have to translate into investors’ decisions to buy their shares. The article investigates the relationships between companies implementing a CSR strategy, the rates of return on their stocks, and their investment risk. The paper aims to verify whether applying a CSR strategy affects stock market parameters (lower risk, higher investment profitability) and whether investors consider CSR companies less risky or more profitable and reliable than non-CSR firms. The following hypotheses have been formulated: (I) CSR companies are less risky (in terms of investment risk) than non-CRS ones; (II) CSR companies are characterized by higher rates of return than non-CSR ones.

Stock market bubbles, inflation and investment risk

2008 ◽  
Vol 17 (3) ◽  
pp. 592-603 ◽  
Author(s):  
Kasimir Kaliva ◽  
Lasse Koskinen
Keyword(s):  
Stock Market ◽  
Investment Risk ◽  
Stock Market Bubbles

scholarly journals TESTING THE GARCH MODEL IN THE VIETNAMESE STOCK MARKET

2010 ◽  
Vol 13 (4) ◽  
pp. 5-14
Author(s):  
Hien Thu Nguyen ◽  
Nghi Dinh Le
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Trading Volume ◽  
Garch Model ◽  
Conditional Variance ◽  
Investment Risk ◽  
The Garch Model

An important factor of interest of investors on stock markets is investment risk. Risk can undergo a quantitative process through volatility, be measured by conditional variance of stock returns. GARCH is an effective and popularly used model for volatility effect on stock returns. This study tests the GARCH model and analyzes other aspects of volatility on stock returns on the two stock markets of Vietnam. In addition, the study provides evidence of the existence of GARCH effect on Vietnamese stock markets. Besides, the study also assesses price margin policy, trading volume and leverage effects on volatility of stock returns.

scholarly journals Investment Risk in the Context of Price Changes on the Real Estate and Stock Markets

2016 ◽  
Vol 24 (1) ◽  
pp. 41-50 ◽  
Author(s):  
Rafał Wolski
Keyword(s):  
Real Estate ◽  
Stock Market ◽  
Housing Market ◽  
Statistical Tests ◽  
Real Estate Market ◽  
Investment Risk ◽  
Residential Real Estate ◽  
Rates Of Return ◽  
Housing Needs ◽  
Secondary Housing Market

Abstract The residential real estate market is thought to show a tendency for wide fluctuations in prices, as a result of which price bubbles appear. This element of risk has a direct bearing on investors interested in speculation and those seeking to meet their housing needs. Wide fluctuations in the values of real estate affect the investors’ financial situation in many ways, by determining the possibility of meeting one’s housing needs, reducing or sometimes raising creditworthiness, and by increasing investment risk measured by volatility. Omitting the obvious social dimension of the residential real estate market and concentrating on its financial aspects, the author of the article analyses to what degree wide swings in prices can be recognized as specific to this market. To this end, the volatility of prices in the stock market and in the secondary housing market in Poland is compared. An analysis is performed to establish which of them has higher average volatility measures or rates of return, i.e. which of them is more profitable or secure for investors. Statistical tests are used to find out whether average rates of return or measures of risk are equal or different between the two markets. The results of the research show that the secondary housing market and the stock market differ concerning cumulative average rates of return and standard deviations. In the first of them, they are respectively higher and lower.

scholarly journals The Influence of Profitability Ratios and Company Size on Profitability and Investment Risk in the Capital Market

2015 ◽  
Vol 15 (1) ◽  
pp. 151-161 ◽  
Author(s):  
Anna Rutkowska-Ziarko
Keyword(s):  
Stock Market ◽  
Capital Market ◽  
Stock Exchange ◽  
Average Level ◽  
Investment Risk ◽  
Rates Of Return ◽  
Average Value ◽  
Warsaw Stock Exchange ◽  
Profitability Ratios ◽  
The Capital Market

Abstract A study was conducted of 15 food companies listed on the Warsaw Stock Exchange. The profitability of companies was measured by: return on assets (ROA), return on equity (ROE) and return on sales (ROS). Investment risk was measured by standard deviation and semi-deviation. The main objective of the study was to examine whether the average level and variability of selected indicators of profitability are reflected in the average level and the variability of returns on the capital market. An additional aim was to examine whether the size of the company affects the profitability and risk of investment in stocks as well as the average value and the volatility of profitability ratios. A positive correlation between the average value of the profitability ratios (ROA and ROS) and the average rates of return on the capital market was identified. Similarly, companies with higher volatility and semi-volatility of profitability ratios were simultaneously characterized by larger fluctuations in rates of return on the stock market. Studies have shown that the size of the company is negatively correlated with the risk of stock market investments and the volatility of profitability ratios.

Predicting Stock Market Performance

2020 ◽  
pp. 1-10
Author(s):  
Thomas Plieger ◽  
Thomas Grünhage ◽  
Éilish Duke ◽  
Martin Reuter
Keyword(s):  
Stock Market ◽  
Risk Taking ◽  
Life Stress ◽  
Price Volatility ◽  
Individual Characteristics ◽  
Self Report ◽  
Financial Behavior ◽  
Market Simulation ◽  
Stock Market Performance ◽  
Risk Taking Behavior

Abstract. Gender and personality traits influence risk proneness in the context of financial decisions. However, most studies on this topic have relied on either self-report data or on artificial measures of financial risk-taking behavior. Our study aimed to identify relevant trading behaviors and personal characteristics related to trading success. N = 108 Caucasians took part in a three-week stock market simulation paradigm, in which they traded shares of eight fictional companies that differed in issue price, volatility, and outcome. Participants also completed questionnaires measuring personality, risk-taking behavior, and life stress. Our model showed that being male and scoring high on self-directedness led to more risky financial behavior, which in turn positively predicted success in the stock market simulation. The total model explained 39% of the variance in trading success, indicating a role for other factors in influencing trading behavior. Future studies should try to enrich our model to get a more accurate impression of the associations between individual characteristics and financially successful behavior in context of stock trading.

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