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Verification of the Conditional CAPM: The Example of the Polish Capital Market

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Contemporary Trends and Challenges in Finance

Part of the book series: Springer Proceedings in Business and Economics ((SPBE))

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Abstract

In contrast to the classical approach, this work proposed the separate treatment of results received in periods of positive and negative market excess return. Moreover, this study used rather realised than average returns in cross-sectional regressions. The results indicate that relations between returns and beta coefficients are conditioned the sign of market excess return. The average value of premium for systematic risk is significantly greater than zero in periods of positive market excess return and significantly smaller from zero in periods of negative market excess return. Moreover, conditional relations between average returns and beta are significant in contrast with unconditional relations. The received results underline the meaning of analysis of realised return towards the factor risk (in the case of market risk) and confirm usefulness of beta coefficient as proper measures of risk, that is valid in portfolio management.

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Authors and Affiliations

  1. Faculty of Economics, Department of Quantitative Methods, University of Warmia and Mazury in Olsztyn, Olsztyn, Poland

    Lesław Markowski

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  1. Lesław Markowski
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Correspondence to Lesław Markowski .

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Editors and Affiliations

  1. Finance Management Institute, Wroclaw University of Economics, Wroclaw, Poland

    Krzysztof Jajuga

  2. Faculty of Management and Economics, Dresden University of Technology, Dresden, Germany

    Hermann Locarek-Junge

  3. Jack Welch College of Business, Sacred Heart University, Fairfield, CT, USA

    Lucjan T. Orłowski

  4. Department of Economics and Finance, Tallinn University of Technology, Tallinn, Estonia

    Karsten Staehr

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Markowski, L. (2019). Verification of the Conditional CAPM: The Example of the Polish Capital Market. In: Jajuga, K., Locarek-Junge, H., Orłowski, L., Staehr, K. (eds) Contemporary Trends and Challenges in Finance. Springer Proceedings in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-030-15581-0_12

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