Abstract
This paper presents the relationship between classical and downside beta coefficients in the context of data generating processes. 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 daily returns sectoral indices quoted on the Warsaw Stock Exchange. Our results suggest that the relationships between classical and downside systematic risk measures depend 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. The arguments may be an indication of choosing a systematic risk measures and evaluation of the real beta coefficients. This choice is determined by the data generating process, which may contribute to differences between results of CAPM tests.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Alles L, Murray L (2013) Rewards for downside risk in Asian markets. J Bank Financ 37:2501–2509
Bawa VS, Lindenberg EB (1977) Capital market equilibrium in a mean-lower partial moment framework. J Financ Econ 5:189–200
Estrada J (2002) Systematic risk in emerging markets: the D-CAPM. Emerg Mark Rev 3:365–379
Galagedera Don UA (2007) An alternative perspective on the relationship between downside beta and CAPM beta. Emerg Mark Rev 8(1):4–19
Harlow WV, Rao RKS (1989) Asset pricing in a generalized mean-lower partial moment framework: theory and evidence. J Financ Quant Anal 24(3):285–311
Hogan W, Warren J (1974) Toward the development of an equilibrium capital-market model based on semivariance. J Financ Quant Anal 9:1–11
Markowski L (2013) Empirical tests of the CAPM and D-CAPM models at the Warsaw Stock Exchange. Zastosowanie metod ilościowych w zarządzaniu ryzykiem w działalności inwestycyjnej. Red. nauk. AS Barczak, P Tworek. PTE Oddział Katowice. Wydawnictwo Uniwersytetu Ekonomicznego w Katowicach: 57–70
Nantell TJ, Price B (1979) An analytical comparison of variance and semivariance capital market theories. J Financ Quant Anal 14:221–242
Pedersen C, Hwang S (2007) Does downside beta matter in asset pricing? Appl Financ Econ 17:961–978
Price K, Price B, Nantell TJ (1982) Variance and lower partial moment measures of systematic risk: some analytical and empirical results. J Financ 37(3):843–855
Rutkowska-Ziarko A (2010) Wykorzystanie dolnostronnych współczynników beta w analizie ryzyka systematycznego na GPW w Warszawie w warunkach zmiennej koniunktury giełdowej. AUNC Ekonomia XLI zeszyt 397:71–82. UMK Press, Toruń
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2018 Springer International Publishing AG, part of Springer Nature
About this paper
Cite this paper
Markowski, L. (2018). The Relationships Between Beta Coefficients in the Classical and Downside Framework: Evidence from Warsaw Stock Exchange. In: Jajuga, K., Locarek-Junge, H., Orlowski, L. (eds) Contemporary Trends and Challenges in Finance. Springer Proceedings in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-319-76228-9_5
Download citation
DOI: https://doi.org/10.1007/978-3-319-76228-9_5
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-76227-2
Online ISBN: 978-3-319-76228-9
eBook Packages: Economics and FinanceEconomics and Finance (R0)