APPLICATION OF BLUME METHOD IN FORECASTING RISK ON THE EXAMPLE OF PUBLIC COMPANIES LISTED ON WIG20
The paper presents the results of studies on the use of Blume’s beta to identify systematic risk of companies listed on the Warsaw Stock Exchange. For this purpose, beta values for WIG20 companies for 2014-2016 were calculated. Weekly rates of return on stocks of certain companies were used in the c...
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| Format: | Article |
| Language: | English |
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University of Applied Sciences in Bielsko-Biała
2016-02-01
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| Series: | Zeszyty Naukowe Wyższej Szkoły Finansów i Prawa w Bielsku-Białej |
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| Online Access: | https://www.asej.eu/index.php/asej/article/view/318 |
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| _version_ | 1846165919695372288 |
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| author | Bartłomiej Lisicki |
| author_facet | Bartłomiej Lisicki |
| author_sort | Bartłomiej Lisicki |
| collection | DOAJ |
| description | The paper presents the results of studies on the use of Blume’s beta to identify systematic risk of companies listed on the Warsaw Stock Exchange. For this purpose, beta values for WIG20 companies for 2014-2016 were calculated. Weekly rates of return on stocks of certain companies were used in the calculations. Once the annual betas were estimated, the author conducted regression of the results to develop an equation that would enable an estimation of parameters for the future period. In most of the analyzed cases, values of beta parameters calculated on the basis of historical data and the data obtained by Blume’s method were similar. Therefore, Blume’s adjustment method is a good tool for forecasting market risk level of shares of companies listed on the Polish stock exchange. |
| format | Article |
| id | doaj-art-8a0386d81611444d928fab63fa2bd0ef |
| institution | Kabale University |
| issn | 2543-9103 2543-411X |
| language | English |
| publishDate | 2016-02-01 |
| publisher | University of Applied Sciences in Bielsko-Biała |
| record_format | Article |
| series | Zeszyty Naukowe Wyższej Szkoły Finansów i Prawa w Bielsku-Białej |
| spelling | doaj-art-8a0386d81611444d928fab63fa2bd0ef2024-11-16T15:32:22ZengUniversity of Applied Sciences in Bielsko-BiałaZeszyty Naukowe Wyższej Szkoły Finansów i Prawa w Bielsku-Białej2543-91032543-411X2016-02-01213APPLICATION OF BLUME METHOD IN FORECASTING RISK ON THE EXAMPLE OF PUBLIC COMPANIES LISTED ON WIG20Bartłomiej Lisicki0University of Economics Department of Investment and Real EstateThe paper presents the results of studies on the use of Blume’s beta to identify systematic risk of companies listed on the Warsaw Stock Exchange. For this purpose, beta values for WIG20 companies for 2014-2016 were calculated. Weekly rates of return on stocks of certain companies were used in the calculations. Once the annual betas were estimated, the author conducted regression of the results to develop an equation that would enable an estimation of parameters for the future period. In most of the analyzed cases, values of beta parameters calculated on the basis of historical data and the data obtained by Blume’s method were similar. Therefore, Blume’s adjustment method is a good tool for forecasting market risk level of shares of companies listed on the Polish stock exchange. https://www.asej.eu/index.php/asej/article/view/318sharessystematic riskbetaBlume’s adjustment method |
| spellingShingle | Bartłomiej Lisicki APPLICATION OF BLUME METHOD IN FORECASTING RISK ON THE EXAMPLE OF PUBLIC COMPANIES LISTED ON WIG20 Zeszyty Naukowe Wyższej Szkoły Finansów i Prawa w Bielsku-Białej shares systematic risk beta Blume’s adjustment method |
| title | APPLICATION OF BLUME METHOD IN FORECASTING RISK ON THE EXAMPLE OF PUBLIC COMPANIES LISTED ON WIG20 |
| title_full | APPLICATION OF BLUME METHOD IN FORECASTING RISK ON THE EXAMPLE OF PUBLIC COMPANIES LISTED ON WIG20 |
| title_fullStr | APPLICATION OF BLUME METHOD IN FORECASTING RISK ON THE EXAMPLE OF PUBLIC COMPANIES LISTED ON WIG20 |
| title_full_unstemmed | APPLICATION OF BLUME METHOD IN FORECASTING RISK ON THE EXAMPLE OF PUBLIC COMPANIES LISTED ON WIG20 |
| title_short | APPLICATION OF BLUME METHOD IN FORECASTING RISK ON THE EXAMPLE OF PUBLIC COMPANIES LISTED ON WIG20 |
| title_sort | application of blume method in forecasting risk on the example of public companies listed on wig20 |
| topic | shares systematic risk beta Blume’s adjustment method |
| url | https://www.asej.eu/index.php/asej/article/view/318 |
| work_keys_str_mv | AT bartłomiejlisicki applicationofblumemethodinforecastingriskontheexampleofpubliccompanieslistedonwig20 |