Εκτίμηση του βήτα σε ρηχές αγορές
KeywordsΜοντέρνο χαρτοφυλάκιο ; Markowitz ; Tobin ; Διαφοροποίηση ; Αποτελεσματικό Σύνολο ; Αποτελεσματικό Μέτωπο ; Υπόδειγμα Μέσου Διακύμανσης ; Χρηματιστήριο Αξιών Αθηνών ; Συστηματικός κίνδυνος
The aim of this paper is to present the way of calculating the beta factor in shallow markets. A shallow market means a market that has a low volume of transactions and low liquidity. In the present study, the sample is taken from three shallow European markets, namely shares of listed companies listed on the Athens Stock Exchange, Spain and Ireland. All of the shares are listed in the General Index, a selection which is because this index includes most of the stock market capitalization and attributes market trends in terms of its trend. More specifically, the sample includes 60 stocks from each country with a 30-chip high and 30 low-caps. The stock study is for a period of 10 years with a split in two five years, one before and one amidst a crisis. The data used to conduct the study was derived from the DataStream data source. The first major part of the work is the basic processing of the sample by creating two portfolios for each of the three countries separately. The criterion for dividing the shares of these two portfolios is the capitalization of the companies by dividing the shares into those with a high and low capitalization respectively on the basis of the average market capitalization per company on 31/12/2003. The two five years mentioned above extend from 2004 to 2008 and the other from 2012 to 2016. The separation of the sample takes into account initially the average for each company over the whole period and divides the sample based on the median of the average. Of the 9 total portfolios that have been created, the companies with extreme stock prices have been rejected, which were essentially outperforming in order to achieve a more symmetrical distribution in the sample. For better data processing, panels will be made to show the two basic dimensions of data, companies, and the time period. In the second part of the paper we will present the various studies concerning the study of the calculation of the beta factors. These studies have been drawn from a wider range of articles dealing with the assessment of beta factors and the problems associated with it for more than thirty years. This section is divided into sub-chapters for each study showing the different methods of estimating the beta factors used and all the econometric constraints taken into account to enhance the reliability of the estimates. The analysis of these studies shows how the methods and models for calculating beta factors have evolved and highlights the main problems associated with this issue, especially in the case of shallow markets. This highlights a key issue that is the subject of reflection and in the first part of the work, which is no more than the error of the time span in estimating the beta coefficient which results precisely from the change in the measurement period. In closing, a frequent phenomenon is that of lowering the marketability of some securities, which is the case as the beta factors of the securities are wrongly estimated. This fact supports the existence of the percentage of zero returns that a company's debt may pose due to low marketability. From the discussion of the conclusions drawn from the study of the job, but also on the basis of the above assumptions, it will be shown that portfolios containing low-capitalization companies are more prone to observe higher zero yields than portfolios containing companies with high capitalization. Moreover, this conclusion is reinforced, as will be seen, by the analysis of the various studies included in the second part of this paper.