Μεθοδολογικά προβλήματα που συνδέονται με τον υπολογισμό του επενδυτικού κινδύνου: η περίπτωση του Χ.Α.Α.
Methodological problems associated with the calculation of investment risk: the case of the A.S.E.
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Διαχείριση κινδύνου -- Στατιστικές μέθοδοι ; Διαχείριση κινδύνου -- Οικονομετρικά μοντέλα ; Ανάλυση παλινδρόμησης ; Χρηματιστήριο Αξιών ΑθηνώνAbstract
The methodological issues related to the calculation of the Athens Exchange stocks' systematic risk are mainly faced in cases of low marketability when normality and heteroscedasticity assumptions on the residuals of the corresponding regressions are violated. However, the heteroscedasticity problem tends to decline when marketability increases and the economy enters in a state of recession. Regarding to the values of the systematic risk coefficient, the following findings have emerged in periods of crises, they are negatively associated with the level of marketability, as it was expected, in periods of upward and downward movement of the market, the above relation becomes even more frequently positive, something that can only be explained only by the lack of efficiency in the market. Finally, the use of Dimson method does not seem to lead to significantly more efficient assessments of systematic risk, which ranges at same levels.
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GreekCollections
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 4.0 Διεθνές