Η μεταβλητότητα των βήτα των μετοχών και των χαρτοφυλακίων
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Abstract
The instability of the CAPM beta coefficient is a very important problem in both the academic literature and the empirical analysis in fiannce. This paper examines the correlation between the volatility of beta coefficients (systematic risk) both for individual stocks and for equity portfolios for the markets of United Kingdom and Germany for the period 1993-2013, using monthly data . For the empirical analysis the methodology of Sil, Obi and Choi (2011), was performed for portfolios which were structured using the standard deviation of the beta coefficients of individual stocks and the size, as expressed by the market value. The portfolios were divided into quartiles and the results shows that the shares with low (high) volatility coefficient beta, are small (large) factor beta, while the volatility of the beta coefficient for the portfolio of the first quartile, shows less variability than all the rest portfolios. The main conclusion is that the systematic risk in a portfolio can be reduced by adding shares with low beta coefficients. As far as the size is concerned, small-caps show increased instability of beta coefficients, reinforcing the uncertainty of future performance, contrary to large-cap stocks.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική και Τραπεζική ΔιοικητικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
169Language
Greek
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές