Η σχέση μεταξύ αναμενόμενης απόδοσης και Downside Beta
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Subject
Portfolio management ; Finance ; Stocks -- Prices ; Stock price forecasting ; Rate of return ; Μετοχές -- Τιμές ; Χρηματοδότηση ; Διαχείριση χαρτοφυλακίουAbstract
The study of the relationship expected return and risk is one of the greatest challenges for researchers, since 1952 when the H.Markowitz founded the Modern Portfolio Theory. Both in academic and in applied research equilibrium models dominate, based on mean-variance environment (Expected Return-Variance or E-V), because of their simplicity. However, in 1979 H.Markowitz recognized that the semi-deviation analysis and semi- variance provide significant advantages with respect to the E-V environment. The purpose of this work is the theoretical and empirical study of the superiority of downside risk measures over traditional risk measures. In this context we make an analysis of the theoretical findings of the academic literature and the findings of several empirical studies. This study incorporates with the examination of the expected return and risk relationship of individual stocks for the equity markets of United Kingdom, Germany and France, for listed shares during the 1993-2013 period. The study on the relationship of the expected return with two overall risk measures, standard deviation and semideviation yields, and two alternative measures of systemic risk, the coefficient beta and downside beta, with the regression analysis method, and analyze pairs and all together.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική και Τραπεζική ΔιοικητικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
142Language
Greek
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Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές