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Korelacja pomiędzy rentownością a księgowymi współczynnikami beta dla polskiego sektora budowlanego

Author

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  • Anna Rutkowska-Ziarko

    (Department of Quantitative Methods, The Faculty of Economics, University of Warmia and Mazury in Olsztyn)

Abstract

Przeanalizowano dane 27 polskich firm budowlanych notowanych na Giełdzie Papierów Wartościowych w Warszawie, w latach 2012–2018. Wykorzystano ceny zamknięcia i wskaźniki rentowności: ROA, ROE i ROS. Wyznaczono rynkowe współczynniki beta oraz księgowe współczynniki beta w kontekście wariancji i ryzyka dolnego. Następnie porównano je z kwartalną średnią stopą zwrotu dla każdego rozpatrywanego przedsiębiorstwa. Tylko jedna firma budowlana miała ujemną średnią stopę zwrotu. Można powiedzieć, że polskie firmy budowlane są atrakcyjne dla inwestorów na rynku kapitałowym. Stwierdzono, że dla polskiego sektora budowlanego księgowe współczynniki beta, a także dolne księgowe współczynniki beta, mają istotny wpływ na średnią stopę zwrotu na rynku kapitałowym. Oznacza to, że firmy budowlane najbardziej wrażliwe na sytuację w branży dały jednocześnie inwestorom najwyższe zyski na rynku kapitałowym. Najwyższa korelacja pomiędzy księgowymi współczynnikami beta a średnią stopą zwrotu wystąpiła dla ROA.

Suggested Citation

  • Anna Rutkowska-Ziarko, 2019. "Korelacja pomiędzy rentownością a księgowymi współczynnikami beta dla polskiego sektora budowlanego," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 54, pages 371-382.
    • Handle: RePEc:sgh:annals:i:54:y:2019:p:371-382
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    References listed on IDEAS

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