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Stock market situation and relations between beta coefficients and returns determined by the CAPM on the example of companies from the ICT sector

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  • Lesław Markowski

    (Uniwersytet Warmińsko-Mazurski w Olsztynie, Wydział Nauk Ekonomicznych, Katedra Metod Ilościowych)

Abstract

In contrast to the classical approach, this work proposes the separate treatment of results received in periods of positive and negative market excess returns. Moreover, this study has used rather realised than average returns of the ICT sector in Poland in cross-sectional regressions. The results indicate that relations between returns and beta coefficients are the conditioned sign of market excess returns. The average value of the premium for systematic risk is significantly larger from zero in periods of positive market excess returns and significantly smaller from zero in periods of negative market excess returns. Moreover, conditional relations between average returns and beta are significant in contrast with unconditional relations. The received results underline the meaning of analysis of behaviour of realised returns towards factor risks (in the case of market risk) and confirm the usefulness of the beta coefficient as proper measures of risk, which is valid in portfolio management.

Suggested Citation

  • Lesław Markowski, 2019. "Stock market situation and relations between beta coefficients and returns determined by the CAPM on the example of companies from the ICT sector," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 54, pages 393-408.
    • Handle: RePEc:sgh:annals:i:54:y:2019:p:393-408
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    References listed on IDEAS

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