Wpływ zmiany indeksu rynku na parametr beta dla spółek z indeksu WIG20
The authors analyze the sensitivity of the beta parameter from Sharpe’s single-index model to the change of market index. The estimation was made for twelve largest companies of the Warsaw Stock Exchange in the period 2005–2015 with the usage of three return intervals: daily, weekly and monthly. The...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu Warszawskiego
2019-01-01
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| Series: | Problemy Zarządzania |
| Subjects: | |
| Online Access: | https://pz.wz.uw.edu.pl/resources/html/article/details?id=187451 |