Possibilities of application CAPM to Polish Stock Exchange market with help of implied market risk premium
Ładowanie...
Data
2007-10-02 14:05:34
Autorzy
Tytuł czasopisma
ISSN czasopisma
Tytuł tomu
Wydawca
Abstrakt
The main purpose of the work is to show that traditional method of estimating
MRP, with help of historical data for Polish stock market, is pointless when it comes to
accurate results and to propose alternative way to obtain it through Dividend Discount
Model (DDM).
Looking at many researches gathered especially by American scientists we may
say that the market risk premium based on historical data is not applicable to Polish stock exchange market as well as to other emerging markets. To inspect market risk premium we need to use Dividend Discount Model so as to receive cost of equity for the equivalent of the market and then Capital Asset Pricing Model for a premium itself. The work is divided into 4 chapters. First chapter defines portfolio theory and
the background of Capital Asset Pricing Model. The second one discusses in details
market risk premium as a central component of CAPM and the most questionable
factor, as well as the ways of receiving it. The third chapter shows MRP results
prepared and published by the financial scientists for US well-developed market. The
fourth chapter is the comparison between traditional and alternative way of receiving
MRP for Polish stock exchange market.
Opis
Słowa kluczowe
akcje, ryzyko kredytowe, ryzyko inwestycyjne