Analiza wrażliwości wyników estymacji współczynnika beta w modelu CAPM dla sektora spożywczego.

Anna Gomola

doi:10.58683/znwsb.1963

Published : 2024-11-12

Vol. 104 No. 1 (2024)

A Sensitivity Analysis of the Beta Coefficient in CAPM Regression for the Food and Beverage Sector

Anna Gomola

https://orcid.org/0000-0002-1121-4958

DOI: https://doi.org/10.58683/znwsb.1963

Abstract

The purpose of this article is to estimate the risk level of financial assets using the CAPM model. Parameter estimation in the CAPM model is carried out using the classical linear regression method. One of the assumptions of this method is a random component that has a normal distribution. Financial time series distributions do not have a normal distribution, due to the large number of outlier observations. In this article, we relaxed the assumptions about the normal distribution. The random component in our CAPM model takes into account features of financial time series distributions such as skewness and fat tails. Analyses were conducted for the Polish market and the US market for the food sector. Estimated in this way, it gave a better fit to the data than the classic CAPM.

Details

References

Statistics

Authors

Download files

pdf (Język Polski)

Citation rules

Gomola, A. (2024). A Sensitivity Analysis of the Beta Coefficient in CAPM Regression for the Food and Beverage Sector. Zeszyty Naukowe Wyższej Szkoły Bankowej W Poznaniu, 104(1). https://doi.org/10.58683/znwsb.1963

Altmetric indicators

Cited by / Share

References

Ansell, J., & Wharton, F. (1992). Risk: Analysis, assessment and management. Wiley.

Bai, H., Hou, K., Kung, H., Li, E. X., & Zhang, L. (2019). The CAPM strikes back? An equili

brium model with disasters. Journal of Financial Economics, 131(2), 269–298.

Barucci, E., & Fontana, C. (2003). Financial markets theory. Springer-Verlag.

Berk, J.B. (1997). Necessary conditions for the CAPM. Journal of Economic Theory, 73(1),

–257.

Black, F. (1972). Capital market equilibrium with restricted borrowing. The Journal of bu

siness, 45(3), 444–455.

Black, F., & Scholes, M. (1974). The effects of dividend yield and dividend policy on com

mon stock prices and returns. Journal of financial economics, 1(1), 1–22.

Blattberg, R., & Gonedes, N. (1974). A Comparison of the Stable and Student Distributions

as Statistical Models for Stock Prices. Journal of Business, 47(2).

Blume, M. (1970). Portfolio Theory: A Step Towards its Practical Application. Journal of

Business, 43(2).

Blume, M., & Friend, I. (1973). A New Look at the Capital Asset Pricing Model. Journal of

Finance, 28(1).

Bollerslev, T. (1986). Generalised Autoregressive Conditional Heteroskedasticity. Journal

of Econometrics, 21(3).

Breeden, D.T. (1979). An intertemporal asset pricing model with stochastic consumption

and investment opportunities. Journal of financial Economics, 7(3).

Brennan, M. (1970). Taxes, market valuation and corporate financial policy. National Tax

Journal, 23.

Chan, L.K., & Lakonishok, J. (1992). Robust measurement of beta risk. Journal of Financial

and Quantitative Analysis, 27(2).

Dębski, W. (2010). Rynek finansowy i jego mechanizmy — podstawy teorii i praktyki. Wydaw

nictwo Naukowe PWN.

Engle, R.F. (1982). Autoregressive conditional heteroscedasticity with estimates of the varian

ce of United Kingdom inflation. Econometrica: Journal of the econometric society, 987–1007.

Faff, R.W., Hillier, D., & Hillier, J. (2000). Time varying beta risk: An analysis of alternative

modelling techniques. Journal of Business Finance & Accounting, 27(5–6), 523–554

Fama, E.F., & French, K.R. (1992). The cross-section of expected stock returns. The Journal

of Finance, 47(2), 427–465.

Fama, E.F., & French, K.R. (1998). Value versus growth: The international evidence. The

Journal of Finance, 53(6), 1975–1999.

Fernández, C., & Steel, M.F. (1998). On Bayesian modeling of fat tails and skewness. Journal

of the American Statistical Association, 93(441), 359–371.

Ferreira, J.T.S., & Steel, M.F.J. (2006). A constructive representation of univariate skewed

distributions. Journal of the American Statistical Association, 101(474), 823–829.

Fu, F. (2009). Idiosyncratic risk and the cross-section of expected stock returns. Journal of

Financial Economics, 91(1), 24–37.

Greene, W.H. (2012), Econometric Analysis. Pearson.

Gomola, A. (2021). Analiza wrażliwości wyników estymacji współczynnika β-CAPM — badania

z wykorzystaniem rodzin rozkładów prawdopodobieństwa dopuszczających grube ogony oraz

asymetrię. Praca nieopublikowana.

Gomola A., & Pipień M., (2022), Maximum Likelihood Estimates of CAPM ’s for the US and

PL Banking Sector Indices under Heavy Tailed and Asymmetric Distributions, (praca nie

opublikowana)

Gray, S., & Officer, R. (2005). A review of the market risk premium and commentary on two

recent papers. A report prepared for The Energy Networks Association.

Habibi, H., Habibi, R., & Habibi H. (2016). Derivation of Kalman Filter Estimates Using

Bayesian Theory: Application in Time Varying Beta CAPM Model. Journal of Statistical

and Econometric Methods, 5(2).

Hansen B. (1994). Autoregressive Conditional Density Estimation. International Economic

Review, 35(3), 705–730.

Henningsen, A., & Toomet, O. (2011). maxLik: A package for maximum likelihood estima

tion in R. Computional Statistics, 26, 443–458.

Harvey, A., & Lange, R.J. (2017). Volatility Modeling with a Generalized t-Distribution.

Journal of Time. Series Analysis, 38(2), 175–190.

Jajuga, K., & Jajuga, T. (2007). Inwestycje: Instrumenty finansowe, aktywa niefinansowe, ryzyko

f inansowe, inżynieria finansowa (wyd. 3 zm.). Wydawnictwo Naukowe PWN.

Johnson, L., & Sakoulis, G. (2008). Maximizing equity market sector predictability in a Bay

esian time-varying parameter model. Computational Statistics & Data Analysis, 52(6).

Kahneman, D., & Tversky, A. (1979). On the interpretation of intuitive probability: A reply to

Jonathan Cohen.

Korkas, K. (2009), Asset Pricing with Dynamic CAPM: An Application to 49 US Industry Port

folios. Master Thesis, Department of Statistics, London School of Economics.

Lintner, J. (1965). Security prices, risk, and maximal gains from diversification. The Journal

of Finance, 20(4), 587–615.

Litzenberger, R.H., & Ramaswamy, K. (1979). The effect of personal taxes and dividends

on capital asset prices: Theory and empirical evidence. Journal of Financial Economics,

(2), 163–195.

Martin, R.D., & Simin, T.T. (2003). Outlier-resistant estimates of beta. Financial Analysts

Journal, 59(5), 56–69.

Mayers, D., & Smith Jr, C.W. (1983). The interdependence of individual portfolio decisions

and the demand for insurance. Journal of Political Economy, 91(2), 304–311.

Merton, R.C. (1973). An intertemporal capital asset pricing model. Econometrica: Journal

of the Econometric Society, 867–887.

Montgomery, C.A., & Singh, H. (1984). Diversification strategy and systematic risk. Strategic

Management Journal, 5(2), 181–191.

Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica: Journal of the Eco

nometric Society, 768–783.

Ostrowska, E. (2002). Ryzyko projektów inwestycyjnych. Polskie Wydawnictwo Ekonomiczne.

Pham, C.D. (2020a). An augmented capital asset pricing model using new macroeconomic

determinants. Heliyon, 6(10).

Pham, C.D. (2020b). The systematic risk estimation models: A different perspective. He

liyon, 6(2).

Praetz, P.D. (1972). The distribution of share price changes. Journal of Business, 49–55.

Roll, R. (1977). A critique of the asset pricing theory’s tests Part I: On past and potential

testability of the theory. Journal of Financial Economics, 4(2), 129–176.

Sharpe, W.F. (1964). Capital asset prices: A theory of market equilibrium under conditions

of risk. The Journal of Finance, 19(3), 425–442.

Zhou, X.Y., & Yin, G. (2003). Markowitz’s mean-variance portfolio selection with regime

switching: A continuous-time model. SIAM Journal on Control and Optimization, 42(4),

–1482.

Zhu, D., & Galbraith, J.W. (2010). A generalized asymmetric Student-t distribution with

application to financial econometrics. Journal of Econometrics, 157(2), 297–305.