Usability of regression beta factor when evaluating stock traded on PSE
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F26482789%3A_____%2F19%3AN0000039" target="_blank" >RIV/26482789:_____/19:N0000039 - isvavai.cz</a>
Result on the web
<a href="https://www.aauni.edu/data/files/2019-ifrs-conference-proceedings-v5.pdf" target="_blank" >https://www.aauni.edu/data/files/2019-ifrs-conference-proceedings-v5.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Usability of regression beta factor when evaluating stock traded on PSE
Original language description
The beta factor measures the systematic risk associated with a stock or a portfolio. The beta factor is the only independent input variable in the CAPM model that is widely used as a tool to calculate the investor's desired return rate, which is an indispensable part of the DCF valuation models. There are several types of beta factor, but most often, analysts use the regression beta factor, which has advantages but also flaws. One of the major weaknesses in the beta factor of each stock is the considerable volatility and unstable methodology for calculating regression beta. Both factors may depreciate the stock's valuation result. This paper focuses on the calculation of regression beta factors of selected stocks traded on the Prague Stock Exchange at different times and with different data rates. The aim of the paper is to evaluate the volatility and subsequent usability of beta factors for the valuation of individual stocks traded on the Prague Stock Exchange or for measuring the systematic risk of the equity portfolio created by them. It was confirmed on the Prague Stock Exchange data that the beta factor of the individual stock is more volatile than beta factor of the portfolio composed of them. Beta factor values and their variability strongly depend on the time period and character of data used for the calculation.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
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Continuities
N - Vyzkumna aktivita podporovana z neverejnych zdroju
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Conference Proceedings7th International Scientific ConferenceIFRS: GLOBAL RULES & LOCAL USE- BEYOND THE NUMBERS
ISBN
978-80-87956-96-0
ISSN
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e-ISSN
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Number of pages
16
Pages from-to
170-185
Publisher name
Metropolitan University Prague Press & Anglo-American University
Place of publication
Praha
Event location
Praha
Event date
Oct 10, 2019
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000649685400013