Usability of regression beta factor when evaluating stock traded on PSE
Identifikátory výsledku
Kód výsledku v 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>
Výsledek na webu
<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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Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Usability of regression beta factor when evaluating stock traded on PSE
Popis výsledku v původním jazyce
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.
Název v anglickém jazyce
Usability of regression beta factor when evaluating stock traded on PSE
Popis výsledku anglicky
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.
Klasifikace
Druh
D - Stať ve sborníku
CEP obor
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OECD FORD obor
50202 - Applied Economics, Econometrics
Návaznosti výsledku
Projekt
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Návaznosti
N - Vyzkumna aktivita podporovana z neverejnych zdroju
Ostatní
Rok uplatnění
2019
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název statě ve sborníku
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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Počet stran výsledku
16
Strana od-do
170-185
Název nakladatele
Metropolitan University Prague Press & Anglo-American University
Místo vydání
Praha
Místo konání akce
Praha
Datum konání akce
10. 10. 2019
Typ akce podle státní příslušnosti
EUR - Evropská akce
Kód UT WoS článku
000649685400013