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- W1504928430 abstract "This paper analyzes issues related to the pricing of equity in an Eastern European emerging capital market, the Warsaw Stock Exchange (WSE), with the purpose of estimating the CAPM, and the return-risk relationship, using the domestic and the international asset-pricing model. The empirical evidence from a sample of 221 Polish firms listed on the Warsaw Stock Exchange indicates that there exists a conditional relationship between beta and return when the domestic CAPM is tested. The international CAPM did not perform well in the early days of the transition but since 2000 the Polish stock market seems well integrated, most likely the local market has been segmented during the period. The cross-sectional stock returns are positively related to the downside risk variable measured by the semi-deviation from the mean, and the total risk. However, the cross-sectional stock returns are also positively related to the unsystematic risk, and negatively related to other downside risk measures. In addition, firm size is found to be positively related to the cross-sectional stock returns, while the book-to-market ratio is found have no explanatory power to the returns. JEL classification: G12, G15" @default.
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- W1504928430 date "2004-01-01" @default.
- W1504928430 modified "2023-09-23" @default.
- W1504928430 title "The role of the public sector in developing tourism product strategies for tourism destinations" @default.
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