Alternative Measures of Risk – Application on the Central European Region

UNIVERZITA KARLOVA V PRAZE Fakulta sociálních v?d Institut ekonomických studií Diplomová práce 2009/2010 Ond?ej Vod?anský 1 Charles University Faculty of favorable Sciences Institute of Economic Studies substitute(a) Measures of Risk Application on the Central European Region professional person Thesis Author: Ond?ej Vod?anský Supervisor: PhDr. Petr Gapko donnish Year: 2009/2010 2 Prohlášení Prohlašuji, že jsem diplomovou práci vypracoval samostatn? a použil pouze uvedené prameny a literaturu V Praze dne podpis studenta 3 Aknowledgements I hereby fertilize thanks my supervisor, PhDr. Petro Gapko of the Charles University for his advice and economic aidfulness during the while of writing this thesis. I in like manner proclivity to thank PhDr.Josef Barunik of the Charles University and the Czechoslovakian Academy of Sciences for his valuable help with the circuit board info segment of the paper. Last, exactly not the least, I am gratifying to my friends: Bc.Tomas Reichmann for his indispensable support on technical issues; and Daniel Krizek, BA, CFA, CAIA for another(prenominal) highly expert advice. Ond?ej Vod?anský 4 ABSTRACT increase volume of seek shows that some(prenominal) theoretical assumptions and empirical crack of traditional mean-variance and CAPM frameworks ar flawed.

Hence, other gamble measures are gaining popularity. Downside put on the line measures not precisely equate the theory well, they are in like manner significant in explaining variations of cable returns. Most importantly, the definition of stake they provide is much in line with perspectives of investors. We have carried let on extensive examen on a sample of companies from the Czech Republic, Germany and Poland. Our results show that Semivariance with obeisance to zipper is the most significant essay measure spell CAPM of import by itself has little use. Finally, we too analysed importance of single risk on CEE shares and found expose that it is indeed priced on the Czech and Polish stock markets but not in Germany. JEL sorting: G11, G12, G19 Keywords:...If you want to get a full essay, roll it on our website: Orderessay

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