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 kindly Sciences Institute of Economic Studies Alternative Measures of gamble Application on the Central European Region reach Thesis Author: Ond?ej Vod?anský Supervisor: PhDr. Petr Gapko pedantic 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 construct thanks my supervisor, PhDr. Petro Gapko of the Charles University for his advice and supporterfulness during the time of writing this thesis. I withal proclivity to thank PhDr.Josef Barunik of the Charles University and the Czech Academy of Sciences for his valuable help with the circuit board data segment of the paper. Last, but not the least, I am grateful to my friends: Bc.To mas Reichmann for his indispensable support on technical issues; and Daniel Krizek, BA, CFA, CAIA for other highly expert advice. Ond?ej Vod?anský 4  diddle Increasing volume of seek shows that both theoretical assumptions and verifiable fit of traditional mean-variance and CAPM frameworks ar flawed.

Hence, other risk measures ar gaining popularity. Downside risk measures not precisely represent the theory well, they be also meaningful in explaining variations of profligate returns. Most importantly, the definition of risk they provide is much in line with perspectives of investors. We endure ca rried out extensive examen on a sampling of! companies from the Czech Republic, Germany and Poland. Our results show that Semivariance with obeisance to zero is the most significant risk measure spell CAPM beta by itself has secondary use. Finally, we also analysed importance of single risk on CEE shares and raise out that it is indeed priced on the Czech and Polish stock markets but not in Germany. JEL Classification: G11, G12, G19 Keywords:...If you want to crush a full essay, roll it on our website: OrderCustomPaper.com

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