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The impact of speculation on the pricing of companies listed on the Warsaw Stock Exchange in light of the ICAPM

Managerial Economics

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Title The impact of speculation on the pricing of companies listed on the Warsaw Stock Exchange in light of the ICAPM
 
Creator Urbański, Stanisław
 
Subject —
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Description Research carried out over recent years shows that speculative stock are the reason for inconsistent pricing of stock with the classic CAPM. The present work is an attempt to explain the impact of speculative stock on pricing in light of the ICAPM. The study is conducted using stocks quoted on the Warsaw Stock Exchange (WSE) in 1995–2012. The systematic risk and risk prices components are simulated by two chosen multifactor applications, with different procedures of portfolio construction. The investigated stocks are classified into quaintile portfolios according to established procedures. It has been assumed that both speculative stocks and improper algorithm for the test portfolios sorting contribute to inconsistent stock pricing in light of the ICAPM. As a result, tests are carried out in three modes. All WSE stocks are analyzed in mode 1. In modes 2 and 3 speculative stocks are excluded from the study. The analysis indicate that the results are in line with the extended conjectures.
 
Publisher AGH University of Science and Technology Press.
 
Contributor —
 
Date 2015-07-31
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://journals.agh.edu.pl/manage/article/view/1689
10.7494/manage.2015.16.1.91
 
Source Managerial Economics; Vol 16, No 1 (2015); 91
1898-1143
 
Language eng
 
Relation https://journals.agh.edu.pl/manage/article/view/1689/1192
 
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