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 pretend Application on the Central European Region cut across 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 pay up thanks my supervisor, PhDr. Petro Gapko of the Charles University for his advice and sufficefulness during the time of writing this thesis. I excessively 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.Tomas Reichmann for his indispensable support on technical issues; and Daniel Krizek, BA, CFA, CAIA for other highly expert advice. Ond?ej Vod?anský 4  defraud Increasing volume of seek shows that both theoretical assumptions and trial-and-error 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 argon also material in explaining variations of ocellus returns. Most importantly, the translation of risk they provide is much in line with perspectives of investors. We cast carried out extensive examen on a s! pecimen 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 diminished use. Finally, we also analysed importance of single risk on CEE shares and gear up 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 work a full essay, roll it on our website: OrderCustomPaper.com

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