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| » O Spółkach » Współczynnik beta, model CAPM |
Dziękuję ogromnie za odpowiedź, Większość problemów podanych przez Pana wyeliminowałem, jednak zdaję sobie teraz sprawę,dzięki Pana odpowiedzi, iż różnica z dużym prawdopodobieństwem wynika z małych rozbieżności co do metodologi.
Dziękuję za odpowiedź. |
| » O Spółkach » Współczynnik beta, model CAPM |
Cześć, mam mały problem z wyznaczeniem współczynnika beta dla lotosu. Założenia są takie, żeby objąć zwroty tygodniowe od 11.05.2015 do 05.05.2017, jako benchmark biorę indeks WIG, a stopa wolna od ryzyka średnia wartość WIBID1M I WIBOR1M. Problem polega na tym, iż mój wskaźnik różni się od wskaźnika podawanego na radarbiznesu. Podpowie ktoś, coś? Dodam ze wyznaczam wskaźnik regresją. |
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| Wzrosty | Spadki | Staty |
|---|---|---|
| SCANWAY | 282.00 | 8.46% |
| GENOMTEC | 3.82 | 8.22% |
| SYNTHAVERSE | 3.09 | 6.74% |
| KGHM | 331.70 | 6.03% |
| PGE | 11.05 | 5.79% |
| Więcej ... | ||
| MWTRADE | 2.34 | -8.59% |
| MDIENERGIA | 2.20 | -6.38% |
| OPTEAM | 5.80 | -5.69% |
| WOODPCKR | 2.68 | -5.63% |
| PGFGROUP | 0.45 | -5.60% |
| Więcej ... | ||
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