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 luck Application on the Central European Region attain 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 charge thanks my supervisor, PhDr. Petro Gapko of the Charles University for his advice and supporterfulness during the time of writing this thesis. I alike 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 Re ichmann for his indispensable support on technical issues; and Daniel Krizek, BA, CFA, CAIA for other highly expert advice. Ond?ej Vod?anský 4  go up Increasing volume of seek shows that both theoretical assumptions and falsifiable fit of traditional mean-variance and CAPM frameworks ar flawed. Hence, other risk measures atomic number 18 gaining popularity. Downside risk measures not precisely represent the theory well, they atomic number 18 also earthshaking in explaining variations of investment trust returns. Most importantly, the description of risk they provide is much in line with perspectives of investors. We throw off carried out extensive examen on a prototype 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 subatomic use. Finally, we also analysed importance of single risk on CEE shares and frame 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 line up a full essay, roll it on our website: OrderCustomPaper.com

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