Abstract
Purpose of the study: The beta coefficient for systematic risk can be obtained with various methods. Each of these methods may be methodologically correct and justified in the scientific literature, but the results obtained may differ. The aim of the article is to indicate differences in the estimated values of the beta coefficient for systematic risk caused by different methods of their calculation or different sources of data acquisition. Methodology: The article presents methods of calculating the beta coefficient for systematic risk and the most popular sources of obtaining this coefficient. Then, the beta ratio was calculated using the historical method for the period of 1, 2, 5 and 10 years for companies from the WIG20 index and beta indicators were obtained from the publications by A. Damodaran. On the basis of the obtained data, maximum divergences in beta coefficient values were determined and their mean value was calculated. Main findings: The results of the work indicate the average difference in beta values for companies from the WIG 20 index at the level of 0.51 and the maximum value of 1.12. Moreover, it was determined that statistically the lowest beta values as of December 31, 2023 for companies from the WIG20 index were provided by the historical method for a period of 2 years, and the highest values were provided by A. Damodaran. Application of the study: The conducted research indicates the range in which stock market analysts and valuation specialists can model the valuation value from the level of the beta coefficient. Market practitioners can choose both the highest and the lowest value and thus influence the value of the discount rate and the value of the company's valuation in the discounted cash flow method. Originality/Novelty of the study: The article presents original results of empirical research on the beta coefficient. This paper presents volatility in the values of the beta coefficient for systematic risk resulting from different methods of estimating it on the example of companies from the WIG20 index.
Published Version
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
