Weryfikacja przydatności modelu CAPM do wyceny instrumentów finansowych. Zastosowanie portfela zero-beta przy szacowaniu stopy wolnej od ryzyka

Abstract

The article describes the issue of capital asset pricing using Capital Assets Pricing Models (CAPM). The theoretical section presents the assumptions, zero-beta portfolio modification and results of using CAPM. The empirical part focuses on studies of the effectiveness of the CAPM model. Empirical tests are given, providing evidence that both denies and confirms the findings of the CAPM model, while the correlation coefficient is used to verify the model on the Polish capital market. The zero-beta portfolio was created based on futures contracts on WIG20 and units of the Multi Units Luxembourg Lyxor. As indicated by the results, this portfolio may be an appropriate method for estimating the risk-free interest rate. Research on the effectiveness of the valuation was carried out on the basis of two companies: KGHM Polska Miedź SA and Prochnik SA. The results of the study show that in most cases the variability of the companies’ returns is greater than that resulting from the CAPM model.