• Icon to change language to english
  • Icon to change language to english

RISK ASSESSMENT TOOLS FOR INVESTMENT SELECTION – THEORY AND PRACTICE

Authors

Keywords
CAPM, beta, SOFIX

Summary
The paper reviews risk assessment for selection of investments in terms of em-pirical derivation and estimation of beta coefficients on the capital market in Bulgaria. It aims to develop some theoretical aspects regarding risk assessment for investment se-lection as well as to provide empirical derivation and trend analysis of the beta coeffi-cient values of leading Bulgarian public companies included in the SOFIX index. The paper is structured in four main parts according to its subject matter, goal and objec-tives. The first part reviews the current objectives and the theoretical grounds of in-vestment management. The second part focuses on the possibilities to include risk into the investment analysis. The third part analyzes the methodological framework for in-vestment selection. The fourth part presents an empirical study of the beta coefficients of the SOFIX companies for the period 2007-2012, identifies trends and proposes cor-porate grouping according to their capacity to restore market capitalization to the pre-crisis levels. The results show that two of the leading Bulgarian companies (i.e. 13.3% of the total number of companies in the index) have betas exceeding 1.25 (based on monthly data for the period Sept. 2007 - Sept. 2012), seven companies (46.7% of the index) have beta coefficients between 0.75 and 1.25 and six companies (40% of the index) have conservative betas of less than 0.75.

JEL: C32, G11, G12
Pages: 18
Price: 3 Points

More titles

  • MANAGING THE STATE DEBT OF BULGARIA – ISSUES AND CHALLENGES

    Satisfying the public interest in terms of public goods and services has its lim¬its – the resource limitedness in the provision of public goods and services. Since the needs of society and individuals always exceed the available economic resources for their implementation, this necessitates the use of debt and deficit financing tools. This is ...

  • RESEARCHING VARIATIONS IN THE MARKET TREND BY USING INDICATORS FOR TECHNICAL ANALYSIS

    Technical analysis is one of the two approaches used for investment analysis of financial markets. It comprises diverse graphical and quantitative tools, which are applied in researching the price deviation of financial instruments. This research paper focuses on the indicators that are applied to forecast short-term price variations of financial ...

  • ON EVOLUTION AND THE NEW CHALLENGES FACING BANK MARKETING IN THE AFTERMATH OF THE FINANCIAL CRISIS

    In times of a global financial and economic crisis and global banking collapse, effective bank marketing will be the key factor for successful stabilization of the ban-king system. The dynamic and volatile banking trends require a thorough reorganization of the concepts for strategic marketing planning and forecasting regarding customers, partners ...