Zastosowanie modelu CAPM w warunkach kryzysu
Application of CAPM model in conditions of crisis

Summary/Abstract: The article shows the factors which affect the way of cost of equity valuation using the capital asset pricing model (CAPM). For this purpose the analysis of changes in the risk free securities profitability, country risk premium and stock price levels, affecting the beta, was done. On the basis of the analysis it can be concluded that the dynamic changes of analyzed factors, caused by the financial crisis, put into question the validity of the “raw” implementations of known models of the expected rate of return on equity estimation, including the CAPM model. The discussion of scientists and business practitioners on the use of the necessary adjustments adequate to the rapidly changing conditions of macro- and microeconomics, seems indispensable.

• Details
• Contents