Celem artykułu jest weryfikacja modelu wyceny aktywów kapitałowych (Capital Asset Pricing Model, CAPM) na polskim rynku kapitałowym w klasycznym i dolnostronnym podejściu do ryzyka. Przedmiot badania stanowią szeregi czasowe stóp zwrotu 14 subindeksów sektorowych notowanych na Giełdzie Papierów Wartościowych w Warszawie w latach 2011–2018. Istotnym wkładem do badań nad ryzykiem inwestycji kapitałowych było użycie miar ryzyka zarówno w ujęciu klasycznym, jak i dolnostronnym. Przedstawione podejście badawcze w postaci regresji warunkowych względem kondycji rynku było odpowiedzią na niejednoznaczne wyniki zależności bezwarunkowych CAPM w dotychczasowych badaniach na rynkach kapitałowych.
Wyniki analiz wskazują, że istotność wyceny ryzyka (premia za ryzyko) w głównej mierze zależy od znaku nadwyżki rynkowej, i świadczą o przewadze relacji warunkowych nad bezwarunkowymi. Analiza relacji bezwarunkowych wskazuje ponadto, że dolnostronne czynniki ryzyka, w przeciwieństwie do większości miar klasycznych, statystycznie istotnie wpływają na kształtowanie się stóp zwrotu badanych subindeksów. Na polskim rynku kapitałowym jedynie ko-kurtoza spośród ko-momentów podlega istotnej wycenie w okresach wzrostu.
relacje warunkowe, Capital Asset Pricing Model, ko-momenty, ryzyko dolnostronne, wycena subindeksów sektorowych
C21, G12, G32
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