Systematic risks for the financial and for the non-financial Romanian companies

Dumitriu, Ramona and Stefanescu, Razvan and Nistor, Costel (2010): Systematic risks for the financial and for the non-financial Romanian companies. Published in: The Proceedings of the International Conference CKS 2010, “Challenges of the Knowledge Society”, Bucharest, April 23-24, 2010 – 4th Edition (4 August 2010): pp. 1786-1795.

Abstract

The systematic risk is considered as one of the most important factors that influence the investment in financial assets. Usually, it is evaluated in the framework of the Capital Asset Price Model. The systematic risk associated to firm equities is affected by some firm’s characteristics, among them being the particularities of its activity. In the last decade the financial markets from Romania experienced a substantial development interrupted by the recent global crisis that provoked significant changes for the financial risks. In this paper we study, using CAPM betas, the systematic risk for the Romanian companies listed at the Bucharest Stock Exchange. We find significant differences between the financial and the non financial companies’ systematic risks.

• Item Type: MPRA Paper
• Language: English
• Keywords: Systematic risk, CAPM Betas, Bucharest Stock Exchange, Global Crisis, Financial and Non Financial Companies
• Subjects: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G10 - General; G - Financial Economics > G2 - Financial Institutions and Services > G20 - General

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