Exploring Stability of Systematic Risk: Sectoral Portfolio Analysis .

 

 

 

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Exploring Stability of Systematic Risk: Sectoral Portfolio Analysis

 

 

العنوان: Exploring Stability of Systematic Risk: Sectoral Portfolio Analysis

WPS1002 :ISSN

الناشر : Arab Planning Institute - Kuwait

المؤلف (المؤلفين): Ibrahim Onour 

التاريخ: 2010

المحتويات :

Results in this paper support evidence of time-varying systematic risk (beta coefficients) for five sectors, their securities are traded in Kuwait Stock Market. The paper indicates banks, and real estate sectors exhibit relatively wider range of systematic risk variation compared to the other sectors. As higher volatility in risk factor imply additional difficulty in managing and controlling risk, then wider range of systematic risk imply more exposure to risk. This new interpretation of risk evaluation adds a new element to risk assessment tools, since the standard CAPM approach views risk as high or low depending on whether it is greater or lower than the market beta, which is a unit.