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Capital Asset Pricing Model Testing at Warsaw Stock Exchange: Are Family Businesses the Remedy for Economic Recessions?

Collegium of Business Administration, Warsaw School of Economics, 02-554 Warsaw, Poland
Int. J. Financial Stud. 2014, 2(3), 266-279; https://doi.org/10.3390/ijfs2030266
Received: 16 April 2014 / Revised: 8 July 2014 / Accepted: 11 July 2014 / Published: 22 July 2014
(This article belongs to the Special Issue Performance and Behavior of Family Firms)
In this article, we test the capital asset pricing model (CAPM) on the Warsaw Stock Exchange (WSE) by measuring the performance of two portfolios composed of construction firms: family-controlled and nonfamily controlled. These portfolios were selected from the WIG-Construction (WIG—Warszawski Indeks Giełdowy—Warsaw Stock Exchange Index). The performance of both portfolios was measured in the period from 2006 to 2012 with respect to three sub-periods: (1) pre-crisis period: 2006–2007; (2) crisis period: 2008–2009; and (3) post-crisis period: 2010–2012. This division was constructed in this way to find out how family firms performed in crisis times in relation to nonfamily firms. In addition, the construction portfolio was chosen due to its sensitivity to recessions. When an economy faces a downturn, construction firms are among the first to be exposed to risk. The performance was measured by using the capital asset pricing model with statistical inference. We find that public family firms significantly outperformed non-family peers in the crisis times. View Full-Text
Keywords: CAPM; beta; portfolio return; Polish family firms; Warsaw Stock Exchange CAPM; beta; portfolio return; Polish family firms; Warsaw Stock Exchange
MDPI and ACS Style

Lipiec, J. Capital Asset Pricing Model Testing at Warsaw Stock Exchange: Are Family Businesses the Remedy for Economic Recessions? Int. J. Financial Stud. 2014, 2, 266-279.

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