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Working Paper Series - Exploring Stability of Systematic Risk: Sectoral Portfolio Analysis



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Exploring Stability of Systematic Risk: Sectoral Portfolio Analysis


Volume : 0

No : 0

ISSN : WPS1002

Publisher : Arab Planning Institute - Kuwait

Author (s) : Ibrahim Onour 

Published Date : 1/1/2010


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

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