Systematic risk and innovativeness influencing the market rate of return on the alternative exchanges in Poland and the UK: a comparative study
by Katerina Lyroudi; Monika Bolek; Anna Pluskota
International Journal of Decision Sciences, Risk and Management (IJDSRM), Vol. 10, No. 1/2, 2021

Abstract: This paper investigates whether systematic risk, measured by the beta coefficient, has any significant impact along with the intangible assets and other related factors on the market rate of return of companies listed on the alternative exchanges NewConnect, and AIM for the period 2007-2019. After Brexit, the Polish exchange remains the largest alternative platform in the EU, replacing the UK's AIM market. The former represents the developing markets and the latter the developed ones in Europe. We use correlation, OLS and GMM analysis to achieve our objectives. The empirical results indicated that for both alternative markets the intangible assets, representing innovativeness, systematic risk and company size, are positively and significantly influencing the market rate of return. On the other hand, for both markets, the innovativeness and risk have no linear relation in contrast to what we expected. Finally, comparing these two markets, we found that there are significant differences, so the NewConnect cannot replace totally the AIM in the after Brexit era.

Online publication date: Mon, 13-Sep-2021

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