Empirical Evidences on Systematic Risk for Central and Eastern European Shares

We analyzed the evolution of systematic risk (beta) for a sample of 436 non-financial companies from five Central and Eastern European countries for the period 2002- 2012. We found that Polish companies present the higher systematic risk, while Latvian companies, on average prove to be less risky. Our results suggest that high tech companies from Central and Eastern Europe have higher beta than utilities companies. We also identified a set of “defensive” shares in Czech Republic, Hungary and Latvia, and numerous “aggressive” shares in Poland.