scholarly journals Opportunities and threats associated with an investment in shares of innovative companies — evidence from Polish capital market

2018 ◽  
Vol 9 (2) ◽  
pp. 225-244
Author(s):  
Tomasz L. Nawrocki
Keyword(s):  
Stock Exchange ◽  
Average Rate ◽  
Value Added ◽  
Investment Strategy ◽  
Efficiency Analysis ◽  
Rate Of Return ◽  
Investment Efficiency ◽  
Arithmetic Average ◽  
Information Diversity ◽  
Warsaw Stock Exchange

Research background: Since the Internet bubble, which took place at the turn of XX and XXI century, on the global capital markets, including Poland, one may note a growing interest in companies focusing on innovations and innovativeness. The main driver of this interest is the belief that in a longer term innovations and expenditures on research and development will translate into an increase in competitive advantage, financial results, and subsequently also the market value of companies. On the other hand, the attention should also be paid to the fact that innovative activity has also another, darker, side, which is identified with the far-reaching uncertainty about its final effects and the possibility of incurring losses, especially in financial dimension. At the same time, it should be noted that implementation of investment strategy regarding the shares of innovative companies is quite troublesome because of the lack of unified methodology for assessing corporate innovativeness and large information diversity in this area. Purpose of the article: The investment efficiency analysis of investment strategy regarding shares of companies perceived to be innovative with simultaneous focusing on the different cases of situation development in time. Methods: The research was carried out for companies listed on the main market of the Warsaw Stock Exchange, taking into consideration various time ranges of investment. The efficiency analysis of this investment strategy was conducted in the risk-return outlay with the use of such measures as: accumulated rate of return, arithmetic average rate of return, standard and semi-standard deviation, as well as coefficients of variation and semi-variation of rate of return and their inverses. Findings & Value added: The obtained results show that in shorter periods of time, inves-tors buy expectations connected with innovative companies and therefore, the efficiency of investment in their shares is relatively high, but in the longer term expectations are revised by companies’ financial results, which in turn often negatively affects the investment efficiency.

scholarly journals Opportunities and threats associated with an investment in shares of innovative companies — evidence from Polish capital market

2018 ◽  
Vol 9 (2) ◽  
pp. 225-244
Author(s):  
Tomasz L. Nawrocki
Keyword(s):  
Stock Exchange ◽  
Average Rate ◽  
Value Added ◽  
Investment Strategy ◽  
Efficiency Analysis ◽  
Rate Of Return ◽  
Investment Efficiency ◽  
Arithmetic Average ◽  
Information Diversity ◽  
Warsaw Stock Exchange

Research background: Since the Internet bubble, which took place at the turn of XX and XXI century, on the global capital markets, including Poland, one may note a growing interest in companies focusing on innovations and innovativeness. The main driver of this interest is the belief that in a longer term innovations and expenditures on research and development will translate into an increase in competitive advantage, financial results, and subsequently also the market value of companies. On the other hand, the attention should also be paid to the fact that innovative activity has also another, darker, side, which is identified with the far-reaching uncertainty about its final effects and the possibility of incurring losses, especially in financial dimension. At the same time, it should be noted that implementation of investment strategy regarding the shares of innovative companies is quite troublesome because of the lack of unified methodology for assessing corporate innovativeness and large information diversity in this area. Purpose of the article: The investment efficiency analysis of investment strategy regarding shares of companies perceived to be innovative with simultaneous focusing on the different cases of situation development in time. Methods: The research was carried out for companies listed on the main market of the Warsaw Stock Exchange, taking into consideration various time ranges of investment. The efficiency analysis of this investment strategy was conducted in the risk-return outlay with the use of such measures as: accumulated rate of return, arithmetic average rate of return, standard and semi-standard deviation, as well as coefficients of variation and semi-variation of rate of return and their inverses. Findings & Value added: The obtained results show that in shorter periods of time, inves-tors buy expectations connected with innovative companies and therefore, the efficiency of investment in their shares is relatively high, but in the longer term expectations are revised by companies’ financial results, which in turn often negatively affects the investment efficiency.

scholarly journals The Multifactorial Pastor-Stambaugh model: explaining the impact of liquidity on the rate of return based on the example of the Warsaw Stock Exchange

Equilibrium ◽  
2017 ◽  
Vol 12 (2) ◽  
pp. 211
Author(s):  
Agata Gniadkowska-Szymańska
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Stock Exchange ◽  
Value Added ◽  
Rate Of Return ◽  
Warsaw Stock Exchange ◽  
Incremental Rate ◽  
Finance Theory ◽  
The Impact ◽  
The Relationship

Research background: The liquidity of assets in the financial market is under-stood gener-ally as costs, and the easiest way in which different types of assets can be converted into cash, or to put it simply, sold at the currently available price on the market. For a considerable period of time this category had not been duly considered in the framework of modern finance theory. As a result, a number of basic models constructed within the framework of this theory in its classical form did not include problems with liquidity. This applies to a number of aspects related to liquidity, with one of the most important being the relationship between the liquidity of trading in shares and the results obtained from these rates of return.Purpose of the article: The aim of the article is to determine whether the rate of return on shares increases with the increase in share liquidity and the incremental rate of return on this account decreases with increasing liquidity. The applied re-search methodology is similar to that described by Pastor and Stambaugh (2003). The model used in the empirical study is the expanded model of Fama and Francha (1993) for the liquidity factor.Methods: In this paper I present various factors which will affect the liquidity. The paper will also provide the results of research concerning the relations between spread and stock return on the Warsaw Stock Exchange (WSE). The evidence drawn from WSE stock returns over the period 2004–2012 indicates that Amihuda measure and other variables have a significant effect on stock return using the multifactorial Pastor-Stambaugh.Findings & Value added: In the case of the Polish market, it can be stated that in the analysis based on the Pastor-Stambaugh model not all the variables included in this model are statistically significant. However, directional parameters associated with liquidity risk were statistically significant in all analyzed periods, which allows us to confirm the hypothesis that liquidity has a significant influence on the rate of return on shares listed on the Stock Exchange in Warsaw.

Fundamental Portfolio Construction Based on Semi-Variance

2013 ◽  
Vol 8 (2) ◽  
pp. 151-162 ◽  
Author(s):  
Anna Rutkowska-Ziarko
Keyword(s):  
Stock Exchange ◽  
Risk Measure ◽  
Equal Treatment ◽  
Rate Of Return ◽  
Portfolio Construction ◽  
Financial Situation ◽  
Markowitz Model ◽  
Synthetic Indicator ◽  
Warsaw Stock Exchange

In models for creating a fundamental portfolio, based on the classical Markowitz model, the variance is usually used as a risk measure. However, equal treatment of negative and positive deviations from the expected rate of return is a slight shortcoming of variance as the risk measure. Markowitz defined semi-variance to measure the negative deviations only. However, finding the fundamental portfolio with minimum semi-variance is not possible with the existing methods.The aim of the article is to propose and verify a method which allows to find a fundamental portfolio with the minimum semi-variance. A synthetic indicator is constructed for each company, describing its economic and financial situation. The method of constructing fundamental portfolios using semi-variance as the risk measure is presented. The differences between the semi-variance fundamental portfolios and variance fundamental portfolios are analysed on example of companies listed on the Warsaw Stock Exchange. 

scholarly journals Konkurencja wewnątrzorganizacyjna w grupach Kapitałowych

Ekonomista ◽  
2021 ◽  
Vol 5 ◽  
Author(s):  
WIOLETTA MIERZEJEWSKA
Keyword(s):  
Resource Competition ◽  
Stock Exchange ◽  
Market Competition ◽  
Business Groups ◽  
Value Added ◽  
Business Group ◽  
Entire Group ◽  
Competitive Behavior ◽  
Intermediate Structure ◽  
Warsaw Stock Exchange

Business groups as one of the forms of capital concentration began to appear in developed economies from the end of the 19th century as a result of geographical expansion, diversification and the development of enterprises stimulated by industrialization. Currently, they take a significant part of the value added in the economy. In the context of institutional regulation of transactions, business groups are considered to be an intermediate structure between a pure market and a pure hierarchy. The subsidiaries within a business group enter into various interactions, partly based on market principles, and partly regulated by hierarchical coordination mechanisms. Although the main goal of this structure is cooperation of subsidiaries, in their functioning one can see the formation of relations characterized by competition. The aim of the article is to identify the perception of competition processes within business groups. It is a relatively unexplored issue, studied mainly on the example of international corporations, but of great importance for the effectiveness of the entire business group. The research was based on a sample of 121 parent companies listed on the Warsaw Stock Exchange. The results of the research show that subsidiaries within a business group display competitive behavior towards their sister entities, although of low intensity. The tendency towards the prevalence of the resource competition (on the internal market) over the product and market competition (on the external market) is also visible. The research findings confirmed the existing conceptual analyses and enabled an in-depth characterization of competitive processes in business groups from the perspective of the entire group, taking into account the intensity and areas of competitive behavior.

scholarly journals A Statistical Analysis of Dividend in Chosen Companies Listed on the Warsaw Stock Exchange

2007 ◽  
Vol 6 (1) ◽  
pp. 75-85
Author(s):  
Małgorzata Łuniewska
Keyword(s):  
Statistical Analysis ◽  
Capital Market ◽  
Stock Exchange ◽  
Point Of View ◽  
Rate Of Return ◽  
Fundamental Analysis ◽  
Statistical Parameters ◽  
Stock Analysis ◽  
Warsaw Stock Exchange ◽  
The Capital Market

A Statistical Analysis of Dividend in Chosen Companies Listed on the Warsaw Stock Exchange The capital market appeared in Poland relatively not far ago, so it is the young market and is not shaped well. Although, the development rate does not satisfy all the believers of the capital market, it should be emphasized that this market is functioning and is developing. Market indicators are a significant element of the market analysis performed by means of fundamental analysis. The aim of this article is to study the statistic regularity in the scope of indicators connected with a dividend. In Poland dividend is not discussed often and indicators connected with dividend are practically not used in stock analysis. This study will show the usefulness of these measures in the analysis connected with investment on the stock exchange market. The analyses are conducted for some dividend variables on the Warsaw Stock Exchange (dividend rate of return and pay indicators, stopping and re-investment). The analyses concern data in the period of 2000÷2006. Some statistical parameters to detect statistical regularity for dividend rate of return and pay indicators, stopping and re-investment on the Warsaw Stock Exchange are used in the paper. The author tried to analyse the relation between selected variables too. The study should make it possible to decide if measures such as dividend rate of return and pay indicators, stopping and re-investment are unquestionably important and useful in stock analysis. It is particularly important from the point of view of long-term investment, as well as the fundamental analysis. They should be included in the group of market indicators in case of statistically significant influence of measures connected with a dividend on investment profitability. This leads to the possibility of significant growth of an investment that can turn out profitable on the capital market.

scholarly journals Liquidity and solvency of a company and the rate of return – an analysis of the Warsaw Stock Exchange

2020 ◽  
Vol 6 (53) ◽  
pp. 199-220
Author(s):  
Justyna Zalewska ◽  
Natalia Nehrebecka
Keyword(s):  
Least Squares Method ◽  
Stock Exchange ◽  
Financial Ratios ◽  
Rate Of Return ◽  
Rates Of Return ◽  
Developed Country ◽  
Return On Equity ◽  
Warsaw Stock Exchange ◽  
Capm Model ◽  
The Impact

AbstractThe purpose of the article is to analyse the impact of various financial ratios used to evaluate a company’s liquidity and solvency on the rates of return on the shares of companies listed on the Warsaw Stock Exchange. In the context of developing countries, the relationship between liquidity and solvency on the one hand and the return on equity on the other is still not clear. Poland is the most economically developed country in Central and Eastern Europe. A thorough analysis is necessary to take appropriate action and introduce adequate regulations in the country, as well as to create the foundation for researching other economies in this region. In addition, this article includes new estimators that have not yet been taken into account but that may affect the rates of return, which will contribute to the literature on the subject and to the development of knowledge on the volatility of returns on shares. In the study, we have calculated the time-varying beta coefficients of the capital asset pricing model (CAPM) model and analysed portfolios based on three liquidity ratios and four solvency ratios, which were computed using the CAPM, Fama–French and Carhart models. The empirical study described in the article focuses on companies listed on the Warsaw Stock Exchange in the period from 1 January 1999 to 30 June 2013. Regressions were estimated by the least-squares method and by quantile regression. Based on the results, it was found that listed companies at risk of bankruptcy are able to meet their short-term liabilities. Liquidity and solvency measured by financial ratios significantly affect the sensitivity of the rate of return on shares to the risk factors expressed in the CAPM, Fama––French and Carhart models.

scholarly journals Are Beta Parameters Stable on the Warsaw Stock Exchange?

2015 ◽  
Vol 3 (3) ◽  
pp. 65-74 ◽  
Author(s):  
Wiesław Dębski ◽  
Ewa Feder-Sempach ◽  
Bartosz Świderski
Keyword(s):  
Central And Eastern Europe ◽  
Stock Exchange ◽  
Rate Of Return ◽  
Investment Risk ◽  
Portfolio Investment ◽  
Financial Investment ◽  
Bear Market ◽  
Warsaw Stock Exchange ◽  
Measuring Frequency ◽  
Investment Portfolios

Beta parameter is one of the commonly used measurements of individual stockor portfolio investment risk and plays a crucial role in modern portfolio theoryparticularly in management of financial investment portfolios. Many studieshave been done in this field, particularly on its properties such as stability in thecontext of the stock market cycle phases, measuring frequency of rate of return,length of sample period. However, the number of studies concerning beta parameterin the counties of Central and Eastern Europe that have undergone systemictransformation at the end of the previous century is much lower. Therefore wedecided to study the changes of behavior of the beta parameter in those countries.The main aim of this article is to examine the beta parameter stability over bulland bear market conditions on the Warsaw Stock Exchange. The paper presentsan analysis of betas stability for 134 stocks of the largest companies listed at theWSE during years 2005–2013.

scholarly journals Characteristics identifying the companies conducting different dividend policy: evidence from Poland

Equilibrium ◽  
2020 ◽  
Vol 15 (1) ◽  
pp. 63-85
Author(s):  
Aleksandra Pieloch-Babiarz
Keyword(s):  
Stock Market ◽  
Dividend Policy ◽  
Stock Exchange ◽  
Value Added ◽  
Holistic Approach ◽  
Point Of View ◽  
Capital Growth ◽  
Different Types ◽  
Warsaw Stock Exchange ◽  
Research Gap

Research background: Dividend policy has been a subject of many scientific studies. Although most of them focus on its determinants, there is still a research gap concerning the lack of comprehensive research on the differences between companies implementing different types of dividend policy. Furthermore, no at-tempt has been made to indicate which of them could be considered as more attractive for stock market investor that invests in dividend stocks. Purpose of the article: The aim of this paper is to carry out a comparative analysis of companies with different dividend policy from the point of view of their investment attractiveness. Methods: The empirical research is conducted among the regular dividend payers listed on the main market of the Warsaw Stock Exchange in years 2001–2017. The data for analysis is collected from Notoria Service and Stock Market Yearbooks. The main calculations are carried out using the technique for order of preference by similarity to ideal solution (TOPSIS), descriptive statistics and one-way analysis of variance ANOVA with Fisher’s LSD test. Findings & Value added: The value added of this paper is a holistic approach to comparison of companies conducting different dividend policy. The most significant differences are observed in case of extreme and residual dividend policy. The first policy should be of particular interest to investors investing for dividends, while the second one should be attractive to investors that invest for capital growth. The research is valuable due to the lack of academic studies concerning different dividend policy in the context of attractiveness of investing in dividend shares.

scholarly journals Managerial ownership and catering to investor sentiment for dividends: evidence from the electromechanical industry sector on the Warsaw Stock Exchange

2020 ◽  
Vol 11 (3) ◽  
pp. 467-483
Author(s):  
Aleksandra Pieloch-Babiarz
Keyword(s):  
Stock Exchange ◽  
Pearson Correlation ◽  
Investor Sentiment ◽  
Value Added ◽  
Payout Policy ◽  
Information Criteria ◽  
Managerial Ownership ◽  
Industry Sector ◽  
Warsaw Stock Exchange ◽  
The Impact

Research background: Dividends have been the subject of scientific research for decades. However, many aspects of payout policy are still controversial, and research provides contradictory results. One research area is the impact of the ownership structure on dividend policy. Although many scientific studies on this subject have been conducted, there is still a lack of research on the impact of managerial ownership on adjusting the dividend payout to investor sentiment. It was this research gap that motivated us to investigate the issue. Purpose of the article: The aim of the paper is to evaluate how managerial ownership affects the disposition of companies to adjust their dividend payouts to investor sentiment. Achieving that objective provides stock market investors with additional information and allows for its practical implications as they seek the best investment opportunities. Methods: The main method of investigation is a panel regression model with random effects. This model is used based on the Breusch-Pagan test and the Hausman test, while the information criteria of Akaike, Schwarz, and Hannan-Quinn are also taken into consideration. Additionally, descriptive statistics and the Pearson correlation coefficient are used. The research sample consists of Polish companies from the electromechanical industry sector that are listed on the main market of the Warsaw Stock Exchange (WSE) in the period 2009–2018. Findings & Value added: Our findings reveal that: 1) an increase in dividend premium results in a higher payout in order to cater to investor sentiment; 2) if the manager holds the greatest number of shares, the catering effect weakens. The main contribution of the paper is a new approach to the catering theory of dividends, which includes the impact of managerial ownership.

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