scholarly journals The Influence of Negative Beta Assets on the Empirical SML in the Polish Capital Market

2009 ◽  
Vol 8 (1) ◽  
pp. 140-153
Author(s):  
Rafał Wolski
Keyword(s):  
Capital Market ◽  
Empirical Data ◽  
Stock Exchange ◽  
Classical Approach ◽  
Research Hypothesis ◽  
Straight Line ◽  
Warsaw Stock Exchange

The Influence of Negative Beta Assets on the Empirical SML in the Polish Capital MarketThe classical approach to the SML assumes that it is a straight line, which means that an investor is willing to accept lower return on the negative beta assets than on the risk-free assets. However, Cloninger, Waller, Bendeck and Revere (2004) challenged this commonly accepted approach. The author of the paper decided to verify the approach using empirical data for years 1999-2006 obtained from the Warsaw Stock Exchange. Finance theoreticians believe that the SML is linear, which means that an investor buying negative beta assets is willing to accept lower return than in the case of a risk-free asset. Cloninger et al. (2004) formulated a hypothesis stating that the SML is V-shaped and that it is not a straight line. It was concluded that an investor had no reason to accept lower return of the negative beta assets; quite the contrary, the investor would expect the same return as on the positive beta ones. The author of this article performed an investigation for the Polish market, taking advantage of companies quoted at the Warsaw Stock Exchange. The investigation demonstrated that between 1999 and 2006, the SML had a V-like shape and thus the research hypothesis formulated in the article was positively verified.

scholarly journals ELEMENTS OF CONTROL THEORY APPLIED TO AN INVESTMENT PORTFOLIO IN THE CAPITAL MARKET. THE OPTIMAL TIME HORIZON FOR SELLING A PORTFOLIO

2015 ◽  
Vol 1 (310) ◽  
Author(s):  
Jerzy Tymiński
Keyword(s):  
Capital Market ◽  
Stock Exchange ◽  
Optimal Time ◽  
Dynamic Programming Method ◽  
Financial Instruments ◽  
Investment Portfolio ◽  
Warsaw Stock Exchange ◽  
Investment Portfolios ◽  
Rational Investment ◽  
The Capital Market

The article presents a concept of capital management for assembling investment portfolios. Two optimization variants of a portfolio to be purchased are discussed. Portfolio I is structural, using the „traditional model”. To assemble Portfolio II, elements of reliability theory and the dynamic programming method were used. The article also analyses the sale of a portfolio with respect to the demand for financial instruments in the capital market. The presented concept dealing with rational investment decisions during transactions at the Warsaw Stock Exchange can also be used by managers to create an effective portfolio of financial instruments.

scholarly journals Alternative Securities Markets as Financing Sources for SMEs – Selected Aspects of AIM and NC

2017 ◽  
Author(s):  
Joanna Małecka
Keyword(s):  
Financial Market ◽  
Capital Market ◽  
Stock Exchange ◽  
Annual Reports ◽  
Stock Exchanges ◽  
Special Focus ◽  
Growing Stock ◽  
Warsaw Stock Exchange ◽  
Market Operation ◽  
The Uk

Small and medium-sized enterprises are the foundation for the development of each contemporary national economy. Their number affects macroeconomic indices of economies and directly translates into the labour market created by SMEs. This article aims to investigate the key conditionings behind the macroeconomic significance and legal factors of the financial market operation in Poland and the UK, with particular emphasis on the stock exchange as the fundamental element of the capital market. Both AIM and NewConnect are platforms dedicated to SMEs, which have been allowed easier access to this capital market segment by minimising mandatory legal conditions. This study analyses the number of listed companies and their capitalisation values in 1999–2015, covering: the rules of the financial market operation, with a special focus on the legal bases of the stock market operation in the economies investigated; legal conditions for the development of this economic segment; and a detailed analysis of the number of participants and capitalisation values achieved on the Warsaw and London Stock Exchanges, in particular AIM and NewConnect. This paper builds on source data from various annual reports and stock exchange publications drawn up and made available by stock exchanges and financial supervisors. The attempt to compare the indices and capacities of the WSE and the NC with the biggest European player is motivated by the fact that the Warsaw Stock Exchange is classified as the largest and most dynamically growing stock exchange in Central and Eastern Europe.

scholarly journals ESG Transparency on the Polish Capital Market

2018 ◽  
Vol 21 (2) ◽  
pp. 55-72
Author(s):  
Robert Sroka
Keyword(s):  
Corporate Governance ◽  
Capital Market ◽  
Stock Exchange ◽  
Comprehensive Analysis ◽  
Financial Data ◽  
Related Data ◽  
Information Gap ◽  
Warsaw Stock Exchange ◽  
Research Show

The article presents the results of five years of research on transparency levels regarding the disclosure non‑financial data by companies listed on the Warsaw Stock Exchange (WSE). The research was conducted as part of a project entitled “ESG analysis of companies in Poland”. The goal of the project is to provide credible knowledge about the quality of environmental, social and corporate governance (ESG) data on the Polish capital market. The article mainly contains the results of a comprehensive analysis of how well the listed companies reported ESG related data in 2016. The five years of analysis enable us to show a change in the level of non‑financial data disclosure between 2012 and 2016.1 The results of the research show that, from an investor’s perspective, there is still a huge information gap on the Polish capital market, especially in the reporting of environmental and social data.

scholarly journals Initial Public Offering (IPO) as a Potential Source of Capital for the Development of the Wood-based Industry Enterprises in Poland

2019 ◽  
Vol 1 (1) ◽  
pp. 117-123
Author(s):  
Leszek Wanat ◽  
Łukasz Sarniak ◽  
Elżbieta Mikołajczak
Keyword(s):  
Initial Public Offering ◽  
Capital Market ◽  
Stock Exchange ◽  
Descriptive Analysis ◽  
Green Economy ◽  
Development Level ◽  
Warsaw Stock Exchange ◽  
Order Preference ◽  
Public Offering ◽  
The Capital Market

Abstract The quest for new sources of financing for the development of green economy sectors and enterprises is one of the challenges to effective management. This study verifies whether a relationship exists between the activity of selected companies who access the capital market in search for new financing sources, their development level and their competitive edge. The sample used in this study was composed of companies from the forestry and wood-based sector (a major part of the Polish economy) listed on the Warsaw Stock Exchange. The Technique for Order Preference by Similarity to an Ideal Solution (TOPSIS) was used to assess the development level of selected enterprises. The main recommendations were formulated based on the findings from the analysis of performance ratios and from the comparative and descriptive analysis of data on stock exchange transactions in the wood-based sector. This is because the assumption was made that by becoming more active in the capital market and, as a consequence, by strengthening their competitive position, the enterprises covered by this study may contribute to adding value in the circular economy.

scholarly journals The Profitability of the Strategy Linking Fundamental, Portfolio and Technical Analysis on the Polish Capital Market

2016 ◽  
Vol 16 (1) ◽  
pp. 113-146 ◽  
Author(s):  
Marcin Flotyński
Keyword(s):  
Regression Model ◽  
Capital Market ◽  
Quantitative Methods ◽  
Financial Analysis ◽  
Stock Exchange ◽  
Moving Average ◽  
Technical Analysis ◽  
Relative Strength ◽  
Concurrent Use ◽  
Warsaw Stock Exchange

Abstract In the article, several methods of taking investment decisions are described: a fundamental, portfolio, and technical analysis. They constitute different approaches which are convenient for different types of investors with various expectations and time horizons of their investments. The simultaneous combination of these three analyses is not popular. The aim of this study is to test the effectiveness of simultaneous use of a fundamental analysis, portfolio analysis, and technical analysis for shares quoted on the Warsaw Stock Exchange (WSE) in 2000–2007. The research hypothesis is advanced that the concurrent-linked application of a fundamental, portfolio, and technical analysis brings better results than the separate use of these analyses. Models of capital market, such as CAPM and APT, have been used, as well as P/E ratio, Return on Equity (RoE), Relative Strength Index (RSI), and Exponential Moving Average (EMA). The combination of a financial analysis, technical indicators, and models of the capital market in order to invest on the stock exchange is author’s own method. In general, the survey has been carried out on the grounds of quantitative methods (financial analysis, regression model, and multi regression model) and a comparative analysis. The results of the research have been used to create diversified portfolios on the WSE. It occurs that the concurrent use of the three analyses brings the highest rate of return of a portfolio.

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 Changes in the Stock Market of Food Industry Companies during the COVID-19 Pandemic—A Comparative Analysis of Poland and Germany

Energies ◽  
2021 ◽  
Vol 14 (23) ◽  
pp. 7886
Author(s):  
Elżbieta Kacperska ◽  
Jakub Kraciuk
Keyword(s):  
Stock Market ◽  
Capital Market ◽  
Food System ◽  
Stock Exchange ◽  
Food Sector ◽  
Rates Of Return ◽  
Thomson Reuters ◽  
Warsaw Stock Exchange ◽  
Polish Government ◽  
Market Indexes

The COVID-19 pandemic had a dramatic effect on the world economy, leading to disturbances in the global agri-food system. Disrupted supply chains caused instability in the market resulting in mixed reactions among market participants. The balance in the access and availability of food was disturbed at various levels starting from local up to international. Partial lockdowns of economies affected the equilibrium on the labor market in the food sector, the level of income and food security. The aim of this study was to determine the effect of shock caused by the COVID-19 pandemic on rates of return from shares of companies in the agri-food sector listed in Poland and Germany, as well as indicate dependencies between restrictions imposed by the investigated countries and changes in the rates of return from shares as a result of the pandemic. The source of data for the analyses of the capital markets in Poland and Germany was the Thomson Reuters database. In order to determine the effect of shock caused by the coronavirus pandemic and restrictions imposed by the states on the capital market the abnormal rates of return were calculated for shares of 24 Polish and 23 German companies from the food sector. The investigated Polish companies were listed on the Warsaw Stock Exchange, while the German companies were listed on the Frankfurt Stock Exchange and other stock exchanges in Germany. Calculations were based on stock market indexes: for the Polish stock exchange it was WIG and WIG-food, while for the German capital market it was DAX and DAX Food & Beverages. In this study the Stringency Index was also used as a tool to follow the response of the governments to the coronavirus pandemic. The results indicate that following the pandemic outbreak large reductions were observed for cumulative rates of return from shares as a consequence of the pandemic both in Poland and Germany. Abnormal cumulative rates of return for the investigated companies were comparable. Markedly greater increases in abnormal rates of return were recorded for the Polish companies of the food sector listed at the Warsaw Stock Exchange. The Stringency Index indicates that restrictions imposed by the German authorities in response to the coronavirus pandemic were slightly more radical than those introduced by the Polish government.

scholarly journals PRICE-GENERATING CHARACTER OF INFORMATIONS ABOUT NET FINANCIAL RESULT IN THE CASE OF WARSAW STOCK EXCHANGE

2019 ◽  
Vol 31 (1) ◽  
pp. 75-80
Author(s):  
Bartlomiej Lisicki
Keyword(s):  
Capital Market ◽  
Stock Exchange ◽  
Accounting System ◽  
Financial Instruments ◽  
Information Efficiency ◽  
Warsaw Stock Exchange ◽  
Study Methodology ◽  
Financial Result ◽  
Event Study Methodology ◽  
The Capital Market

For most governments in the world, a fundamentally strong economy is the goal of their politics. One of the determiners of such economy is operating and developed capital market. This process, however, entails the necessity of its effectiveness. In relation to the capital market, the effectiveness may be defined in three dimensions [Sharpe, 1992]. One of them is the so-called information efficiency. The first man who drew attention on the possibility of occurrence informatively effective capital market was L. Bachelier [1900]. In his study he included a theory of price formation on the French stock exchange. However, its first actual definition has been put forward much later by E. Fama [1965]. According to it, on efficient capital market “prices always fully reflect all available information”.There is a number of information that may impact on the prices of financial instruments. These include: news of profit sharing (dividend payments), stock exchange analysts' recommendations, transactions made by insiders, split or resplit shares and information not necessarily related to particular company or an economic sector. Moreover, this information may be evidences derived from accounting. Data from the accounting system has a very significant impact related to the prices of companies listed on global stock exchanges. They enable the investors’ risk on the capital market. Concerning to that, they can improve the selection of entities characterized by a good economic and financial situation. Placing funds in these can mean that investors will achieve above-average profits in the future.One of the most important data coming from the accounting system is the information about companies net financial result (net profit or loss). Informing market participants about the net financial result may affect the price volatility of the issuer's financial instruments. It was already written about in current of the capital market research in accounting in the 1960s [Ball, Brown, 1968].Main aim of this paper was examination the impact of announcement information about net financial result on the market value the biggest companies listed on the Warsaw Stock Exchange grouped in the WIG20 index. To achieve this aim have used the event study methodology-one of the methods of measuring information efficiency of the capital market [Fama, 1969]. It is a research instrument used to assess investors’ reactions, while on the other hand it can be used as an element of financial market efficiency evaluation. For this purpose constructed 5-day long event window (where t0 was a day of announcement the financial report). Using the event study methodology, were calculated the abnormal returns for each quarterly report publications between 2016 and mid-2018 for each company in WIG20 index. Results of this paper are given below.

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