CRYPTOCURRENCIES OR CAPITAL MARKETS. COMPARATIVE ANALYSIS OF INVESTMENT EFFICIENCY IN 2011-2020

Cryptocurrencies have become an important element of the global financial system and a frequent investment tool in the last decade. The aim of this paper is to compare the efficiency of investments in the cryptocurrency market with investments in global capital markets. The study used the quotations of the analyzed instruments in the years 2011-2020. The investment efficiency was estimated using Sharpe and Sortino ratios. Research has shown that investments in cryptocurrencies were the most effective. They brought, on average, the highest daily rates of return, but on the other hand, they were characterized by the highest risk. Such a result could have been significantly influenced by the widespread persistence of ultra-low interest rates and a decline in the attractiveness of debt securities. The best results were obtained for investments in bitcoin and ethereum, which have the largest share of cryptocurrency market capitalization.

Moderating Effect of Illiquidity on The Relationship Between Momentum and Equity Returns in The Kenyan Capital Markets

This paper sought to examine the moderating effect of illiquidity on the relationship between momentum and equity returns in the Kenyan capital markets. Previous studies have shown that illiquidity has a time-varying effect on momentum strategies, but little is known whether illiquidity has a moderating effect on the relationship between momentum and equity returns in Kenyan capital markets. A longitudinal research design was used for this study to examine the causal inference. Data comprised of monthly transactions on the 20 equities used in the formulation of the NSE 20 share index over the period between Jan 2009 and up to March 2018 which formed 111 data points. ADF and PP results showed that Returns and momentum are stationary at levels while illiquidity was stationary at first difference. The error correction term was negative and statistically significant with or without the moderator. Results indicate that without a moderator percentage increase in momentum is linked to a 0.0000313% increase in returns in the short run. The study further shows that the effect of momentum on equity returns is moderated by illiquidity using a t-test. R2 changed from 0.427 to 0.4337 indicating a change of 0.006 at 0.05% significant level suggesting that illiquidity moderates the relationship between momentum and equity returns in the Kenyan capital markets.

Financing Sources of Exploration Works in the Light of Risk Related to their Activity

The article presents an overview of the determinants of exploration works and the definition of the role of junior mines in those processes. Junior mines, as special purpose vehicles, focus on the stages of exploration and documenting of the deposits, without going into theoperational stage related to the exploitation. Due to their nature, those entities finance their activities with equity capital in the formof share issues on the capital markets, addressing their proprietory securities to investors who accept a high level of risk. The largeststock exchanges on which the exploration companies obtain the required funds have been identified, and the trends that complementcapital raising, concerning the involvement of private equity funds, have been presented.

Postfundamentals Price Drift in Capital Markets: A Regression Regularization Perspective

Regression regularization techniques show that deviations of accounting fundamentals from their preceding moving averages forecast drifts in equity market prices. Deviations-based predictability survives a comprehensive set of prominent anomalies. The profitability applies strongly to the long leg and survives value weighting and excluding microcaps. We provide evidence that the predictability arises because investors anchor to recent means of fundamentals. A factor based on our fundamentals-based index yields economically significant intercepts after controlling for a comprehensive set of other factors, including those based on profit margins and earnings drift. This paper was accepted by Gustavo Manso, finance.