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Consumption-Based Equity Valuation
Bach, Christian - 2016
Using a CCAPM-based risk-adjustment model, we perform yearly valuations of a large sample of stocks listed on NYSE, AMEX and NASDAQ over a thirty-year period. The model differs from standard valuation models in the sense that it adjusts forecasted residual income for risk in the numerator rather...
Persistent link: https://www.econbiz.de/10013003022
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The COVID-19 Stock Market Downturn : Expected Growth or Discount Rate?
Böni, Pascal - 2020
We use the Gordon (1959) constant growth model to explain stock returns of S&P500 index constituents during the COVID-19 implied market downturn and subsequent V-shaped recovery. Stock returns are largely affected by a change in the implied growth rate w and only to a lesser extent by a change...
Persistent link: https://www.econbiz.de/10012831259
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The profitability of following analyst recommendations on the Polish stock market
Zaremba, Adam; Konieczka, Przemysław - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 22-31
analysts' recommendations from Poland. Second, it examines the relations between these patterns and the size of the rated … use monthly stock level data from Poland and the sample period is 2004 - 2013. In order to examine the profitability of … analysts' reports, we build market-neutral portfolios and test their performance against CAPM, Fama-French three-factor and …
Persistent link: https://www.econbiz.de/10011393259
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Financial frictions and the reaction of stock prices to monetary policy shocks
Ozdagli, Ali - 2014 - This version: July 29, 2014
This paper reveals and tests a new theoretical implication of the credit channel of monetary policy: as financial frictions (monitoring or auditing costs) increase, the reaction of stock prices to monetary policy shocks decreases. Correspondingly, towards the end of the Enron accounting scandal,...
Persistent link: https://www.econbiz.de/10010395119
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The impact of foreign stock exchanges on the main stock exchange indexes in Poland
Augustyński, Iwo - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 1, pp. 1-12
Russian and American economic crisis and Poland's access to the European Union. -- stock indexes ; international capital flow …
Persistent link: https://www.econbiz.de/10009510812
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Paper profits from value, size and momentum : Evidence from the Polish market
Zaremba, Adam; Konieczka, Przemysław - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 3, pp. 58-69
In this paper we investigate sources and characteristics of value, size and momentum profits on the Polish stock market. The research aims to broaden the academic knowledge in a few ways. First, we deliver fresh out-of-sample evidence on value, momentum, and size premiums. Second, we analyzemthe...
Persistent link: https://www.econbiz.de/10011455379
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Estimation of risk neutral measure for Polish stock market
Kliber, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 10 (2014) 2, pp. 28-37
In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal...
Persistent link: https://www.econbiz.de/10010468362
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The low price effect on the Polish market
Zaremba, Adam; Żmudziński, Radosław - In: E-Finanse : finansowy kwartalnik internetowy 10 (2014) 1, pp. 69-85
In this paper we investigate the characteristics of the low price anomaly, which implies higher returns to stocks with a low nominal price. The research aims to broaden academic knowledge in a few ways. Firstly, we deliver some fresh evidence on the low price effect from the Polish market....
Persistent link: https://www.econbiz.de/10010390247
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The Effectiveness of Fundamentally-Adjusted Price-to-Sales Multiple in Stock Valuation : The Case of Warsaw Stock Exchange
Welc, Jacek - 2011
In the paper, we evaluated the effectiveness of fundamentally-adjusted price-to-sales multiple in discriminating between undervalued and overvalued stocks listed on the Warsaw Stock Exchange. Because net sales are always positive, the significant advantage of P/S multiple is its usefulness in...
Persistent link: https://www.econbiz.de/10013134015
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Do extreme market value ratios mean that the market is informationally inefficient? : a study of the Warsaw Stock Exchange
Karasiński, Jacek; Zduńczak, Patryk - In: Journal of economics & management 43 (2021) 1, pp. 206-224
Aim/purpose - The aim of this paper is to verify whether extremely high values of market value ratios are the symptoms of informational inefficiency of the market in a weak form. The authors intend to examine whether these phenomena co-occur with each other. Design/methodology/approach -...
Persistent link: https://www.econbiz.de/10013166614