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Testing the Maturity of the Polish Stock Market
Cwynar, Wiktor - 2013
risk assessment models to the Polish stock market, techniques like the CAPM are still inadequate for young, developing …
Persistent link: https://www.econbiz.de/10013094924
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Using the ICAPM to estimate the cost of capital of stock portfolios: empirical evidence on the Warsaw Stock Exchange
Urba´nski, Stanislaw; Leśkow, Jacek - In: Statistics in transition : an international journal of … 21 (2020) 1, pp. 73-94
The aim of this paper is to present the method for estimating the cost of capital of typical portfolios available on the Warsaw Stock Exchange. The authors introduce the three factor Fama-French model and its two modifications. They also apply the bootstrap method to evaluate the variability of...
Persistent link: https://www.econbiz.de/10012183556
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Liquidity and solvency of a company and the rate of return : an analysis of the Warsaw Stock Exchange
Zalewska, Justyna; Nehrebecka, Natalia - In: Central European economic journal 6 (2019) 53, pp. 199-220
still not clear. Poland is the most economically developed country in Central and Eastern Europe. A thorough analysis is … 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 …
Persistent link: https://www.econbiz.de/10012303197
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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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Size, value and liquidity : do they really matter on an emerging stock market?
Lischewski, Judith; Voronkova, Svitlana - 2010
Schwellenländern erklären. Sie fokussiert auf den polnischen Aktienmarkt, der bisher in diesem Forschungsbereich nicht berücksichtigt …, Unternehmensgröße und Buch-zu-Marktwert analysieren wir daher, inwiefern Liquidität bei der Preisbildung auf dem polnischen Aktienmarkt … Aktienmarkt relevant sind. Im Gegensatz zu den Erwartungen bezüglich des Einflusses des Liquiditätsfaktors finden wir keinen …
Persistent link: https://www.econbiz.de/10008660508
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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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Does it Pay to Invest in IPOs? Evidence from the Warsaw Stock Exchange
Sieradzki, Rafał - 2013
In this paper we analyze IPO underpricing on the Warsaw Stock Exchange between 2003 and 2011. The average initial return was positive (14.2%), which is similar to the findings on other equity markets. Medium and long-run abnormal returns (1-month, 3-months and 1-year) on average are negative and...
Persistent link: https://www.econbiz.de/10013087108
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The Dynamics of Low-Frequency Liquidity Measures on the German and the Polish Stock Market
Bedowska-Sojka, Barbara - 2017
This paper examines the commonality in liquidity measures in two stock markets at different stage of development, the Deutsche Börse and the Warsaw Stock Exchange. Using daily data from 2001 to 2016 we show that since 2005 the aggregate liquidity measures from both markets behave similarly...
Persistent link: https://www.econbiz.de/10012942376
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The Low Price Anomaly : the Intriguing Case of the Polish Stock Market
Zaremba, Adam - 2016
This study investigates the low-price effect on the Polish stock market. By adopting sorting, cross-sectional tests and checks of the monotonic relation, we have examined the performance of the portfolios formed on the prices of over 850 companies listed on the Polish stock market within the...
Persistent link: https://www.econbiz.de/10013004742