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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

How Asset Irreversibility Influences the Investment-Uncertainty Relationship

Schauer (neé Klepsch), Catharina - 2016

This paper examines how industry-specific uncertainty affects firms' investments for varying degrees of asset irreversibility (i.e. the wedge between purchase price and liquidation value of an asset). To identify more or less irreversible capital goods, we exploit unique survey data on German...

Persistent link: https://www.econbiz.de/10012985786

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

Sorting Out Downside Beta

Post, Thierry - 2012

This study analyzes various measures of the downside beta of stocks. Downside beta is sometimes defined and estimated in different ways. Theoretically, an approach based on the mean-semi-variance equilibrium model appears superior. Two known alternative approaches are not consistent with the...

Persistent link: https://www.econbiz.de/10013112836

Internal Valuation of Assets with Liquidity Risk

Nauta, Bert-Jan - 2019

The inclusion of funding costs in the valuation of derivatives resulting in the so-called funding valuation adjustment (FVA) is a topic of intense debate, model development, and research. One issue with standard formulations of FVA is that it is the same for liquid and illiquid assets. Even if...

Persistent link: https://www.econbiz.de/10012905080

A Model for the Valuation of Assets with Liquidity Risk

Nauta, Bert-Jan - 2016

This paper describes a model for the valuation of assets on a bank balance sheet with liquidity risk. The new feature of this model is that it explicitly incorporates the funding term of an asset. The inclusion of the funding term is important since it determines the expected liquidation loss....

Persistent link: https://www.econbiz.de/10013003042

Construction, Systematic Risk, and Stock-Level Investment Anomalies

Aretz, Kevin; Kagkadis, Anastasios - 2021

We offer evidence that the tendency of high real-investment stocks to underperform others is driven by firms physically constructing new capacity. The conditioning ability of construction work does not come from differences in investment intensity, financing sources, or profitability. Yet, it...

Persistent link: https://www.econbiz.de/10013239312

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

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

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