Autor: Konieczka, Przemysław - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Paper profits from value, size and momentum: evidence from the Polish market
Autorzy:: Zaremba, Adam
Konieczka, Przemysław
Powiązania:: https://bibliotekanauki.pl/articles/599578.pdf
Data publikacji:: 2015
Wydawca:: Wyższa Szkoła Informatyki i Zarządzania z siedzibą w Rzeszowie
Tematy:: value premium
size premium
momentum effect
cross-section of stock returns liquidity
transaction costs
Warsaw Stock Exchange
WSE
Polish stock market
Opis:: 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 interdependences among the factors. Third, we investigate whether the factor premiums are present after accounting for liquidity constraints. Fourth, we check whether the factor premiums are robust to transaction costs. Our research is based on all the stocks listed on the WSE in years 2001-2013. We find, that the value, momentum, and size premiums are to some extent present on the Polish market. Furthermore, they strengthen each other, but they disappear after accounting for transaction costs and liquidity.
Źródło:: Finansowy Kwartalnik Internetowy e-Finanse; 2015, 11, 3; 58-69
1734-039X
Pojawia się w:: Finansowy Kwartalnik Internetowy e-Finanse
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: THE PROFITABILITY OF FOLLOWING ANALYST RECOMMENDATIONS ON THE POLISH STOCK MARKET
Autorzy:: Zaremba, Adam
Konieczka, Przemysław
Powiązania:: https://bibliotekanauki.pl/articles/599640.pdf
Data publikacji:: 2015
Wydawca:: Wyższa Szkoła Informatyki i Zarządzania z siedzibą w Rzeszowie
Tematy:: stock market
stock recommendations
analysts
Warsaw Stock Exchange
Opis:: The profitability of analysts’ recommendations is documented in numerous studies from all over the world. However, the evidence from the Polish market is relatively modest. The primary aim of this study is to fill this gap. The paper contributes to the economic literature in four ways. First, it provides fresh out-of-sample evidence on return patterns following analysts’ recommendations from Poland. Second, it examines the relations between these patterns and the size of the rated companies. Finally, it investigates whether it is possible to design profitable strategies based on the discovered patterns. We 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 Carhart fourfactor models. The principal findings can be summarized as follows. First, we document that the top rated companies deliver better returns than the bottom rated companies. Second, we find that the profitability is particularly impressive among the small companies. Third, the abnormal returns are partially explained by momentum and value based factors. Finally, we provide evidence that strategies based on information in recommendations deliver statistically significant positive abnormal rates of return.
Źródło:: Finansowy Kwartalnik Internetowy e-Finanse; 2015, 11, 1; 22-31
1734-039X
Pojawia się w:: Finansowy Kwartalnik Internetowy e-Finanse
Dostawca treści:: Biblioteka Nauki

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