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    Wyświetlanie 1-4 z 4
    Tytuł:
    Assessment of the effectiveness of Polish social responsible company portfolios based on moving averages
    Autorzy:
    Jamróz, Paweł
    Piekunko-Mantiuk, Iwona
    Powiązania:
    https://bibliotekanauki.pl/articles/2125584.pdf
    Data publikacji:
    2019
    Wydawca:
    Uniwersytet w Białymstoku. Wydawnictwo Uniwersytetu w Białymstoku
    Tematy:
    social responsibility company
    securities portfolios
    socially responsible investments
    moving average
    technical analysis
    Opis:
    Purpose – Assessment of the effectiveness of portfolios composed of shares of Polish socially responsible companies based on moving averages and determination of their optimal lengths. Research method – The moving average method was used as a part of the technical analysis of companies included in the RESPECT index. Data from the Thompson Reuters database was used using the Metastock XVI program. The research was conducted on daily data from 30/12/2009 to 30/09/2019 (2418 sessions). The strategies used to build the portfolios were optimized to maximize the rate of return. Results – Definitely higher rates of return were obtained by using two moving averages rather than one. Multi-component portfolios based on two averages generated better results than the buy and hold strategy and compared stock indexes: RESPECT, WIG20, WIG30, WIG. There is a different optimal average length for each portfolio tested that should be used to maximize returns. Originality / value / implications / recommendations – According to the authors’ knowledge this paper is one of the first studies in Poland that uses moving averages to optimize the investment portfolio using shares of socially responsible companies. Owing to the results obtained, the work indicates that there are simple investment strategies that enable achieving above-average returns in the long run, which undermines the hypothesis of information-efficient markets in a weak form.
    Źródło:
    Optimum. Economic Studies; 2019, 4(98); 163-175
    1506-7637
    Pojawia się w:
    Optimum. Economic Studies
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Comparison of the Tails of Market Return Distributions
    Autorzy:
    Koronkiewicz, Grzegorz
    Jamróz, Paweł
    Powiązania:
    https://bibliotekanauki.pl/articles/429869.pdf
    Data publikacji:
    2014
    Wydawca:
    Uniwersytet w Białymstoku. Wydawnictwo Uniwersytetu w Białymstoku
    Tematy:
    Stock-market returns
    fat tails
    Extreme Value Theory
    Generalized Pareto Distribution
    Opis:
    The aim of this study is to analyze the tails of the distributions of stock market returns and to compare the differences between them. It is a well-established fact that the vast majority of stock market return distributions exhibit fat tails (a bigger probability of extreme outcomes then in the case of the normal probability). Apart from that, there seems to be a popular opinion that most market returns are negatively skewed with a fatter left tail. The study utilizes two methods for comparing the tails of a distribution. A simple approached based on the sample kurtosis, with a modification that allows for the calculation of kurtosis separately for the right and the left tail of a single distribution and a more complex approach based on the maximum likelihood fitting of the Generalized Pareto Distribution to both tales of standardized return distributions. The second approach is based on the assumptions of the Extreme Value Theory (EVT) and the Pickands-Balkema-de Haan theorem. Both approaches provide similar conclusions. Results suggest that whether the left or the right tail of the return distribution is bigger varies from market to market. All four major equity indices of the Polish Warsaw Stock Exchange exhibited a fatter left tale. However, in the whole sample it was actually more common for the right tail to be heavier, with 12 indices out of 20 exhibiting a fatter right tail then the left. The sample kurtosis indicated that all stock market return’s distributions were heavy tailed, whereas the estimates of Generalized Pareto Distribution parameters did indicate standard or thin tails in two cases. Statistical tests indicate that the differences between the tails of stock market distributions are not statistically significant
    Źródło:
    Optimum. Economic Studies; 2014, 5(71)
    1506-7637
    Pojawia się w:
    Optimum. Economic Studies
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Impact of the COVID-19 pandemic on the results of Polish socially responsible funds
    Autorzy:
    Jamróz, Paweł
    Żebrowska-Suchodolska, Dorota
    Powiązania:
    https://bibliotekanauki.pl/articles/2124625.pdf
    Data publikacji:
    2021
    Wydawca:
    Uniwersytet w Białymstoku. Wydawnictwo Uniwersytetu w Białymstoku
    Tematy:
    mutual funds
    socially responsible investments
    investment efficiency
    Opis:
    Purpose – The aim of the paper is the evaluation of the results of Polish socially responsible funds during the pandemic period in comparison to two previous subperiods. Research method – In the research, the nonclassical meters of investment efficiency were used. They were designed for three research subperiods. They provided the basis for creating rankings and for studying the stability of results. The results were compared with the WIG and WIG-ESG index results.Results – The studied socially responsible funds noted lower results in the period directly before the pandemic. In the pandemic period, they, however, noted higher results than the WIG index.Originality / value / implications / recommendations – The paper bridges the research gap pertaining to the research on the results of Polish socially responsible funds during the pandemic period. The article, according to the authors’ knowledge, is one of the first papers in Poland which studies the results of socially responsible funds during the pandemic period.
    Źródło:
    Optimum. Economic Studies; 2021, 4(106); 70-82
    1506-7637
    Pojawia się w:
    Optimum. Economic Studies
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Monitoring of the rock mass moisture in the crystal caves nature reserve
    Autorzy:
    Jamróz, Paweł
    Socha, Katarzyna
    Powiązania:
    https://bibliotekanauki.pl/articles/2203350.pdf
    Data publikacji:
    2022
    Wydawca:
    Polska Akademia Nauk. Czytelnia Czasopism PAN
    Tematy:
    Kopalnia Soli Wieliczka
    monitoring kopalni
    czujnik wilgotności
    rock mass moisture
    halite
    underground nature reserve
    measurement system
    Opis:
    The paper presents the results of works related to the analysis of microclimate hazards in the Crystal Caves of the Wieliczka Salt Mine. The paper focused on the development of a device for monitoring, testing and preliminary measurements of the gravimetric water content of rock in the Crystal Caves. The multisensory measurement system equipped with capacitive soil moisture sensors has been developed, calibrated and optimised. The system was used for monitoring moisture content in the sidewall and thill of the Crystal Caves.
    Źródło:
    Archives of Mining Sciences; 2022, 67, 4; 729--742
    0860-7001
    Pojawia się w:
    Archives of Mining Sciences
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-4 z 4

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