Słoń w składzie porcelany? Empiryczna analiza wyników Berkshire Hathaway a płynność inwestycyjna
An Elephant in a China Shop? An Empirical Analysis of Berkshire Hathaway's Performance and Investment Liquidity

Summary/Abstract: This article examines how market liquidity and managerial sentiment affect Berkshire Hathaway's performance using a multi-method econometric framework. I employ a combination of panel regressions, liquidity-augmented factor models, and two-stage least squares (2SLS), along with a sentiment measure--derived from Berkshire's shareholder letters--constructed using the VADER sentiment analysis tool. The findings support the existence of a persistent liquidity premium and a size-related dampening of risk-adjusted returns, both of which are robust to market, size, and value factors, as well as to pre/post-break stability tests (CUSUM, sup-Wald). Out-of-sample validation shows that the Liquidity-Tone Index provides incremental predictive power beyond standard quantitative proxies. Overall, the results highlight the interaction between structural (size/liquidity) and behavioral (textual tone) determinants of performance in large, value-oriented portfolios.

• Details
• Contents