Stock selection based on financial ratios on the Warsaw Stock Exchange. Analysis between 2001 and 2010 Cover Image

Stock selection based on financial ratios on the Warsaw Stock Exchange. Analysis between 2001 and 2010
Stock selection based on financial ratios on the Warsaw Stock Exchange. Analysis between 2001 and 2010

Author(s): Tomasz Węgrzyn
Subject(s): Economic history, Transformation Period (1990 - 2010), Financial Markets
Published by: Masarykova univerzita
Keywords: financial ratios; stock selection; synthetic measure of development;
Summary/Abstract: The process of a portfolio optimisation is preceded by a stock selection. The article is concentrated on using the synthetic measure of development in the stock selection. The synthetic measure of development proposed by Hellwig (Hellwig, 1968) is one of the methods of linear arrangement. It enables the classification of companies in relation to the set variables, that are financial ratios. The purpose of the article is to study if one of five quantile portfolios is systematically giving higher rate of return than the benchmark portfolio.