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Modelowanie rozkładu tygodniowych stop zwrotu spółek wchodzących w skład indeksu WIG20 za pomocą rozkładu Laplace'a i Gaussa wpływ wartości koncentrac

Author(s): Kamila Bednarz / Language(s): Issue: 63/2013

In this paper the application of Laplace and Gaussian distributions in modelling the distribution of weekly rates of return of the WIG20 companies was examined. As one of the criteria used for assessing the usefulness of a distribution in modelling, the maximum observation period ensuring positive results of goodness of fit test was accepted. It has been observed that weekly data improved the quality of modelling compared with daily data, which was expressed in terms of the longer period of usefulness for both distributions. Furthermore, the attention was drawn to a curious regularity observed for the normal distribution expressed by an important relation between the change in the value of sample kurtosis and the result of the goodness of fit test.

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Ocena jakości estymatorów parametrów rozkładu GED dla wybranych metod estymacji

Author(s): Jan Purczyński / Language(s): Issue: 63/2013

In this paper the quality of an estimator of GED distriution shape parameter has been evaluated. The following estimators were considered: the one obtained through the maxi- mum likelihood method, the method of moments, and simplified methods. The quality of estimator was evaluated on the basis of the value of the bias and mean squared error. Computer simulations were conducted using random number generators with the Gaussian and Laplace distribution.

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Analiza strukturalna rynku Catalyst

Author(s): Mirosław Wypych / Language(s): Issue: 63/2013

This article aims to present the debt securities market Catalyst past trends and to assess its development in a variety of structural systems. From the performed considerations that the Catalyst market in less than three years of operation has gained wide acceptance among issuers. The share of the instruments listed in the issue value of all non-Treasury debt exceeds 40 percent. But the part of investors, especially individual investors, interest in secondary trading in debt securities is still small. Is reflected in a low liquidity market. Popularization of knowledge about the benefits of investing in debt securities is therefore fully justified. This is achieved by including this publication.

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Badanie przyczynowości między cenami spot i futures na przykładzie kontraktów terminowych na indeks WIG20

Author(s): Krzysztof Kompa,Edyta Marcinkiewicz / Language(s): Issue: 63/2013

The aim of the article is to examine the occurrence of Granger causality between futures and cash prices in the Polish capital market. For analysis the most liquid derivatives on the Stock Exchange in Warsaw, namely futures contracts on WIG20 index, were chosen. To further explore the dependencies studies were based on intraday data, as well as daily closing prices.

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Nowe regulacje zwiększające efektywność funkcjonowania NewConnect

Author(s): Dariusz Piotrowski,Anna Iwona Piotrowska / Language(s): Issue: 63/2013

NewConnect, acting as Alternative Trading System, has already passed the first phase of development. The number of listed companies proves that it has won recognition among market participants. However, long-term functioning of the market has shown some weaknesses relating to the high variability and low trading liquidity as well as irregularities in meeting information requirements. New regulations which are to be implemented by the Warsaw Stock Exchange may help boost the efficiency of NewConnect as seen by various market participants.

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Zawartość informacyjna kursów akcji

Author(s): Anna Kasprzak-Czelej / Language(s): Issue: 63/2013

Information content of stock prices can be analyzed in terms of the informational efficiency of stock market and the scope of reflecting firm-specific and private information. The type of this analysis depends on regarded kinds or classification of information and is associated with specific measures of stock prices information content. In the article, besides the above-mentioned distinction of the analysis aspects and the associated measures, the study of selected companies listed on the WSE was conducted using the autocorrelation of returns conditioned by trading volume.

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Cechy rozwoju giełdowego rynku akcji w Polsce

Author(s): Elżbieta Gruszczyńska-Brożbar / Language(s): Issue: 63/2013

In article take question of features of development stock market in Poland. It research these features on base of comparison with features of world exchanges. It return investigative note on value of capitalization and value of share trading.

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Własności opcji capped

Author(s): Ewa Dziawgo / Language(s): Issue: 63/2013

The article presents the issues connected with capped options: characteristic of the instrument, pricing model, payoff function, the influence of selected factors on the option price and the value of Greek coefficients (delta, gamma, vega, theta, rho) and the uses of options in risk management. The empirical data included in the article are concerned with the pricing simulations of the standard and capped options on EUR/PLN.

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Zależność pomiędzy rynkiem swapów kredytowych a rynkiem akcji

Author(s): Małgorzata Bołtuć / Language(s): Issue: 63/2013

The aim of this paper is to review research which has done up to now and test relationship between CDS, bond and stock. At the end it was also analyst of relationship between sovereign credit default swap for Poland and stock index WIG20. The results confirm the previous research that new information are more often embedded into stock market before they are embedded in CDS market. That means, that stock market has leading role before CDS market.

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Specyfika spółek dokonujących emisji SEO na giełdzie ASX

Author(s): Joanna Lizińska / Language(s): Issue: 63/2013

Many empirical studies in recent years tries to evaluate the effect of initial and seasoned equity issues on long-run performance. The key issue here is the proper method of abnormal returns calculation. These methods usually concentrate on characteristic- -based risk factors. The paper explores characteristics of firms offering seasoned equity during 1998-2011 on the Australian Securities Exchange. The research shows that SEO firms are usually smaller than other companies in terms of their capitalization and book value. They also usually have higher return on sales in the year of the issue, but it seems to change in the years of the last financial crisis. SEO-firms are also firms with lower EPS and B/M ratio. Equity offerings are preceded by a period of high average returns.

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Dywersyfikacyjny wymiar efektywności inwestycyjnej systemu emerytalnego analiza porównawcza dla krajów europy środkowo-wschodniej

Author(s): Filip Chybalski / Language(s): Issue: 63/2013

The aim of the paper is to propose a concept of measurement and assessment the diversification dimension of the investment efficiency of pension system as well as the comparative analysis of this diversification for the CEE countries. The investment efficiency in the proposed approach is widely understood and involves returns and investment risk. In the paper the proposed concept of defining, measurement and assessment of pension system efficiency has been characterized and applied to comparative analysis of pension systems in CEE counties.

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Znaczenie nieruchomości mieszkaniowych w aktywach osób w wieku emerytalnym

Author(s): Magdalena Załęczna / Language(s): Issue: 63/2013

The cycle of human life is inextricably linked with the changing needs for space and standard of living. For many years financial institutions directed their offers especially for young people purchasing residential property, but in recent years there have been new financial products offered by banks and private investors to the elderly people being owner-occupiers. These special instruments can bring people of retirement age additional funds without selling own house or apartment. The purpose of this article is to determine the benefits and drawbacks of such solutions in the cultural and institutional context of changing modern world.

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Równowaga rynku kapitałowego - pół wieku historii rodziny CAPM

Author(s): Krzysztof Jajuga / Language(s): Issue: 63/2013

The paper presents review of models derived from seminal CAPM (Capital Asset Pricing Model). In the consecutive sections of the paper the following problems are discussed: history of the emergence of the model, extensions and modifications of the model, adequacy of the model under current changes on the financial markets.

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Inwestycja w fundusz hedgingowy jako przykład instrumentu alternatywnego. Doświadczenia polskie

Author(s): Urszula Gierałtowska / Language(s): Issue: 63/2013

Hedge funds have become one of important element of the capital market. The primary aim of most hedge funds is to reduce volatility and risk while attempting to preserve capital and deliver positive returns under all market conditions. Hedge funds vary enormously in terms of investment returns, volatility and risk. Despite the unfavorable position of the polish regulatory KNF which firmly opposes the distribution of offshore funds in the polish market, local funds have been established. Poland has become too the target of foreign companies which tend to set hedge funds in Poland so that they can offer hedge fund products to polish investors. The research in the polish capital market was carried in the period June 2007 - June 2012. The conducted study implies that diversification of investment risk based on alternative assets is necessary, because they are weakly correlated with traditional assets (stock index and currencies - euro, dollar) and another alternative assets (gold, silver), but generally the hedge funds are not a good investment for the polish investor.

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Analiza polityki dywidend w polskich przedsiębiorstwach notowanych na giełdzie papierów wartościowych w Warszawie

Author(s): Bogumiła Brycz,Marek Pauka / Language(s): Issue: 63/2013

Dividend policy is one of the most researched area in corporate finance, but the basic questions asked by Fisher Black, "Why do corporations pay dividends? Why do investors pay attention to dividends?" seems to be still unanswered. One explanation is that dividend is a tool used by managers to send signals to investors about the firm's financial condition reducing asymmetry of information. Moreover, dividends may be determined by the need to distribute the firm's free cash flow to avoid investing in low-return projects. Despite different explanations for dividends there are firms that regularly pay dividends. How do they set their dividend policy? The aim of this paper is to evaluate if the public companies listed on the Warsaw stock exchange that pay dividends regularly have stable dividend policy and to analyse how they set it?

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Kluczowe wyzwania wyceny przedsiębiorstw, wycena zobowiązań warunkowych i aktywów nieoperacyjnych

Author(s): Dariusz Zarzecki / Language(s): Issue: 63/2013

The paper deals with the biggest challenges in business valuation, with special emphasis on valuing contingent liabilities and assets, and non-operating assets. Valuation of contingent liabilities and assets, which in some cases may account for a substantial part of the total value of a firm, is extremely difficult as assessing probabilities of cash flows associated with such items is based on a subjective judgment by a valuator. Operating assets generate the operating income. When we discount the stream of the operating income by the appropriate cost of capital, we have an income value of the operating assets of the entity. Companies, however, often possess considerable surplus of cash and marketable securities, as well as shares in other firms and other non-operating assets. The value of these assets ought to be added to the value of the operating assets to arrive at total firm value. Mixing operating and non-operating cash flows and discounting them by the same cost of capital is a common mistake observed in the business valuation practice, especially in less developed countries. It is recommended that the estimated value of each non-operating asset should be appraised separately and the resulting values added to the income value of operations to arrive at enterprise value.

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Wartość zagrożona i warunkowa wartość zagrożona- zastosowanie teorii wartości ekstremalnych

Author(s): Karolina Koziorowska / Language(s): Issue: 63/2013

Extreme event risk is present in all areas of risk management. Whether we are concerned with market, credit, operational or insurance risk, one of the challenges to the risk manager is to implement risk management models which allow for rare but dangerous events, and permit the measurement of their consequences. The article presents estimation results of Generalized Pareto Distribution and its application to Value at Risk. We study the daily return distributions for ten stocks of Warsaw Stock Exchange. In this paper we show that estimation of Value at Risk is better for 5% threshold.

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Zwrotne instrumenty finansowe w ramach inicjatywy Jeremie a możliwość wzrostu potencjału przedsiębiorczości akademickiej

Author(s): Arkadiusz Milczarek,Wioleta Samitowska / Language(s): Issue: 63/2013

The article addresses issues relating to influence that refundable financial instruments have on entrepreneurship in the region, and particularly on developing the potential of academic entrepreneurship. It attempts to synthesize the first period during which JEREMIE initiative is being implemented in West Pomeranian voivodship. Furthermore, the paper is to determine common points and assess cooperation between financial intermediaries, who introduce the aforementioned initiative into the region, and entrepreneurial academic environment.

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Analiza porównawcza NewConnect i innych europejskich rynków alternatywnego systemu obrotu akcjami

Author(s): Marek Panfil / Language(s): Issue: 63/2013

Presently thirteen MTFs (Multilateral Trading Facilities) addressed to SMEs are doing their activity in Europe. They are organized according to the MIFiD Directive EC 2004/39/EC. A comparable analysis of the NewConnect and other European MTFs includes: number of listed companies on each domestic MTF and its share in total number of public companies, market capitalization (MC) of MTS and its share in total MC of MTF's and main exchanges, money raised (incl. value stock issued, IPO), delistings (incl. transfer to main markets), admission requirements. The Alternative Investment Market in London, set up in 1995, became a benchmark for all European MTSs. The NewConnect is the second biggest in Europe MTF as far as the number of listed companies is concerned (406 in comparison with 1115 for AIM). The further development of the NewConnect will depend on the future of the Warsaw Stock Exchange. A consolidation process of stock exchanges takes place in Europe (NYSE Euronext, NASDAQ OMX Nordic, CEESEG in Vienna, LSE + Borsa Italiana). The Management of the Warsaw Stock Exchange and Deutsche Borse introduced restrictive regulations and disclosure requirements on Newc Connect and Entry Standard to increase the transparency of listed companies and the safety of investors.

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Behawioralne aspekty arytmetyki finansowej

Author(s): Krzysztof Piasecki / Language(s): Issue: 63/2013

There are presented two case studies: the influence of behavioural finance on financial arithmetic and the influence of mathematical prescriptive models on behavioural finance. The combination of these two examples demonstrates that financial mathematics and behavioural finance are each other complementary ways of exploring the real world of real finance.

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