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THE ANALYSIS OF AN INVESTMENT RISK WITHIN EMERGING CAPITAL MARKETS. THE CASE OF THE WARSAW STOCK EXCHANGE

100%
Kowerski M.
Finansowy Kwartalnik Internetowy e-Finanse
|
2010
|
vol. 6
|
issue 4
1-23
EN
The purpose of the paper is to show that the three-factor Fama-French model can be a good instrument for analysis of investment risk on emerging capital markets if, because of the relatively small number of quoted companies, for calculation of the SMB and HML values we applied division of all companies into four portfolios (contrary to Fama – French who propose division of all companies into six portfolios). The usefulness of the above concept was verified on the Warsaw Stock Exchange. The models estimated with the Generalized Least Squares Method on monthly data within the period 1994 – 2008 have the signs of coefficients which are consistent with those of the Fama-French three-factor model and there is no autocorrelation of disturbances and no ARCH effect. Models are relatively high adjusted. Estimated coefficients are also robust. The models fully confirm the thesis posed by Fama and French that in addition to market risk there are two other risk factors which influence the return on investment. These are: risk associated with investing in small companies and risk connected with investing in companies undervalued by the market.
2

THE ECONOMIC SENTIMENT AND DIVIDEND POLICY IN POLAND (Wplyw nastrojow gospodarczych na decyzje o wyplatach dywidend przez spolki publiczne)

100%
Kowerski M.
Barometr Regionalny. Analizy i prognozy
|
2012
|
issue 1(27)
13-27
EN
In previous research on determinants of company dividend-policy, a much higher significance was given to micro-economic factors describing the economic and financial situation of companies rather than to macro-economic factors. However, there is no analysis of the impact of economic sentiment on the dividend policy of companies. Moreover, companies do not operate in ‘a vacuum'. The economic situation in a certain country and even the global economic situation and its perception by entrepreneurs has a tremendous impact on their activities and decisions. To verify the hypothesis about the impact of economic sentiment on dividend policies of the companies listed on the Warsaw Stock Exchange in 1996-2009, logit pooled-regression models were applied. The dependent variable takes a value 1 if the company paid a cash dividend in year t and value 0 otherwise. As explanatory variables, we adopted the most common ones in this type of study, namely those describing the profitability, size, maturity, risk and investment opportunities as well as the dividend policy of the company in the year t - 1. Economic sentiment was measured using the Economic Sentiment Index, computed by the European Commission at monthly intervals. This allowed us to determine the period in which the changes in sentiment have the highest influence on dividend decisions. The estimated models allowed us to draw conclusions that apart from the economic and financial situation of a company in the year t - 1, dividend decisions made in year t are also affected by economic sentiment found in the Polish economy at the turn of the second quarter of year t. According to the Polish Code of Commercial Companies, it is understandable that the company should decide on the distribution of its profit within six months after the end of the business year. The research demonstrates, when making decisions, the boards of companies and shareholders take into account not only profits achieved in the previous year, but also the recent dividend and investment policy, and the current economic sentiment.
3

ECONOMIC SENTIMENT CHANGES IN THE LUBELSKIE VOIVODESHIP IN THE 3RD QUARTER 2011 (Zmiany nastrojow gospodarczych w wojewodztwie lubelskim w III kwartale 2011 r.)

51%
Kowerski M., Bielak J., Dlugosz D., Poninkiewicz M.
Barometr Regionalny. Analizy i prognozy
|
2011
|
issue 4(26)
133-147
EN
In the paper are the results of the 42nd quarterly economic sentiment survey in the Lubelskie voivodeship conducted by the University of Management and Administration in Zamosc: using a survey sample size of 485 enterprises and 500 households. The survey's data shows the economic sentiment index for the Lubelskie voivodeship for the 3rd quarter, 2011, has a value of minus 13 (range from minus 100 to plus 100 points) and decreased by 14 points compared to the previous quarter, going back to the lowest level during 2009 recession. It means that the recovery from the recession has a W-shape. But the entrepreneurs and consumers forecast an improvement in the 4th quarter. And this means that in the 3rd quarter, 2011, economic sentiment and the economy in the Lubelskie voivodeship reached 'the second doldrums'.
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