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1

Risk Diversification Between Stock Markets In Germany And Bosnia And Herzegovina

100%
Zaimović A., Arnaut Berilo A.
South East European Journal of Economics and Business
|
2015
|
vol. 9
|
issue 1
30-36
EN
The integration of global equity markets has been a well-studied topic in the last few decades, particularly after stock market crashes. Most studies have focused on developed markets such as the US, Western Europe and Japan. The findings were that the degree of international co-movements among stock prices has substantially increased in the post-crash regime. In this paper we research the co-movements of German and Bosnian stock markets during and after the recent economic and financial crisis. International market integration means that assets of equal risk provide the same expected returns across integrated markets. This means fewer opportunities for risk diversification if the markets are integrated. It is also believed that stock market indices of integrated markets move together over the long run with the possibility of short-run divergence. There is considerable academic research on the benefits of international diversification. Investors who buy stocks in domestic as well in foreign markets seek to reduce risk through international diversification. The risk reduction takes place if the various markets are not perfectly correlated. The increasing correlation among markets during and after the crises has restricted the scope for international diversification. International stock market linkages are the subject of extensive research due to rapid capital flows between countries because of financial deregulation, lower transaction and information costs, and the potential benefits from international diversification. Most stock markets in the world tend to move together, in the same direction, implying positive correlation. In and after crises they tend to move together even more strongly. Thus, this paper aims to research if there are any diversification opportunities by spreading out investments across developed and underdeveloped capital markets. This research attempts to examine the scope of international diversification between German and Bosnian equity markets during the 6-year period from 2006 to 2011. We test the hypothesis of whether there are any risk diversification possibilities by spreading out the investments between German and Bosnian equity markets. In order to determine the mean-variance efficiency of portfolios we use the method of convex (quadratic and linear) programming. The hypothesis is tested with the Markowitz portfolio optimization method using our own software. The results of this research might enhance the efficiency of portfolio management for both types of capital market under analysis, and prove especially useful for institutional investors such as investment funds.
2

Inability of Gearing-Ratio as Predictor for Early Warning Systems

86%
Situm M.
Business Systems Research Journal
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2014
|
vol. 5
|
issue 2
23-45
EN
Background: Research in business failure and insolvency prediction provides numerous potential variables, which are in the position to differentiate between solvent and insolvent firms. Nevertheless, not all of them have the same discriminatory power, and therefore their general applicability as crisis indicators within early warning systems seems questionable. Objectives: The paper aims to demonstrate that gearing-ratio is not an appropriate predictor for firm failures/bankruptcies. Methods/Approach: The first and the second order derivatives for the gearing-ratio formula were computed and mathematically analysed. Based on these results an interpretation was given and the suitability of gearing-ratio as a discriminator within business failure prediction models was discussed. These theoretical findings were then empirically tested using financial figures from financial statements of Austrian companies for the observation period between 2008 and 2010. Results: The theoretical assumptions showed that gearing-ratio is not a suitable predictor for early warning systems. This finding was confirmed with empirical data. Conclusions: The inclusion of gearing-ratio within business failure prediction models is not able to provide early warning signals and should therefore be ignored in future model building attempts.
3
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Zadłużenie zagraniczne przedsiębiorstw jako skutek umiędzynarodowienia działalności gospodarczej

72%
Nakonieczna-Kisiel H., Szczeciński U.
Ekonomia Międzynarodowa
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2014
|
vol. 007
EN
The aim of the paper is to present the effects of business operations in the world market for commodities, services and capital, focusing in particular on the growth in foreign debt.This aim is reflected in the structure of the paper. First the extent and character of business participation in the international labour organisation are shown. Next the contribution of companies to Poland’s foreign debt, as well as the development and dynamics of their debt are investigated. Eventually, the structure of instruments generating foreign debt is presented.Based on the transformations in the size and structure of debt of the analysed entities, four conclusions are formulated to complete the study.
4

Decision Tree Approach to Discovering Fraud in Leasing Agreements

72%
Horvat I., Pejić Bach M., Merkač Skok M.
Business Systems Research Journal
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2014
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vol. 5
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issue 2
61-71
EN
Background: Fraud attempts create large losses for financing subjects in modern economies. At the same time, leasing agreements have become more and more popular as a means of financing objects such as machinery and vehicles, but are more vulnerable to fraud attempts. Objectives: The goal of the paper is to estimate the usability of the data mining approach in discovering fraud in leasing agreements. Methods/Approach: Real-world data from one Croatian leasing firm was used for creating tow models for fraud detection in leasing. The decision tree method was used for creating a classification model, and the CHAID algorithm was deployed. Results: The decision tree model has indicated that the object of the leasing agreement had the strongest impact on the probability of fraud. Conclusions: In order to enhance the probability of the developed model, it would be necessary to develop software that would enable automated, quick and transparent retrieval of data from the system, processing according to the rules and displaying the results in multiple categories.
5

Profitability and Capital Structure: An Empirical Study of French and Hungarian Wine Producers in 2004-2013

72%
Luptak M., Boda D., Szucs G.
Business Systems Research Journal
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2016
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vol. 7
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issue 1
89-103
EN
Background: Profitability of the Hungarian wine industry has been a focus of numerous research studies due to the centuries-old history and the recent changes. Objectives: The aim of the study is to analyse the capital structure of the Hungarian and the French wine industries and demonstrate the benefits of the usage of an international company database. Methods/Approach: First, the database and the applied methods are described and then the descriptive statistical analysis of the industry is presented. The two set hypotheses are aimed at testing the main contradiction between the pecking order and the trade-off theory, which is related to profitability and the usage of external funds. Results: The analysis examines the differences between the funding policies applied in the two countries. This was carried out by means of a discriminant analysis, which indicates the financing characteristics of French and Hungarian wine producers. In order to confirm the results of the discriminant analysis we conducted a cluster analysis on the same sample where 3 out of 4 variables proved to be significant in classifying the two groups. Conclusions: The main conclusion of the study is that the behaviour of the factors explaining the development of the capital structure differs significantly in the two examined countries.
6

The TMAI Model – Performance Of Portfolios Constructed On The Base Of Correlated And Uncorrelated Financial Ratios

72%
Węgrzyn T.
Folia Oeconomica Stetinensia
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2014
|
vol. 14
|
issue 2
125-139
EN
The author studies portfolio performance. Companies are chosen to portfolios due to their position in the ranking that is constructed on the base of the chosen financial ratios. There are three rankings constructed on different number of financial ratios. Each ranking is constructed on the base of synthetic measure of development. The TMAI ranking is constructed on the base of 48 financial ratios, the TMAI_gr1 ranking is constructed on the base of 14 financial ratios that can be correlated and the TMAI_gr2 ranking is constructed on the base of 8 uncorrelated financial ratios. The author uses data of companies listed on the Warsaw Stock Exchange between 2005 and 2011. The rankings and portfolios are built separately for each year. As a result, it can be stated that the Portfolio 3 in the TMAI_gr1 ranking is the best portfolio for investors who are maximizing the Sharpe ratio.
7

The effect of the degree of foreign ownership on firms' performance

72%
Hintošová A. B., Kubíková Z.
Review of Economic Perspectives
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2016
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vol. 16
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issue 1
29-44
EN
A large number of studies have compared the performance of foreign-owned and domestic firms. However, only a limited number of studies have investigated the effect of the degree of foreign ownership on a firm's performance. We attempt to fill this gap in the literature by conducting research that distinguishes not only between domestic and foreign-owned firms, but also between wholly and partly foreign-owned firms. We also examine the possible non-linearity of the performance-ownership relationship. We divide the firms in our study into three groups by their ownership - domestic, foreign, and joint ventures. We use a regression analysis to explore whether foreign ownership influences the firms' performance, measured by several variables such as profitability, innovation performance (measured by gross expenditures on research and development activities), numbers of employees involved in research and development, production, value added, leverage and net working capital intensity. The results of our research indicate that there is a statistically significant difference in firms' performance as a result of foreign ownership in all variables except the number of research and development employees and leverage. Moreover, we show that foreign ownership and performance are linked by an inverted U-shaped relationship. A firm’s performance increases with greater foreign ownership up to the range of 61-65 %, and declines thereafter.
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