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Wskaźniki finansowe oraz ich dynamiki w kontekście doboru spółek do portfela w latach 2001-2012

100%
Węgrzyn T.
Studia Ekonomiczne
|
2015
|
vol. 242
219-230
PL
Wzrost liczby spółek notowanych na rynkach kapitałowych, oznacza poszukiwanie efektywnych metod umożliwiających ograniczenie analizowanych i wycenianych spółek w kontekście budowanych portfeli. Celem artykułu jest próba odpowiedzi na pytanie, czy w kontekście doboru spółek do portfela należy wykorzystywać nominalne wartości wskaźników finansowych czy ich dynamiki. W tym celu budowane są portfele kwantylowe na podstawie obu grup wskaźników. Spółki do portfeli są kwalifikowane ze względu na pozycję w rankingu konstruowanym na podstawie analizowanych wskaźników finansowych. Budowane są dwa rankingi: ranking TMAI_nom jest konstruowany na podstawie wartości nominalnych wskaźników finansowych oraz ranking TMAI_delta budowany jest na podstawie dynamiki wskaźników finansowych. Uzyskane wyniki wskazują na przydatność stosowania dynamiki wskaźników finansowych w ocenie spółek giełdowych.
EN
Increase number of stocks quoted on the capital markets, means searches effective methods that allow to reduce number of analyzed and priced stocks in the context of portfolio construction. The purpose of the article is to check whether in the context of stock selection it should be used nominal values of financial ratios or their dynamics. In that purpose there are quantile portfolios build on the base of those two groups of ratios. 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 two rankings: the first one TMAI_nom is built with nominal financial ratios, the second one TMAI_delta is built with the dynamics of financial ratios. We find that it is possible to use dynamics in the stock analysis.
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Kwalifikacja umów deweloperskich i gruntów w zasadach (polityce) rachunkowości wybranych przedsiębiorstw deweloperskich

100%
Hońko S.
Studia Ekonomiczne
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2014
|
vol. 201
105-114
EN
Purpose - Diagnosis accounting policies selected real estate companies listed on the GPW and Newconnect. Design/Methodology/approach - Main research methods in the introductory part was the observation and analysis of the sources. The empirical part has inductive character. Findings - Different accounting policies affect the way of qualifications development contracts, revenues and presentation of grounds, which requires the necessary changes in national rules on disclosure adopted criteria. Attempt to change is the National Accounting Standard No. 8. Originality/Value - This article presents the the results of the development industry companies listed on the GPW and Newconnect.
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Wycena kapitału własnego w procesie IPO

84%
Golec M., Wrońska E. M.
Studia Ekonomiczne
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2014
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vol. 198 cz 2
28-35
EN
The aim of this article is to analyze the equity valuation while undergoing the IPO process. There are a lot of factors influencing the valuation and new shares issue price setting. The research hypothesis to be verified refers to the statement that the book value of previously issued shares increases in the IPO. It means that newly issued shares are priced much higher than book value of previously issued shares. The research carried out allowed to confirm this hypothesis. Linking this observation with another one (issuing small blocks of shares) might lead to the conclusion that companies are taking advantage of being public company (gaining credibility and prestige, raising funds) and transfer the value from the new shareholders to the previous ones.
4

Analiza struktury źródeł finansowania przedsiębiorstw w Polsce w latach 2005-2008

84%
Kowalski A., Zyguła A.
Zeszyty Naukowe Wyższej Szkoły Ekonomii i Informatyki w Krakowie
|
2011
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issue 7
77-87
PL
Autorzy przeanalizowali źródła finansowania przedsiębiorstw w Polsce, starając się ustalić na ile ich charakterystyki oraz sytuacja makroekonomiczna wpływały na strukturę tego finansowania. Przedmiotem zainteresowania autorów były dwie grupy badawcze: jedna, która obejmowała ogół podmiotów gospodarczych, mająca stanowić tło do analizy drugiej, którą był sektor spółek giełdowych.
EN
The subject of the article are the sources of enterprises financing in terms of internal and external sources. At the starting point the view was adopted that the companies with significant involvement of equity are more resistant to economic downturn. The authors aimed to examine so recognized structure of enterprises financing in Poland in 2005-2008, so during the accumulation of the causes of global economic crisis. Therefore the necessary classification of enterprises was performed and appropriate for chosen purposes of research statistical methods were used. As a result, the theory of relatively large share of internal sources in financing polish enterprises was proven. This gives a basis for expressing the view that this factor significantly contributed during the analyzed period to stabilize the real economy sphere in Poland. (original abstract)
5

Zastosowanie dekompozycji czynników Famy i Frencha do wyceny akcji notowanych na Giełdzie Papierów Wartościowych w Warszawie

84%
Czapkiewicz A.
Zeszyty Naukowe Wyższej Szkoły Ekonomii i Informatyki w Krakowie
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2013
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vol. 9
45-56
PL
Celem niniejszej pracy jest empiryczna weryfikacja modelu Famy i Frencha z dekompozycją czynników SMB na dwie składowe dla rynku polskiego dla danych z okresu styczeń 2003-marzec 2012. Badaniem objęto tylko te spółki, które były w tym okresie notowane na Giełdzie Papierów Wartościowych w Warszawie w sposób ciągły, dla których wartość księgowa była dodatnia. (fragment tekstu)
EN
The main objective of this paper is to verify the performance of the Fama-French model for the Polish market. The monthly data from the Warsaw Stock Exchange for the period January 2003 to March 2012 was used for the study. The empirical evidence shows that the stocks with small capitalization and low relation of book value to market value may weaken the three-factor model of Fama and French. The decomposition of the factors into two components improves the effectiveness of the model.(original abstract)
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Wpływ polityki rachunkowości w zakresie aktywów z tytułu odroczonego podatku dochodowego na wynik finansowy niewypłacalnych spółek giełdowych

84%
Górowski I.
Studia Ekonomiczne
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2014
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vol. 201
87-95
EN
The professional judgment about the future of company performance plays the key part in the deferred tax assets recognition procedure. The deferred tax allocation can substantially influence the company's assets value and income. The article examined disclosures in the financial statements and auditors' opinions in reference to the going concern assumption and accounting policy applied to the deferred tax assets. The analysis was performed on listed companies which declared bankruptcy in year 2013. In the reports of all of the examined companies, the deferred tax assets were recognized, and at the same time doubts about the entity's ability to continue as a going concern were stated. In the management's opinion, the presence of these doubts was not an obstacle to the recognition of the deferred tax assets and increasing of the financial result. Furthermore, in two cases, it was found that the auditor opinion did not provide the stakeholders with clear and useful information about this specific reported item. Concluding from the disclosed in the financial statements information, one can advance a thesis that companies that find themselves on the brink of insolvency use tools of the accounting policies for earnings management.
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Zależności długookresowe zmienności stóp zwrotu i wielkości obrotów na GPW w Warszawie

84%
Gurgul H., Wójtowicz T.
Studia Ekonomiczne
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2013
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vol. 154
144-151
EN
In the paper common long-term dynamics of return volatility and trading volume of the largest companies listed on Warsaw Stock Exchange in 2005-2011 is examined. The existence of contemporaneous relationship between volatility and volume is implied by the Mixture Distribution Hypothesis which states that volatility and trading volume are jointly generated by information flow process. In the study realized volatility computed on the basis of high frequency data is used as a measure of return volatility. It is more efficient measure of daily return volatility than commonly used absolute or squared returns.
8
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Ryzyko systematyczne akcji spółek zagranicznych notowanych na GPW w Warszawie

84%
Feder-Sempach E.
Studia Ekonomiczne
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2014
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vol. 186 cz 2
177-187
EN
This paper examines Systematic Risk of Dual Listed Stocks on Warsaw Stock Exchange. With rapid globalization of capital markets and economic integration in last years, more and more stocks are listed on more than one stock exchange which is called dual listing. The main objective of this paper is to analyze systematic risk of international stocks listed on WSE in period 2008-2013. Beta coefficients were defined by Sharpe one-index model. International stocks listed on Warsaw Stock Exchange were divided in two groups: aggressive stocks and defensive stocks (Non-Cyclical Stocks). The results of the study showed that 7 of 11 were classified as defensive and 4 as aggressive. Defensive stocks remain stable during the various phases of the business cycle, however, during an expansion it performs below the market. Betas of defensive stocks are less than one. Aggressive Stocks generate returns that vary by a larger proportion than overall market returns, their beta exceeds one. This paper contains three parts with introduction and conclusions.
9
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Modelowanie oprocentowania kredytów bankowych z wykorzystaniem teorii gier i wartości likwidacyjnej

84%
Paliński A.
Studia Ekonomiczne
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2014
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vol. 198 cz 2
195-205
EN
The paper presents a model for determination of interest rate on bank loan. According to the theoretical model a borrower repays the lesser of: the amount set in the credit agreement or an amount equal to the liquidation value of his assets. On this basis, the simulation model computes the expected value of bank's income from loan agreement. To verify the model we used accounting and market data of selected publicly traded companies. Unfortunately, interest rates calculated from the model does not coincide with the real averaged loan rates of the companies. The reason for the difference is probably excessive aggregation of financial data and the lack of detailed data on individual loan agreements. An additional reason may be that Polish banks pay no attention to market valuation of companies and their revenue.
10
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Zastosowanie podejścia min-max do wyboru wielookresowego portfela inwestycyjnego

84%
Gluzicka A.
Studia Ekonomiczne
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2014
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vol. 208
31-45
PL
Problemem każdego inwestora jest podjęcie decyzji, w które z dostępnych na rynku giełdowym spółek powinien zainwestować, aby osiągnąć maksymalny zysk przy minimalnym ryzyku. Kolejny problem to ile różnych spółek powinno znaleźć się w jego portfelu inwestycyjnym. W klasycznych modelach konstrukcji optymalnych portfeli inwestycyjnych zazwyczaj spółki wybierane są na podstawie danych dotyczących notowań giełdowych. Jednak na stopę zwrotu danej spółki wpływają różne czynniki, które w czasie trwania inwestycji ulegają zmianom. W artykule zostanie omówiona dynamiczna metoda konstrukcji optymalnego portfela inwestycyjnego, w której spółki zostają wyselekcjonowane przez zastosowanie podejścia min-max dla wybranych wskaźników charakteryzujących spółkę. Metoda wyboru portfeli inwestycyjnych zostanie zastosowana do wybranych danych pochodzących z Giełdy Papierów Wartościowych w Warszawie.
EN
Every investor must make decision which of stocks he should choose to portfolio to received maximum return and minimum risk in the future. The next problem is how many stocks should find out in his investment portfolio. In classical approach to construction the optimal investment portfolio, stocks usually are selected on the base of the data concerning exchange quotations. However, many different factors affect on the rate of return of given index. All these factors are changing during the investment period. So it is important to make changes in portfolio during the investment. In this paper the dynamic method to construction the optimal investment portfolio will be presented. In presented approach, stocks will be selected by application the min-max rule to selected indicators characterizing given index. The model of selection of investment portfolio will be applied to data from the Warsaw Stock Exchange.
11

Zależności między wybranymi miarami płynności na przykładzie danych z GPW w Warszawie

84%
Wolak J.
Zeszyty Naukowe Wyższej Szkoły Ekonomii i Informatyki w Krakowie
|
2015
|
issue 11
223-233
PL
Celem niniejszego opracowania jest zbadanie siły związków korelacyjnych między wybranymi miarami płynności na przykładzie spółek notowanych na Giełdzie Papierów Wartościowych w Warszawie ogółem i w podziale na spółki o dużej, średniej i niższej płynności. Planowane badanie przeprowadzono w dwóch etapach. Najpierw, na podstawie danych dla wszystkich 33 rozważanych w analizie walorów, wyznaczono współczynniki korelacji rangowej Spearmana i na ich podstawie oceniono, w jakim stopniu współzależą one od siebie. W drugim etapie dokonano podziału spółek na trzy kategorie (walory o największym, średnim i niskim obrocie) i w podgrupach badanie przeprowadzono ponownie.(fragment tekstu)
EN
In this paper various liquidity measures for stock listed on Warsaw Stock Exchange are compared. Based on intraday data from 2 January to 29 March 2014, author shows relationship between seven ratios for some cross-market index. In addition, author shows the differences in the relationships between more and less liquid shares.(original abstract)
12
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Dobór spółek do portfela z wykorzystaniem wskaźników finansowych i ich względnego tempa przyrostu. analiza w latach 2001-2010

84%
Węgrzyn T.
Studia Ekonomiczne
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2013
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vol. 174
63-74
EN
The purpose of the article is to check if proposed method of assessing companies can point out one of the five quantile portfolios that systematically are giving better performance than a benchmark portfolio. Companies are chosen to portfolios due to their position in the ranking that is constructed on the base of the nominal values of chosen financial ratios and a relative growth rate of them. The author uses data of companies listed on the WSE between 2001 and 2010. The rankings and portfolios are built separately for each year. As a result, it can be stated that the second portfolio and the forth portfolio of the ranking are systematically giving higher rate of return than the benchmark portfolio. Among that two portfolios, the second portfolio of the ranking gives higher geometric average return. Moreover, the forth portfolio has lower average risk than the second portfolio of the ranking. However, the Sharpe ratio cannot unambiguously points out one of analysed portfolios is better than the other.
13
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Wykorzystanie symulacji w ocenie wybranych spółek na gruncie kumulacyjnej teorii perspektywy

84%
Dudzińska-Baryła R., Michalska E.
Studia Ekonomiczne
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2013
|
vol. 162
169-183
EN
Cumulative prospect theory is the leading approach in a description of real choices. According to these rules decision-maker valuates distributions of possible relative outcomes of decision alternatives. An attempt to use these rules on stock market meets with some difficulties. On the one hand an investor has data concerning past quotations, and on the other hand he wants to know which stock to select now in order to obtain the best outcome in the future. The goal of this paper is to investigate whether the consideration of additional information about the distribution of future investment's outcomes can contribute to the selection of stocks which will yield higher real gains, than stocks selected on the basis of valuation of past outcomes.
14
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Ocena wariantów decyzyjnych o rozkładach ciągłych na gruncie teorii perspektywy

84%
Dudzińska-Baryła R.
Studia Ekonomiczne
|
2014
|
vol. 208
7-18
PL
Niewątpliwą wadą modelu teorii perspektywy jest możliwość oceny wariantów decyzyjnych złożonych z co najwyżej dwóch niezerowych wyników. Wada ta uniemożliwia stosowanie jej na większą skalę, gdyż w większości rzeczywistych wariantów decyzyjnych należy brać pod uwagę więcej możliwych wyników decyzji, a także często warianty decyzyjne mają ciągły rozkład prawdopodobieństwa. W pracy zostaną przedstawione koncepcje rozszerzające teorię perspektywy na warianty decyzyjne o rozkładach ciągłych oraz o rozkładach dyskretnych z więcej niż dwoma niezerowymi wynikami. Przykłady zastosowania prezentowanych modeli będą opierać się na rzeczywistych danych giełdowych.
EN
The work presents concepts extending prospect theory on decision-making alternatives with continuous distributions and discrete distributions with more than two non-zero outcomes. Examples of the application of the presented models will be based on real market data. The first part of the paper describes the principles of prospect theory, the second part shows the proposal of Rieger and Wang which extends the prospect theory to continuous distributions, also the extension to alternatives with more than two outcomes is presented. In the third section we give the example of the practical application of prospect theory for continuous distributions to create rankings of stocks belonging to the WIG20 index. We also built the rankings of these companies based on their valuation on the basis of prospect theory for discrete distributions.
15
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Ryzyko inwestycji w spółki giełdowe sektora energetycznego

84%
Ganczarek-Gamrot A.
Studia Ekonomiczne
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2013
|
vol. 162
32-37
EN
In this paper a comparison of risk level changes of exchange company of power sector is presented. The analysis is based on data from Polish Stock Exchange (GPW) for following companies: Tauron Polska Energia SA (TPE), Polska Grupa Energetyczna SA (PGE), Polish Energy Partners SA (PEP), Zespół Elektrociepłowni Wrocławskich Kogeneracja SA (KGN) Enea SA (ENA), CEZ SA (CEZ). For these companies the portfolio with minimum Conditional Value-at-Risk (CVaR) is proposed.
16
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Ujawnienia ESG polskich spółek giełdowych w świetle wyników badań

67%
Jędrzejka D.
Studia Ekonomiczne
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2014
|
vol. 186 cz 2
13-26
EN
Environmental and social issues concerning companies' activity are becoming increasingly important. Benefits and costs of socially responsible behaviour are heavily researched. The article presents polish public listed companies from the main market and NewConnect in view of their ESG mark according to GES Risk Rating method. The relationship between ESG score (in environmental, social and corporate governance areas) and rate of return as well as equity price volatility is being analysed. ESG score appear to correlate with rate of return and price volatility. The results are essential for stock companies and investors and emphasize the significance of conducting socially responsible business and reporting on environmental and social performance.
17

Studium przypadków zmian wartości firmy polskich spółek giełdowych

67%
Gzyl M.
Zeszyty Naukowe Wyższej Szkoły Ekonomii i Informatyki w Krakowie
|
2014
|
vol. 10
87-100
PL
Niniejsze opracowanie - na podstawie kompletnych danych spółek giełdowych Warszawskiej Giełdy Papierów Wartościowych, dla wytypowanej grupy 10 podmiotów, które zanotowały największą zmianę wartości firmy zaraportowanej na przestrzeni lat 2011-2012 - przedstawi studium przypadków zmian wartości firmy wraz z analizą obowiązujących standardów sprawozdawczości w tym obszarze. Na polskiej giełdzie papierów wartościowych obowiązują przepisy międzynarodowych standardów rachunkowości przyjęte przez Komisję Europejską dlatego poniższa analiza w większości odnosić się będzie do tychże regulacji. (fragment tekstu)
EN
Article covers case study analysis of changes among Polish public companies in 2012 year. 5 ways of goodwill decrease are presented as rare and multidimensional way of goodwill change. Based on complete date for 2012 year was described way of goodwill change for entire group and prepared two separate top 10 unit ranks for biggest nominal decrease and weighted by total assets decrease. As a result 10 chosen entities were analysed based on financial statements disclosures as a case study examples with results present in one table. Summary concludes that Polish capital market is exposed to all types of goodwill decreases. (original abstract)
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Sytuacja finansowa polskich spółek a modele kształtowania struktury kapitałowej

67%
Lewiński vel Iwański S., Tomczak S., Wilimowska Z.
Studia Ekonomiczne
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2013
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vol. 154
61-71
EN
Running a business is not possible without suitable resources of financing. Determination of rational financial structure is a necessary condition for efficient operation of a company. Financial resources as well as their configuration may lead either to development or to bankruptcy of a company. Thus, the decision about financial structure is a matter of fundamental importance to subsequent operation of organization. Moreover, this decision is made by the management during continuous company's activity. Unfortunately, both the description of the very process of reaching the decision and its validation seem to be really hard to formalize and to operationalize. Despite the fact that there have been carried out analyses, the issue of managing the financial structure remains to be resolved. Above all, the difficulties reside in the process of devising a suitable and universal model which would be widely accepted, particularly in the context of Polish capital market. This paper brings up modern models for constructing the capital structure as well as models for analyzing the efficiency of managing such a structure. Polish capital market issue, given in question is also illustrated in the context of administering financial structure in the Polish companies (including the ones which went out of business on stock.
19
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Zysk całkowity na tle nośników wartości rynkowej przedsiębiorstwa

67%
Sajnóg A.
Studia Ekonomiczne
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2014
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vol. 198 cz 2
58-73
EN
The main purpose of this study was to examine the role and importance of the comprehensive income, which was introduced to financial reporting in Poland in 2009, in the forming of the market value of listed companies. The major subject of the theoretical- empirical study was to test of the general research hypothesis that stipulated that the comprehensive income create a significant growth potential of market value and is a drivers of the wealth of the shareholders of a listed company. The research comprised joint-stock companies listed on the Warsaw Stock Exchange and included in WIG-30 Index (qualified on 14.04.2014). Empirical data for the study was obtained from the quarterly financial statements (the period from 2009 to 2013), stock market bulletins, as well as information published on the enterprises' websites.
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