Search results

1

Don’t fight the tape! Technical Analysis Momentum and Contrarian Signals as Common Cognitive Biases

100%

Zielonka P., Białaszek W., Biedrzycki P., Dzik B.

Central European Management Journal

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2020

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vol. 28(2)

98-110

EN

Purpose: Stock market participants use technical analysis to seek trends in stock price charts despite its doubtful efficiency. We tested whether technical analysis signals represent typical and common cognitive biases associated with the continuation or reversal of the trend. Methodology: We compared investors’ opinions about the predictive power of technical analysis signals grouped into five conditions: real technical analysis signals associated with trend continuation (real momentum signals) or trend reversal (real contrarian signals), fake momentum or fake contrarian signals, and fluctuation signals. Findings: Investors assigned larger predictive power to real and fake signals associated with trend continuation than to signals associated with trend reversal. Fake signals, which represented cognitive biases, elicited similar predictions about trend continuation or reversal to real technical analysis signals. Originality: Market players assess momentum signals to have greater predictive power than contrarian signals and neutral signals to have the least predictive power. These results are independent of whether technical analysis signals were well-known to investors or made up by experimenters. The hardwired propensity of our brains to detect patterns combined with the non-natural environment of the stock market creates the illusion of expertise that is not easy to dispel.

2

The Relations Between Momentum, Value Size, And Liquidity Factors And Stock Returns On The Polish Market

86%

Zaremba A., Konieczka P.

Optimum. Studia Ekonomiczne

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2014

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vol. 5(71)

EN

The paper examines the relations between selected company characteristics and common stock returns. In the paper, we concentrate on four well-recognized fundamental factors determining stock returns: momentum, value, size and liquidity. First, we review the existing literature in the field. Second, we investigate the relationship between fundamental factors and stock returns on the Polish market. Our computations are based on all companies on the Warsaw Stock Exchange listed in the period 2000-12. Our research provides fresh out-of-sample evidence for momentum, value, size and liquidity premium from the Polish market.

3

Arch Effects in Multifactor Market-Timing Models of Polish Mutual Funds

86%

Olbryś J.

Folia Oeconomica Stetinensia

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2012

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vol. 10

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issue 2

60-80

EN

Performance measurement of investment managers is a topic of interest to practitioners and academics alike. The traditional performance evaluation literature has attempted to distinguish stock-picking ability (selectivity) from the ability to predict overall market returns (market-timing). However, the literature finds that it is not easy to separate ability into two such dichotomous categories. To overcome these problems multifactor alternative market-timing models have been proposed. The author's recent research provides evidence of strong ARCH effects in the market-timing models of Polish equity open-end mutual funds. For this reason, the main goal of this paper is to present the regression results of the new GARCH(p, q) versions of market-timing models of these funds. We estimate multifactor extensions of classical market-timing models with Fama & French's spread variables SMB and HML, and Carhart's momentum factor WML. We also include lagged values of the market factor as an additional independent variable in the regressions of the models because of the pronounced "Fisher effect" in the case of the main Warsaw Stock Exchange indexes. The market-timing and selectivity abilities of fund managers are evaluated for the period January 2003-December 2010. Our findings suggest that the GARCH(p, q) model is suitable for such applications.

4

Strategie doboru państw do portfela inwestycyjnego

72%

Zaremba A., Konieczka P.

Nauki o Finansach

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2015

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issue 1(22)

101-119

EN

This study examines 16 country selection strategies based on inter-market value, size, momentum, quality and volatility effects. We investigate a sample of 78 countries for the period 1999-2014. Having considered country-specific dividend tax rates, market liquidity and openness for investment flows we can state that chosen strategy based on earnings to price ratio proves useful for investors. Momentum strategies should be approached with caution, as they appear effective only in small markets and may lead to loses in large markets. Selecting low leveraged and illiquid countries also proves beneficial. The relation between volatility displays different characteristics for open and closed economies.

5

CROSS-SECTIONAL RETURNS FROM DIVERSE PORTFOLIO OF EQUITY INDICES WITH RISK PREMIA EMBEDDED

72%

Sakowski P., Ślepaczuk R., Wywiał M.

Metody Ilościowe w Badaniach Ekonomicznych

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2015

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vol. 16

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issue 2

89-101

EN

The main purpose of this article is to extend evaluation of classic Fama-French and Carhart model for global equity indices. We intend to check the robustness of models results when used for a wide set of equity indices instead of single stocks for the given country. Such modification enables us to estimate equity risk premium for a single country. However, it requires several amendments to the proposed methodology for single stocks. Our empirical evidence reveals important differences between the conventional models estimated on single stocks, either international or US-only, and models incorporating whole markets. Our novel approach shows that the divergence between indices of the developed countries and those of emerging markets is still persistent. Additionally, research on weekly data for equity indices presents rationale for explanation of equity risk premia differences between variously sorted portfolios.

6

Process Drama as a Medium of Creative Teaching and Learning in EFL Classroom

72%

Gałązka A.

The New Educational Review

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2006

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vol. 9

93-108

EN

Drama is an art form, a practical activity, and an intellectual discipline highly accessible to young people. In education, it is a mode of learning that challenges students to make meaning of their world. Through students’ active identification with imagined roles and situations in drama, they can learn to explore issues, events and relationships. In drama students draw on their knowledge and experience of the real world. Drama has the capacity to move and change both participants and audiences and to affirm and challenge values, cultures and identities Drama can develop students’ artistic and creative skills and humanize learning by providing lifelike learning contexts in a classroom setting that values active participation in a non-threatening, supportive environment. Drama empowers students to understand and influence their world through exploring roles and situations and develops students’ non-verbal and verbal, individual and group communication skills. It develops students’ intellectual, social, physical, emotional and moral domains through learning that engages their thoughts, feelings, bodies and actions. In the paper I will demonstrate process drama and how it may be used as a creative medium of teaching English as a foreign language.

Refine search results

1 Central European Management Journal

1 Folia Oeconomica Stetinensia

1 Metody Ilościowe w Badaniach Ekonomicznych

1 Nauki o Finansach

1 Optimum. Studia Ekonomiczne

1 The New Educational Review

2 Konieczka P.

2 Zaremba A.

1 Białaszek W.

1 Biedrzycki P.

1 Dzik B.

1 Gałązka A.

1 Olbryś J.

1 Sakowski P.

1 Wywiał M.

1 Zielonka P.

1 Ślepaczuk R.

1 2020

2 2015

1 2014