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1
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The validity and time-horizon of the Fed model for equity valuation: a co-integration approach

100%
Mercier F.
Journal of Banking and Financial Economics
|
2015
|
issue 1(3)
24-49
EN
Investors do arbitrage between bonds and stocks. The so-called “Fed model” asserts that comparing the level of the earnings yields of stocks to the nominal government bond yields is relevant when assessing the relative values of the two asset classes, and their prospective returns. A conceptual problem with this model is that it compares a real quantity, the earning yield, to a nominal one, the government bond yield, thus implying that economic agents suffer from money-illusion. The merits of the Fed model as an indicator of stock returns is still very controversial. In this article we try to quantify the scope of the Fed model by employing appropriate techniques of co-integration to validate, or invalidate, the Fed model. More precisely, we study the validity of the model geographically and using different frequencies in order to determine its potential time horizon. We obtain the following results. First, the Fed model is very limited in scope and in time: of the 21 pairs of countries and stock exchange indices tested, only three are potential candidates for the Fed model: the US, Italy and Mexico; in the US, the Standard and Poor’s 500 confirms the model, but only from 1980 to 2000. Second, for the Standard and Poor’s 500 from 1980 to 2000 the validity of the Fed model is confirmed, for a time horizon of one week or more for predicting the earning yield on stocks and a time horizon of one month or more for the nominal yield on bonds. Third, from 2000 onwards the long-term relationship between earning yields and nominal bond yields becomes inverted, and the Fed long-term relationship does not help predict any of the two variables compared to a simple vector autoregressive model (VAR). Overall, the evidence for the relevance of a linear long-term relationship between nominal US bonds yields level and the earnings ratio of broad stock indexes appears very weak, even when this relationship is allowed to vary over time, with a structural break somewhere in 2000 with an inversion of the relationship. In most cases, assuming and estimating a possible long-term relationship between earning yields and nominal bond yields does not improve the forecasts as short-term dynamics dominate.
2
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The computer program Scientific Article - the new approach to the empirical surveys

88%
Khemissi E.
Informatyka Ekonomiczna
|
2016
|
issue 3(41)
41-50
EN
In this paper we present the first concept of a computer program using the example of a program to research the relationship between exchange rates and indexes. This solution allows using more historical data than research done by hand, on paper. The exemplary program allows the analysis of integration and variability and the results are posted on charts. Its advantage is downloading data from the file and from the websites and their processing in Excel. The program works on the idea of saving the methodology of empirical research in economics. Empirical studies constitute a large part of Polish scientific achievements. Another option is to bring a sense of historical empirical research or to treat them as a guide to making important business decisions. Unfortunately, authors often based their conclusions on fairly random historical data which had no special significance to historians
3
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Współzależność pomiędzy prywatyzacją a publicznym rynkiem akcji

88%
Kowalski A.
Gospodarka Narodowa. The Polish Journal of Economics
|
2007
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vol. 216
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issue 5-6
97-110
EN
The article examines the relationship between privatization and the development of Poland’s capital market during the country’s transition from central planning to a free market. The paper traces the role of privatization in the process of building a capital market and the influence of the capital market on the course of privatization. The analysis is based on some widely known capital market theories, methods of analysis and simple statistical methods including correlation coefficients. As a result of the analysis, the author formulates the following conclusions: first, privatization, accompanied by the necessary legal and institutional regulations, was indispensable for the development of the stock market; second, the capital market had a significant contribution to the effectiveness of privatization processes; third, the government, in its capacity as the seller of shares of privatized enterprises on the capital market, acted no less rationally than private investors.
4
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SIMULATION RESEARCH IN THE PROCESS OF DETERMINATION OF STOCK PRICES USING A MODIFIED GORDON GROWTH MODEL

88%
Halicki M., Kwater T.
Metody Ilościowe w Badaniach Ekonomicznych
|
2018
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vol. 19
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issue 1
38-47
EN
In the latest literature there is a lack of broader discussion of the Gordon Model, with a desire to point out that its assumptions do not fit the expectations of modern investors and the nature of capital markets. The issue prompts us to ask whether this model can still be used by modern scientists and investors. The aim of the article is to present a classic Gordon model and show the direction of its modification. An attempt was also made to use simulation studies in a graphical interpretation of a selected share, which incorporates the Gordon's modified and classic models.
5
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The Use of Stochastic Stock Model for Determination of the Optimal Quantity of Supply

75%
Průša P., Hruška R.
Logistics and Transport
|
2011
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vol. 12
83-88
EN
This article deals with the use of stochastic model for determination of the optimal quantity of supply of supplier to automotive industry. Today manager’s practice emphasizes the decrease of stocks. The main issues considered in this topic are: the mathematical stochastic stock model to determine the optimal quantity supply.
6
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Przymusowy wykup akcji na Giełdzie Papierów Wartościowych w Warszawie

75%
Królik-Kołtunik K.
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
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2015
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vol. 49
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issue 4
EN
The provisions concerning the squeeze-out are rather an untypical example of regulations governing functioning of the capital market. The majority of them is aimed at protecting non-professional trading participants, whereas the provisions concerning the squeeze-out are supposed to protect majority shareholders. The aim of this paper is to discuss the squeeze-out in public companies and to examine appearing of this phenomenon on the Warsaw Stock Exchange.
PL
Przepisy dotyczące przymusowego wykupu akcji są raczej nietypowym przykładem przepisów regulujących funkcjonowanie rynku kapitałowego. Większość z nich ma na celu ochronę nieprofesjonalnych uczestników obrotu giełdowego, podczas gdy przepisy dotyczące squeeze-outu mają chronić większościowych udziałowców spółki. Celem opracowania jest omówienie przymusowego wykupu akcji w odniesieniu do spółek publicznych oraz zbadanie występowania tego zjawiska na Giełdzie Papierów Wartościowych w Warszawie.
7
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Analiza cen w przymusowych wykupach akcji oraz w wezwaniach je poprzedzających na Giełdzie Papierów Wartościowych w Warszawie

63%
Królik-Kołtunik K.
Acta Universitatis Lodziensis. Folia Oeconomica
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2016
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vol. 4
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issue 323
EN
The functioning of the stock market, as a regulated market, is normed in the law. In most cases, these provisions are intended to protect the non-professional market participants, individual investors or minority shareholders. An example of such legislation is to set a minimum price at which it is carried out a squeeze-out. This provision is intended to ensure minority shareholders the appropriate price in return for the repurchased shares under conditions where their position has become essentially marginal. The aim of this paper is to analyze the prices in squeeze-outs on the Warsaw Stock Exchange and in the calls preceding the squeeze-out.
PL
Funkcjonowanie giełdy jako rynku regulowanego jest unormowane w przepi­sach prawnych. W większości przypadków te przepisy mają na celu ochronę nieprofesjonalnych uczestników obrotu, inwestorów indywidualnych czy mniejszościowych akcjonariuszy. Przykładem takich przepisów jest określenie minimalnej ceny, po jakiej dokonywany jest przymusowy wykup akcji. Przepis ten ma zapewnić akcjonariuszom mniejszościowym odpowiednią cenę w zamian za odkupywane akcje w warunkach, gdy ich pozycja stała się w zasadzie marginalna. Celem niniej­szego opracowania jest analiza kształtowania się cen w przymusowych wykupach akcji na Giełdzie Papierów Wartościowych w Warszawie oraz w wezwaniach poprzedzających przymusowy wykup.
8
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Analysis of Granger casuality between gold and selected financial assets

63%
Mamcarz K.
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
|
2020
|
issue vol. 64, nr 7
74-89
EN
Gold belongs among the assets which show low or negative correlations with the markets for fundamental financial assets, and can serve as an alternative form of capital investment. Therefore, it becomes material to assess the impact of these markets on the gold market (prices), and the correlations existing between them. Investors’ decisions to allocate capital in these markets determine the kind and direction of causation between the assets in question. The aim of this article is to assess the causality between the rates of return on investments in gold and in the following assets: stocks, bonds, and real estate, represented by the corresponding market indices. The research covered the period 1997-2018. The analysis employed the VAR model to test linear Granger (non)causality and the variance decomposition. Apart from two cases of unidirectional causality, i.e. from bond returns to gold, and from gold returns to real estate, no other types of causality occurred, which except for these cases, implies that changes in gold prices did not impact on investors’ decisions of engaging capital on other analyzed markets, and vice versa.
PL
Złoto należy do aktywów nisko lub ujemnie skorelowanych z rynkami podstawowych aktywów finansowych i może stanowić alternatywną formę lokaty kapitału. Istotne stają się ocena wpływu tych rynków na rynek (cenę) złota oraz ich wzajemne relacje. Decyzje inwestorów o alokacji kapitału na wymienionych rynkach określają rodzaj i kierunek przyczynowości tych aktywów. Celem artykułu jest ocena zależności przyczynowych między stopami zwrotu z inwestycji w złoto i w następujące aktywa: akcje, obligacje i nieruchomości, reprezentowane przez odpowiadające im indeksy giełdowe. Badania obejmują lata 1997-2018. W analizie posłużono się modelem VAR, stanowiącym podstawę do zastosowania testu liniowego nie-przyczynowości Grangera oraz dekompozycji wariancji. Poza dwoma przypadkami jednostronnej przyczynowości: od stóp zwrotu z obligacji do złota i od stóp zwrotu ze złota do nieruchomości nie stwierdzono innych rodzajów przyczynowości. Pomijając te sytuacje, oznacza to, że zmiany ceny złota nie wpływały na decyzje inwestorów, angażujących kapitały na pozostałych rynkach badanych aktywów i odwrotnie.
9
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Zasób Archiwum Polskiej Prowincji Zakonu Pijarów w Krakowie w świetle jego dziejów po II wojnie światowej

45%
Szmerek A.
Nasza Przeszłość. Studia z dziejów Kościoła i kultury katolickiej w Polsce
|
2016
|
vol. 126
403-415
PL
Początek rozwoju zasobów archiwalnych polskiej prowincji Zakonu Pijarów pochodzi z okresu międzywojennego, choć ich obecny państwo ogólnie odzwierciedla długoterminowe wysiłki archiwistów po II wojnie światowej. W zbiorach znajdują się przedmioty archiwalne powstałe w XVII wieku aż do czasów współczesnych. Do najcenniejszych materiałów archiwalnych należy bezsprzecznie Matricula Provinciae Poloniae Scholarum Piarum, obejmujący lata 1742–1867. To jest źródło najczęściej wykorzystywane w badaniach akademickich. Warto jednak to podkreślić w zasobach archiwalnych możemy również znaleźć wiele innych cennych materiałów archiwalnych, takich jak kronikę, akta kapituły, podręczniki szkolne i inwentarz.
EN
The beginning of the development of the archival holdings of the Polish Province of the Order of Piarists dates back to the period between the wars, although their current state generally reflects the long-term efforts of archivists following World War II. The holdings include archival items created in the period from the seventeenth century to the present. Among the most valuable archive materials is, unarguably, Matricula Provinciae Poloniae Scholarum Piarum, covering the period 1742-1867. It is the source most often used for academic research. It is worth emphasising, however, that in the archival holdings we can also find many other valuable archival materials such as chronicle-like books, files of the Chapter, school books, and inventories.
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