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Occurrence of Calendar Anomalies in Dividend Companies – the Case of Quarter-of-the-Year Effect

100%
Pieloch-Babiarz A.
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
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2020
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vol. 54
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issue 4
101-109
EN
Theoretical background: The efficient-market hypothesis (EMH) states that share prices immediately and fully reflect all information available on the market, so stock investors are not able to “beat the market” in the long term. Since stock exchanges are not fully efficient, there are numerous exceptions to EMH, called market anomalies (seasonal anomalies, fundamental anomalies, etc.). The occurrence of such anomalies enables stock investors to achieve excess market returns. Therefore, market anomalies are of particular interest to them. However, there are no studies on “beating the market” in the long term by dividend investing. Research to date has focused mainly on the short-term response of the capital market to dividend announcements.Purpose of the article: The purpose of this paper is to examine whether by dividend investing stock investor is able to “beat the market” on quarterly basis, i.e. achieve excess market returns in some quarters of the year. In order to conduct the research, the following hypothesis was formulated: The average rates of return on the dividend index are higher in the third quarter of the calendar year than the average rates of return on other indices.Research methods: The study was carried out in the period between 2012 and 2019 on the Warsaw Stock Exchange (WSE) using rates of return on income indices (i.e. WIG, WIGdiv, WIG20TR, WIG30TR, mWIG40TR and sWIG80TR). The main method used for the calculation was Kruskal–Wallis H test.Main findings: Average returns on examined indices were negative in the second quarter of the year. Our finding is consistent with the so-called holiday effect. The highest rates of return occurred in the third quarter, except for small and medium companies. In these cases, the highest returns were observed in the first quarter). The study conducted with the use of the Kruskal–Wallis H test showed that the null hypothesis, stating that the cases come from the same population, cannot be rejected.
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Kapitał pracujący a płynność finansowa przedsiębiorstw notowanych na Giełdzie Papierów Wartościowych w Warszawie. Wyniki badań

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Jaworski J., Czerwonka L.
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
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2018
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vol. 52
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issue 3
EN
The paper examines the impact of the leverage, working capital, and cash conversion cycle on financial liquidity. For this aim panel analysis based on data from financial statements of 345 companies listed on the Warsaw Stock Exchange in the years 1998–2016 was used. The obtained results indicate that liquidity significantly depends on the debt ratio and the size of net working capital. In the first case, it is a negative relationship, the second one is positive. In the case of impact of the cash conversion cycle on the liquidity, the established dependencies do not allow for the formulation of unambiguous conclusions.
PL
W artykule zbadano wpływ zadłużenia przedsiębiorstwa, wielkości kapitału pracującego oraz cyklu konwersji gotówki na płynność finansową. W tym celu wykorzystano analizę panelową opartą na danych ze sprawozdań finansowych 345 spółek notowanych na GPW w Warszawie w latach 1998–2016. Uzyskane wyniki wskazują, że płynność w sposób istotny zależy od stopy zadłużenia oraz wielkości kapitału obrotowego netto. W pierwszym przypadku jest to zależność ujemna, w drugim – dodatnia. W przypadku wpływu na płynność długości cyklu konwersji gotówki ustalone zależności nie pozwalają na sformułowanie jednoznacznych wniosków.
3
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Kształtowanie poziomu i struktury kapitału własnego giełdowych spółek przemysłowych

75%
Sajnóg A., Uniwersytet Łódzki; Wydział Ekonomiczno-Socjologiczny; Instytut Ekonomik Stosowanych i Informatyki
Acta Universitatis Lodziensis. Folia Oeconomica
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2012
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vol. 272
EN
The fundamental purpose of this article is to present the results of analysis the level and structure of equity of the selected companies quoted on the Warsaw Stock Exchange. The empirical investigation are aimed at verification of the hypothesis which assumes that on the forming of book value of equity of the joint-stock exchange companies mainly influenced by the value of the resource capital, which the share in the equity in the meaning way is prevailing above the share capital of. The empirical investigations have been preceded by the theoretical deliberations upon the role and meaning of the structures of equity in the joint-stock companies.
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Efektywność portfeli akcji zabezpieczonych opcjami indeksowymi na Giełdzie Papierów Wartościowych w Warszawie w latach 2007-2015

71%
Flotyński M.
Ruch Prawniczy, Ekonomiczny i Socjologiczny
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2016
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vol. 78
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issue 1
197-215
EN
In the article quantitative research was conducted on data from the Warsaw Stock Exchange (WSE) for the years 2007-2015. The research focused on an assessment of the success of using derivatives in the context of increasing rates of return and lowering risk. The aim of the article is to check the efficiency of portfolios hedged by index options quoted on the WSE. The time frame was divided into 3 independent periods in order to show the difference in the level of portfolios’ efficiency during the bearish trend on the market. In the research quantitative methods have been used, among them comparative analysis and regression analysis to calculate the beta coefficient. The efficiency of hedged portfolios and indices has been measured with the use of the Sharpe ratio, Treynor ratio, Jensen’s alpha, Information ratio and Sortino ratio. The hypothesis is formulated that hedged portfolios are more efficient than unhedged ones (stock indexes). The research proved that in the periods given hedged portfolios had by far more favourable level of efficiency measures, so they were more efficient. Their profit to risk ratio was better when index options were included in portfolios.
PL
W artykule przeprowadzono badanie ilościowe na danych z lat 2007-2015, które miało na celu ocenę celowości wykorzystania instrumentów pochodnych w kontekście podwyższania stopy zwrotu i obniżania ryzyka portfeli akcji notowanych na Giełdzie Papierów Wartościowych w Warszawie. Celem artykułu jest sprawdzenie, na podstawie badania empirycznego, efektywności portfeli zabezpieczonych opcjami indeksowymi. Efektywność rozumie się jako stosunek zysku do ryzyka portfeli akcji notowanych na GPW. Zakres czasowy badania podzielono na trzy okresy w taki sposób, aby ukazać różnicę w efektywności portfeli podczas słabej koniunktury giełdowej. Spośród metod badawczych wykorzystano m.in. analizę porównawczą oraz analizę regresji do obliczenia wartości współczynnika beta. Efektywność portfeli zabezpieczonych opcjami indeksowymi i tych niezabezpieczonych została zmierzona wskaźnikami Sharpe’a, Treynora, Jensena, Information Ratio i Sortino. Sformułowano hipotezę badawczą stwierdzającą, że portfele spółek zabezpieczone derywatami są bardziej efektywne niż portfele niezabezpieczone (indeksy giełdowe). W badanym okresie portfele zabezpieczone opcjami indeksowymi charakteryzowały się wyższą stopą zwrotu i niższym ryzykiem niż portfele indeksów giełdowych. Zostało to potwierdzone przez analizę kształtowania się mierników efektywności.
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Struktura kapitału zasobowego a ocena efektywności giełdowych spółek akcyjnych

63%
Sajnóg A., Uniwersytet Łódzki; Wydział Ekonomiczno-Socjologiczny; Instytut Ekonomik Stosowanych i Informatyki
Acta Universitatis Lodziensis. Folia Oeconomica
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2012
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vol. 272
EN
The fundamental purpose of this article is to present the results of analysis the level and structure of the resource capital of the selected companies quoted on the Warsaw Stock Exchange. The empirical investigation are aimed at verification of the hypothesis which assumes that the supplementary capital and self-financing capital plays the primary role in forming the book value of the resource capital, also in companies about so formed structure of resource capital observed higher profitability of total capital (total assets – ROA). This article presents the estimate of the effectiveness of companies using nonparametric DEA method. It enables to determine the effectiveness of objects at taking into consideration many inputs and many outputs and does not require determining the functional relation between variables. The analysis has been carried out using an input-oriented measure of efficiency and the constants returns to scale (CRS model).
6
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Poziom i struktura kapitału zasobowego a wartość rynkowa giełdowych spółek akcyjnych

63%
Sajnóg A., Uniwersytet Łódzki; Wydział Ekonomiczno-Socjologiczny; Instytut Ekonomik Stosowanych i Informatyki
Acta Universitatis Lodziensis. Folia Oeconomica
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2012
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vol. 262
EN
The issues of the resource capital constitutes an important subject of the financial analysis of the enterprise’s market value. Its task is among other things the realistic estimate of the resource capital and its impact on the development of the enterprise’s market value come into a relevant prominence. The fundamental purpose of this article is to demonstrate the strength and character of the correlation between the volumes formed in terms of the Polish capital market. The review of the hypothesis on strong relation between the level and structure of the resource capital and the enterprise’s market value, has been conducted on the basis of the analysing Polish partnerships of the industrial sector which are quoted on the Warsaw Stock Exchange. The surveys of correlations and their significance have been preceded by the theoretical deliberations upon the essence of the major factors which determine enterprise’s market value.
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