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The modeling of earnings per share of Polish companies for the post-financial crisis period using random walk and ARIMA models

100%
Kuryłek W.
Journal of Banking and Financial Economics
|
2023
|
issue 1(19)
26-43
EN
The proper forecasting of listed companies’ earnings is crucial for their appropriate pricing. This paper compares forecast errors of different univariate time-series models applied for the earnings per share (EPS) data for Polish companies from the period between the last financial crisis of 2008–2009 and the pandemic shock of 2020. The best model is the seasonal random walk (SRW) model across all quarters, which describes quite well the behavior of the Polish market compared to other analyzed models. Contrary to the findings regarding the US market, this time-series behavior is well described by the naive seasonal random walk model, whereas in the US the most adequate models are of a more sophisticated ARIMA type. Therefore, the paper demonstrates that conclusions drawn for the US might not hold for emerging economies because of the much simpler behavior of these markets that results in the absence of autoregressive and moving average parts.
2
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The effects of COVID-19 on Polish enterprises

63%
Kuryłek W., Shachmurove Y.
Economics and Business Review
|
2024
|
vol. 11
|
issue 1
82-107
EN
The COVID-19 pandemic had massive impacts on economic sectors. This paper explores the economic effects of COVID-19 on 150,000 Polish enterprises. The paper analyses financial data from the Polish National Court Register and explores heterogenous impacts brought by the COVID-19 pandemic across multiple sectors. Its innovative contribution lies in adopting a granular perspective to assess the sector-specific impacts of COVID-19. This approach distinguishes the paper from much of the existing literature, which predominantly emphasises global or macroeconomic outcomes. The paper compares financial ratios across 2019 and 2020, applying Wilcoxon and Mann-Whitney tests to measure changes in profitability, liquidity, working capital, and leverage ratios. Key findings indicate a disparity in revenues across sectors, with some showing resilience in adapting to pandemic-induced challenges. The analysis re veals that 28 PKD divisions experienced significant revenue reductions (up to −70% in tourism-related sectors), while 25 divisions experienced gains (up to +23% in Information Technology sectors). Notably, while working capital metrics deteriorated across most sectors, with Days Receivables Outstanding increasing substantially, liquidity ratios improve across 80% of sectors.
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