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THE LOW PRICE EFFECT ON THE POLISH MARKET

100%
Zaremba A., Żmudziński R.
Finansowy Kwartalnik Internetowy e-Finanse
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2014
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vol. 10
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issue 1
69-85
EN
In this paper we investigate the characteristics of the low price anomaly, which implies higher returns to stocks with a low nominal price. The research aims to broaden academic knowledge in a few ways. Firstly, we deliver some fresh evidence on the low price effect from the Polish market. Secondly, we analyze the interdependence between the low price effect and other return factors: value, size and liquidity. Thirdly, we investigate whether the low price effect is present after accounting for liquidity. Fourthly, we check to see whether the low price effect is robust to transaction costs. The paper is composed of three main sections. In the beginning, we review the existing literature. Next, we present the data sources and research methods employed. Finally, we discuss our research findings. Our computations are based on all the stocks listed on the Warsaw Stock Exchange (WSE) in the years 2003-2013. We have concluded that the low price effect is present on the Polish market, although the statistical significance is very weak and it disappears entirely after accounting for transaction costs and liquidity.
2
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Family enterprises in Polish consumers’ mindset in the light of international tendencies

100%
Bednarz J., Nikodemska-Wołowik A. M.
Journal of Economics and Management
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2017
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vol. 29
5-22
EN
Aim/purpose – The main aim of the paper is to fill in the gap in the existing literature as well as to propose a set of specific family enterprises’ (FE) attributes concerning certain socioeconomic conditions in Poland. The objectives of the article are interrelated with two theses. H1 assumes that in current literature there is a little attention paid to the demand side of the market, particularly to the individual consumers (including young buyers) and their attitudes toward FEs. H2 indicates that the perception of Polish FEs changes considerably reflecting the international trends. Design/methodology/approach – The authors studied a consolidated profound review of recent international and Polish publications on FEs. The expert interviews and in-depth individual interviews were conducted. Both empirical studies brought a preliminary insight into overall consumer perception of the FEs in Poland. Findings – For several years Polish buyers have been dynamically changing their mindset, breaking the stereotype of FEs’ owners. Nowadays, tradition and quality are two attributes which are associated closely with Polish FEs. Customers indicate that FEs are trustworthy, responsible, solid and dependable. They also highlight the ethnocentric attitude toward these companies – Polishness. All these attributes are evidently appreciated. FEs are correlated with traditional industries and products, especially with groceries, cosmetics, clothes, shoes, jewelry, furniture, windows and doors. Research implications/limitations – The identity of FEs is not always communicated properly. Consumers often cannot ascertain a provenance of their offer as many FEs do not emphasize their family identity. Additionally, on the Polish market, consumers are occasionally misled considering the family ownership of a business. Originality/value/contribution – The studies indicate a set of attributes typical of Polish FEs underpinning their strong identity which should be explicitly conveyed to the public, with special regard to young consumers.
3
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The Relations Between Momentum, Value Size, And Liquidity Factors And Stock Returns On The Polish Market

75%
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.
4
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Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor

75%
Latoszek M., Ślepaczuk R.
Economics and Business Review
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2020
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vol. 6(20)
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issue 1
46-81
EN
The main goal of this research is to analyse the investment benefits from an incorporation of the volatility exposure to the diversified portfolio from the perspective of a Polish investor. Volatility, treated as a new asset class, may improve the performance of the portfolio due to its negative correlation with most types of assets. This topic has been widely investigated for the United States and Europe whereas the Polish market appears to be not heavily researched and this study may fill this gap. The research covers the period from October 2010 to July 2018 and is performed on daily close prices. To construct the portfolios the analysis uses the mean-variance framework and the naïve diversification approach. The comparison of risk-adjusted returns between investments with and without volatility exposure enables an answer to the research question about an improvement of the results by the addition of a non-standard asset to the diversified portfolios. The VXX is considered as the proxy for volatility as it is the most popular ETN which follows the volatility index derivatives with the given maturity. To test the robustness of the results the portfolios are constructed with a broad range of different parameters and assumptions imposed on the optimization procedure.
5
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Diagnoza start-upów funkcjonujących w Polsce

63%
Sitko-Lutek A., Marzec P.
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia
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2017
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vol. 51
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issue 3
EN
The paper analyses Polish start-ups operating on the market. In addition, it compares international trends, as well as ecosystems of innovative Polish start-ups. Particular attention was devoted to a meagre but ever-expanding market of start-ups in the Lublin Voivodeship. Clusters in the Lublin region, which constitute the main driving force behind the establishment of start-ups and support for young entrepreneurs in the region, were also discussed.
PL
Artykuł przedstawia analizę polskich start-upów funkcjonujących na rynku. Dodatkowo porównuje trendy światowe oraz ekosystem innowacyjnych fimy start-upowych działających w Polsce. Szczególną uwagę zwrócono na ubogi, lecz nieustannie rozwijający się rynek start-upów w województwie lubelskim. Poruszono także kwestie lubelskich klastrów, które są głównymi ośrodkami napędzającymi powstawanie start-upów i wspierającymi młodych przedsiębiorców w regionie.
6
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Efekty wartości, wielkości i momentum a wycena aktywów na polskim rynku akcji

51%
Zaremba A.
FINANSE Czasopismo Komitetu Nauk o Finansach PAN
|
2015
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issue 1(8)
111+143
EN
The study tests the performance of the CAPM, Fama-French three-factor and Carhart four-factor models on the Polish market. The computations base on listings of over 800 companies between April 2001 and January 2014. The paper documents strong evidence for the value and momentum effects, but only weak evidence for the size premium. I form portfolios double-sorted on size and book-to-market ratios, as well as on size and momentum, and I try to explain their returns with the above-mentioned asset pricing models. The CAPM model is rejected and the three-factor and four-factor models perform well for the size and B/M sorted portfolios, but fail to explain the returns on the size and momentum sorted portfolios. With the exception of the momentum factor, the local Polish factors are not correlated with their European and global counterparts, suggesting market segmentation. Finally, the international value, size and momentum factors perform poorly in explaining cross-sectional variation in stock returns on the Polish market.
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