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ASSESSING THE NON-FINANCIAL INVESTMENT PROFITABILITY WITH VARIABLE DISCOUNT RATE

100%
Gwóźdź K.
Oeconomia Copernicana
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2015
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vol. 6
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issue 4
123-138
EN
In the work, the subject of the discount rate assessment is presented. The discount rate is usually considered as constant in the whole investment period, which seems to be the main problem. The constant discount rate does not take into account the actual money loses value in time. Moreover, the discount rate elements can change in time, and it should be remembered that many factors, which could also change, influence the value of those elements. The research confirms that the assumption of using the constant discount rate is erroneous. In the work one can find i.a. the methods of own capital assessment or the proposal of different techniques of risk premium valuation.
2
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Using the ICAPM to estimate the cost of capital of stock portfolios: empirical evidence on the Warsaw Stock Exchange

100%
Urbański S., Leśkow J.
Statistics in Transition new series
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2020
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vol. 21
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issue 1
73-94
EN
The aim of this paper is to present the method for estimating the cost of capital of typical portfolios available on the Warsaw Stock Exchange. The authors introduce the three factor Fama-French model and its two modifications. They also apply the bootstrap method to evaluate the variability of their estimation method. The cost of capital they refer to is related to portfolios of real options linked to projects. The market returns are generated both by stock companies running such projects and by real options modifying selected projects. The estimated cost of capital can serve as a valuable indicator for investors and for managers overseeing portfolios of stocks. Also, such an indicator can serve as a general reference while making business decisions related to new. The study demonstrated that the estimated cost of capital assumes highest values for value portfolios and stock companies with high financial indicators and, at the same time, low market prices compared to their book value. By the same token, the estimated cost of capital assumes low values for growth portfolios and for stock companies characterised by low financial indicators and, at the same time, high market prices compared to their book values.
3

Risk Premium for Loss of Employment in Polish Regions

88%
Ostoj J.
Zeszyty Naukowe Wyższej Szkoły Finansów i Prawa w Bielsku-Białej
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2018
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issue 4
32-44
EN
In previous papers of the series, having applied the income-based valuation method of intellectual capital of a region, the author discovered a need for valuation of the risk premium which should be included in the discount rate of labour income. Undoubtedly, both the loss of employment and the amount of labour income contribute to the intuitive calculation of economic migration. The income-based valuation of the right to a certain sequence of income at a certain risk level, properly integrates these factors as one value, providing a clear criterion of selection is assured. Because the labour market does not generate the values that allow the adaptation of the CAPM model, a completely new method of the risk premium valuation has been proposed which produces corresponding results to those based on the CAPM model. The method was applied to respective regions of Poland i.e. voivodeships. As the result, the equity premium puzzle of the Polish labour market was revealed. Due to significant amount of estimates, the obtained results are just the first attempt towards solution of the problem.
4

Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market

88%
Benaković D., Posedel P.
Business Systems Research Journal
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2010
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vol. 1
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issue 1-2
39-46
EN
Factor models observe the sensitivity of an asset return as a function of one or more factors. This paper analyzes returns on fourteen stocks of the Croatian capital market in the period from January 2004 to October 2009 using inflation, industrial production, interest rates, market index and oil prices as factors. Both the direction and strength of the relation between the change in factors and returns are investigated. The analyses included fourteen stocks and their sensitivities to factors were estimated. The results show that the market index has the largest statistical significance for all stocks and a positive relation to returns. Interest rates, oil prices and industrial production also marked a positive relation to returns, while inflation had a negative influence. Furthermore, cross-sectional regression with the estimated sensitivities used as independent variables and returns in each month as dependent variables is performed. This analysis resulted in time series of risk premiums for each factor. The most important factor affecting stock prices proved to be the market index, which had a positive risk premium. A statistically significant factor in 2004 and 2008 was also inflation, marking a negative risk premium in 2004 and a positive one in 2008. The remaining three factors have not shown as significant.
5
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A puzzle of excessive equity risk premium and the case of Poland

88%
Kliber P.
Finansowy Kwartalnik Internetowy e-Finanse
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2016
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vol. 12
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issue 1
1-11
EN
The article presents a historical review of the literature related to the empirical problem of excessive risk premium. The risk premium (the diff erence between the return on equiti es and risk-free rate) observed in fi nancial markets cannot be reconciled with theoreti cal models of fi nancial markets – it is too high (“excessive”). We present the original model from the seminal work of Mehra and Prescott (1985), where this problem has been signaled. The article gives an overview of the main trends in the literature concerning this problem, of the proposed soluti ons and of the extension to the model. Finally, we consider the problem in the Polish context, estimating the original Mehra-Prescott model using data from the Polish financial market.
6
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New Methods for Air Traffic Controller Main Solution Taking Dominant Determination Concerning Their Attitude to Risk

88%
Borsuk S. P.
Logistics and Transport
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2017
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vol. 33
25-30
EN
Taking into account the influence of human factor on flight safety one may say that ICAO flight safety main concept components mutually influence each other. This is based on the perspective of “aviation personnel attitude to safe actions and conditions” as the main factor of flight safety. This attitude may be found with help estimate usefulness functions construction and analysis for aircraft flight norms values based on air traffic controllers indexes in decision taking tasks. One way to find the main solution is taking dominant that defines air traffic controller attitude to flight level norms violation as to risk (tending, indifferent, non-tending to risk) is with the help of a “risk premium” criterion. Historically, the criterion included a single variable point in estimate usefulness function. Two improved criteria that include several characteristic points of usefulness function are proposed. As a result of new criteria appliance the main solution taking dominant determination efficiency increased up to 18 %.
7
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Markov Switching In-Mean Effect. Bayesian Analysis in Stochastic Volatility Framework

88%
Kwiatkowski Ł.
Central European Journal of Economic Modelling and Econometrics
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2010
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issue 1
8
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Bayesian Analysis of a Regime Switching in-Mean Effect for the Polish Stock Market

75%
Kwiatkowski Ł.
Central European Journal of Economic Modelling and Econometrics
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2011
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issue 4
9
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The CAPM and Fama-French Models in Poland

75%
Czapkiewicz A., Skalna I.
Przegląd Statystyczny
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2010
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vol. 57
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issue 4
128-141
PL
Tematem prezentowanej pracy jest weryfikacja trójczynnikowego modelu Famy Frencza dla danych z Warszawskiej Giełdy Papierów Wartościowych. Okres badania obejmuje lata 2002-2010. Do estymacji nieznanych parametrów modelu zastosowano uogólnioną metodę momentów (GMM), Przyjęto założenie istnienia heteroskedastyczności i autokorelacji szeregów czasowych biorących udział w badaniu. Ponadto dopuszczono możliwość istnienia korelacji czynników objaśniających z błędami losowymi występującymi w modelu regresji. Uzyskane wyniki potwierdziły tezę, że trójczynnikowy model Famy Frencza zadowalająco opisuje zmiany stóp zwrotu na rynku polskim w badanym okresie. Wynik tego badania należy jednak traktować jako wstęp do bardziej wnikliwych analiz.
EN
The main objective of this paper is to verify the performance of the Fama-French model for the Polish market. The estimates for individual stock returns are obtained using the monthly data from the Warsaw Stock Exchange for the period December 2002 to January 2010. The Generalized Method of Moments is used to test hypotheses that lead to the validation of the Fama-French model. We find that the cross-sectional mean returns are explained by exposures to the three factors, and not by the market factor alone. These results are consistent with previous studies of developed markets.
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