- Author
- Urbański Stanisław
- Title
- Wpływ wybranych wskaźników makroekonomicznych na wyniki finansowe polskich spółek giełdowych
Influence of Selected Macroeconomic Indexes on Financial Results of Companies Listed on the Polish Stock Exchange - Source
- Prace Naukowe Akademii Ekonomicznej we Wrocławiu, 2007, nr 1152, s. 588-600, tab., rys., bibliogr. 14 poz.
- Issue title
- Zarządzanie finansami firm : teoria i praktyka
- Keyword
- Wskaźniki ekonomiczne, Wynik finansowy, Analiza ekonomiczna, Analiza regresji, Szeregi czasowe
Economic indicators, Financial performance, Economic analysis, Regression analysis, Time-series - Note
- summ.
- Abstract
- Podjęto próbę budowy modelu objaśniającego czynniki oceny oraz ich relacje do czynników wyceny spółek giełdowych. Czynniki oceny przedsiębiorstwa zdefiniowano jako dynamikę zmian podstawowych czynników finansowych, czynniki wyceny zaś jako relację BV/MV oraz relację zysku do wartości księgowej - E/MV.
This paper presents a model describing the rates of changes of company financial results versus macroeconomic indexes. The research was carried out on the basis of securities traded on WSE in the period from 1995 to 2004. The model is based on the two-pass Fama-MacBeth procedure applied in testing CAPM. The time-series analysis in pass I determines loadings of explanatory variables and changes of functions LICZ and FUN. The functions are dependent on the financial results and market value of companies. A significant influence of chosen explanatory variables on LICZ and FUN is observed for most investigated portfolios. Cross-sectional regressions run in pass II examine the rate of changes of LICZ and FUN versus the changes of variable loadings determined in pass I. Non-zero values of pass II regression parameters and high R2 and F indexes support the proposed model. (original abstract) - Accessibility
- The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics - Full text
- Show
- Bibliography
-
- Burmeister E., McElroy M., Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory, "Journal of Finance" 1988, 43, 3.
- Chen N., Roll R., Ross S. A., Economic Forces and Stock Market, "The Journal of Business" 1986, 59, 3.
- Fama E.F., MacBeth J.D., Risk Return and Equilibrium: Empirical Tests, "Journal of Political Economy" 1973,81,3.
- Fama E.F., French K.R., The Cross-Section of Expected Stock Returns, "Journal of Finance" 1992, XLVII, 2.
- Fama E.F., French K.R., Size and Book-to-Market Factors in Earnings and Returns, "Journal of Finance" 1995, L, 1.
- Greene W.H., Econometric Analysis, Prentice Hall, Upper Saddle River, NJ 07458, 2003.
- Gujarati D.N., Basic Econometrics, McGraw-Hill, New York, 1995.
- Lettau M., Ludvigson S., Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying, "The Journal of Political Economy" 2001, 109, 6.
- Petkova R., Do the Fama-French Factors Proxy for Innovations in Predictive Variables, "Journal of Finance", Forthcoming article for April 2006.
- Ramanathan R., Introductory Econometrics with Application, The Dryden Press, Harcourt Brace College Publishers, San Diego, 1995.
- Rosenberg B., Reid K., Lanstein R., Persuasive Evidence of Market Inefficiency, "Journal of Portfolio Management" 1985, 11,3.
- Schanken J., On the Estimation of Beta-Pricing Models, "The Review of Financial Studies" 1992, 5, 1.
- Sorensen E., Salomon R.S., Davenport C, Fiore M., Risk Analysis: The Effect of Key Macroeconomic and Market Factors on Portfolio Returns, Salomon Brothers, 1989.
- Urbański S., Symulacje inwestycji giełdowych w papiery wartościowe; rentowność i ryzyko inwestycji przyszłych, Studia i Prace Kolegium Zarządzania i Finansów, Zeszyt Naukowy 48, SGH, Warszawa 2004.
- Cited by
- ISSN
- 0324-8445
- Language
- pol
