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Author
Zaremba Adam (Uniwersytet Ekonomiczny w Poznaniu)
Title
Premia za jakość na globalnych rynkach akcji
Quality Premium in Global Equity Markets
Source
Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia, 2014, nr 65, s. 257-271, rys., tab., bibliogr. 52 poz.
Issue title
Zarządzanie finansami w przedsiębiorstwach i jednostkach samorządu terytorialnego
Keyword
Rynek kapitałowy, Stopa zwrotu akcji, Jakość, Premia
Capital market, Stock rate of returns, Quality, Bonus
Note
streszcz., summ..
Abstract
Celem niniejszego artykułu jest zbadanie roli kondycji finansowej jako determinanty stóp zwrotu z rynków akcji w różnych państwach. Tekst składa się z dwóch części. Wpierw dokonany zostaje przegląd dotychczasowej literatury dotyczącej inwestowania w jakość. Następnie przeprowadzona jest empiryczna analiza premii za jakość na rynkach globalnych. Obliczenia bazują na danych z 66 światowych rynków akcji w latach 2000-2013. Badanie dowodzi istnienia dodatniej premii za jakość na globalnych rynkach akcji. Przekrojowa zmienność stóp zwrotu z rynków akcji w poszczególnych państwach może być objaśniona za pomocą rentowności i poziomu zadłużenia: im większa rentowność i mniejsze zadłużenie firm w danym kraju, tym wyższa oczekiwana stopa zwrotu. Wyniki są odporne na zmiany bazowej waluty obliczeniowej. Co więcej, kondycja finansowa może być łączona z tradycyjnymi czynnikami wartości, wielkości i momentum w celu zamplifikowania ponadprzeciętnych stóp zwrotu. (abstrakt oryginalny)

The aim of this paper is to examine the role of financial quality as a determinant of cross-country stock returns. The paper is composed of two parts. First, I review existing literature in the field. Next, an empirical analysis of quality premium in global markets is performed. The calculations are based on data from 66 global markets in years 2000-2013. The results of research confirm the existence of the quality premium. The cross-sectional variation in country returns may be well explained with debt level and profitability. Moreover, the financial standing may be combined with momentum, value and size ratios to additionally improve the rates of returns. The observations are robust to changes in basic currency. (original abstract)
Accessibility
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
Szczecin University Main Library
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ISSN
1640-6818
1733-2842
Language
pol
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