BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

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Autor
Zaremba Adam (Uniwersytet Ekonomiczny w Poznaniu)
Tytuł
Międzyrynkowa premia za wartość w okresach kryzysów finansowych
Intermarket Value Premia in Times of Financial Stress
Źródło
Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia, 2015, nr 75, s. 555-566, tab., bibliogr. 76 poz.
Tytuł własny numeru
Rynek kapitałowy: skuteczne inwestowanie
Słowa kluczowe
Strategia inwestycyjna, Inwestycje kapitałowe, Kryzys finansowy, Rynek kapitałowy, Premia
Investment strategy, Capital investments, Financial crisis, Capital market, Bonus
Uwagi
streszcz., summ..
Abstrakt
Cel - Badanie wyników międzyrynkowych strategii inwestowania w wartość w okresach kryzysów finansowych. Metodologia badania - Badanie bazuje na próbie 66 państw z lat 2000-2013. Pochodzące z sortowań portfele państw są oceniane za pomocą wieloczynnikowych modeli wyceny aktywów. Wynik/Oryginalność/Wartość - Artykuł wnosi dwojaki wkład do literatury przedmiotu. Po pierwsze, dostarcza świeżych dowodów na to, że rynki wysokowartościowe charakteryzują się wyższymi długoterminowymi stopami zwrotu aniżeli rynki niskowartościowe. Po drugie, wyniki przeprowadzonych badań wskazują, że przewaga krajów wysokowartościowych nad niskowartościowymi zmniejsza się w okresach kryzysów finansowych, ponieważ premia za wartość wykazuje ujemną korelację ze zmianami spreadów kredytowych, spreadów TED czy oczekiwanej zmienności. (abstrakt oryginalny)

Purpose - The paper focuses on the inter-market value premium across countries and their performance during financial crisis. Design/methodology/approach - I investigate data from 66 markets between years 2000 and 2013. Country portfolios from sorts on value variables are evaluated with asset pricing models. Findings/originality/value - The paper contributes in two ways. First, I provide out-of-sample evidence that the high-value countries perform visibly better than the low-value countries. Second, I demonstrate that returns to the high-value countries decrease in financial crisis conditions, because the country-level value premium is negatively correlated with the credit spreads, TED spread and expected volatility. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Szczecińskiego
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Bibliografia
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Cytowane przez
Pokaż
ISSN
1640-6818
1733-2842
Język
pol
URI / DOI
http://dx.doi.org/10.18276/frfu.2015.75-45
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