Wpływ czynników krajowych i sektorowych na rynkowe stopy zwrotu : przegląd badań

• Autorzy: Julia Koralun-Bereźnicka

Warianty tytułu

Country and Industry Factors as Determinants of Stock Returns : a Research Review

• Języki publikacji: PL

Abstrakty

Oddziaływanie efektów sektorowych i krajowych podlegało wielu badaniom w różnych obszarach gospodarczych. Jednym z najczęściej analizowanych problemów jest wpływ czynników krajowych i sektorowych na zachowanie rynkowych stóp zwrotu. Wielokrotnie wykazano, że oba efekty stanowią ważne czynniki kształtujące ich zmienność. Głównym motywem wielu badań jest określenie, który z efektów ma znaczenie dominujące. Ocena ta jest kluczowa z punktu widzenia zwiększania skuteczności metod dywersyfikacji inwestycji. Przewaga efektów sektorowych potwierdzałaby słuszność strategii inwestycyjnych opartych na przekrojach sektorowych. Tradycyjna strategia różnicowania portfela według krajów byłaby natomiast bardziej uzasadniona w przypadku, gdy efekty kraju przeważałyby nad efektami sektorowymi. Wielokrotne próby rozstrzygnięcia problemu efektów kraju i sektora doprowadziły do sformułowania pewnych sugestii dotyczących metod dywersyfikacji portfeli inwestycyjnych oraz sposobów prowadzenia badań w dziedzinie finansów. (abstrakt oryginalny)

EN

The country and industry effects have been researched in many economic areas. One of the issues most often analyzed is the impact of national and industrial factors on stock returns. It has been proved that both effects affect considerably their variability. An important question however is to determine which of the two effects prevails. Evaluating the relative importance of country and sector factors is crucial in terms of portfolio diversification. If these are mainly industrial factors that influence market returns, portfolio managers should apply cross-sector investment strategies. However, a traditional cross-country portfolio diversification would be more suitable if country factors dominated over the industrial ones. Numerous attempts to solve the problem have resulted in producing certain suggestions concerning both diversification methods, as well as the research methodology in the area of finance. (original abstract)

Słowa kluczowe

PL

Stopa zwrotu; Zachowania rynkowe; Dywersyfikacja portfela; Portfel inwestycyjny; Efekt sektorowy

EN

Rate of return; Market behaviour; Portfolio diversification; Investment portfolio; Industry effect

• Czasopismo: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
• Rocznik: 2010
• Numer: nr 99 Finanse publiczne i międzynarodowe
• Strony: 189--196

Twórcy

autor

Julia Koralun-Bereźnicka

• Uniwersytet Gdański

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