Problem doboru portfela porównawczego w długookresowej ewaluacji efektów kolejnych emisji akcji

• Autorzy: Joanna Lizińska

Warianty tytułu

The Long-Run Abnormal Stock Returns After Seasoned Equity Offerings and the Choice of the Reference Portfolio

• Języki publikacji: PL

Abstrakty

Obserwacja długookresowej reakcji cenowej na dokonanie wtórnej emisji akcji pasjonowała wielu badaczy w ostatnich dekadach od strony zarówno teoretycznej, jak i praktycznej. W przeważającej części badań odnotowano negatywne ponadnormalne stopy zwrotu. Jednakże część obserwacji poczynionych w ostatnich latach nie potwierdza tych wniosków. W niniejszym opracowaniu dokonano analizy metod doboru portfela referencyjnego, gdyż zagadnienie to odgrywa kluczową rolę w prawidłowym oszacowaniu reakcji na kolejne emisje akcji. Nacisk został położony na modele czynnikowe, benchmarki indeksowe i standardowe procedury bazujące na cechach charakterystycznych, na metodzie propensity score matching kończąc.(abstrakt oryginalny)

EN

The long-term price effect after seasoned equity offerings has been extensively investigated over the last decades as well as from the theoretical and practical point of view. Vast number of studies reveal negative abnormal returns. However, some recent studies do not confirm the underperformance. The paper explores methods of the reference portfolio choice as this seems to have the key role in the evaluation. The study focuses on factor models, index benchmarks and standard characteristic-based portfolios. It concludes with the propensity score matching.(original abstract)

Słowa kluczowe

PL

Metoda Propensity Score Matching (PSM); Emisja papierów wartościowych; Portfel akcji; Stopa zwrotu akcji

EN

Propensity Score Matching; Securities emission; Equity portfolios; Stock rate of returns

• Czasopismo: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
• Rocznik: 2012
• Numer: nr 271, t. 1 Zarządzanie finansami firm - teoria i praktyka
• Strony: 459--467

Twórcy

autor

Joanna Lizińska

• Uniwersytet Ekonomiczny w Poznaniu

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