Inwestowanie w jakość na rynkach akcji w Europie Środkowo-Wschodniej

• Autorzy: Adam Zaremba

Warianty tytułu

Quality Investing in Central and Eastern Europe

• Języki publikacji: PL

Abstrakty

Opracowanie ma na celu przedstawienie zależności pomiędzy stopami zwrotu na rynku akcji a sześcioma różnymi wskaźnikami ilustrującymi jakość spółek giełdowych: dochodami niepieniężnymi, płynnością bilansową, rentownością, zadłużeniem, stopą wypłaty dywidendy i płynnością obrotu. Wyniki badań potwierdzają występowanie premii za rentowność i płynność. Ponadto rentowne i nisko zadłużone spółki zapewniają inwestorom częściowe zabezpieczenie w skrajnych warunkach rynkowych. W artykule zaproponowano także rozpiętość jakości jako nowe narzędzie prognostyczne i dowiedziono, że ma ona właściwości predykcyjne w stosunku od premii za jakość w zakresie zadłużenia i rentowności. W badaniu wykorzystano notowania ponad 1300 spółek z Europy Środkowo-Wschodniej w latach 2002-2014; zastosowano w nim metody analizy przekrojowej, analizy regresji oraz testy relacji monotonicznej. (abstrakt oryginalny)

EN

The aim of this paper is to examines the return patterns related to six distinct quality characteristics: accruals, balance sheet liquidity, profitability, leverage, payout ratio and turnover. We document a strong gross-profitability premium and an inverted liquidity premium. Profitable and not heavily leveraged companies provide a partial hedge against market distress. Furthermore, the paper proposes quality spreads as a forecasting tool and shows that they have predictive abilities over quality premiums related to leverage, profitability and bid-ask spread. The study investigates performance of more than 1,300 stocks from 11 Central and Eastern European countries for the period 2002-2014. We use sorting, cross-sectional tests, regression, and tests of a monotonic relation. (original abstract)

Słowa kluczowe

PL

Rynek akcji; Stopa zwrotu akcji; Jakość; Analiza regresji

EN

Equity market; Stock rate of returns; Quality; Regression analysis

• Czasopismo: Bank i Kredyt
• Rocznik: 2015
• Numer: nr 2
• Strony: 165--190

Twórcy

autor

Adam Zaremba

• Uniwersytet Ekonomiczny w Poznaniu

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