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Generating Investment Strategies Using Multiobjective Genetic Programming And Internet Term Popularity Data

Abstract

Searching for stock picking strategies can be modelled as a multiobjective optimization problem. The objectives are mostly the profit and risk. Because of the conflicting nature of these objectives, we have to find Pareto optimal solutions. Multiobjective genetic programming (MOGP) can be used to find tree based solutions, using evolutionary operators. The advantage is that this algorithm can combine any number of inputs and generate complex models. Recent research shows, that the popularity of different terms on the internet can be used to enhance the models. This paper deals with a SPEA2 MOGP implementation, which uses Google trends and Wikipedia popularity to find stock investment strategies.

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Orientations towards English among English-medium Instruction Students

Abstract

Based on the empirical data of my PhD research, this paper analyses the perceptions of 351 undergraduate students enrolled at English-medium universities towards English in terms of the language ideology framework. The students were purposively sampled from three programs at three Turkish universities. The data were drawn from student opinion surveys and semi-structured interviews. The findings paint a blurry picture, with a strong tendency among most students to view their English use as having the characteristics of dominant native varieties of English (American English & British English), and with a high percentage of students’ acceptance of the distinctiveness of their English without referring to any standard variety. The findings also show that many students’ orientations to English are formed by two dominant language ideologies: standard English ideology and native speaker English ideology. It was also found that a large number of students did not strictly stick to either of these ideologies, particularly in their orientation to spoken English, due, as argued in the main body, to their experiences on language use that have made them aware of the demographics of diverse English users and of the diverse ways of using English.

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The Impact of Acquisition on Stock Value in Case of Warsaw Stock Exchange

Abstract

Research purpose: Seven of 10 companies that have won the Polish Forbes edition Merge & Acquisition 2018 Ranking are listed on Warsaw Stock Exchange. The aim of the conducted research was to test if the biggest acquisitions have an impact on stocks value and is it possible for typical investor to create extra profit by using knowledge of acquisition based on public information.

Design/Methodology/Approach: Using data from Warsaw Stock Exchange (quotations), typical measures such as rate of return, standard deviation (risk), correlation and transaction volume changes were calculated. Each of the case results obtained for the company was compared with the result for stock market indexes: WIG (Warszawski Indeks Giełdowy – main WSE index), WIG20 (WSE sub-index of the 20 largest companies), mWIG40 (WSE sub-index of 40 medium companies) and sWIG80 (WSE sub-index of 80 small companies). In addition, the outcomes were confronted with public news (from WSE Electronic System for Information Transfer).

Findings: Conducted research has shown that generally successful finalisation of acquisition results in changes of stock prices behaviour. Unfortunately, observed reactions were not the same. Acquisitions induced both increases and decreases in stock prices; there was also no rule in case of risk change. Generally, acquisitions and merges had rather good influence in banking sector (which is still concentrating), but there was no common reaction in other sectors.

Originality/Value/Practical Implications: The results will be useful for investors acting on Warsaw Stock Exchange, especially for individual investor who are not able to carry out detailed analyses. The research provides results including possible pre-effects and after-effects of making big acquisition by a large company. The negative market reactions were also shown.

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Note to “Rates of Return on Open-End Debt Investment Funds and Bank Deposits in Poland in the years 1995–2015 – A Comparative Analysis” Folia Oeconomica Stetinensia 16 (1), (2016), 93–112

Abstract

The main goal of this paper is a discussion on the correct choice of annualized return rate. Selected return rate should be appropriate for the multiannual comparative analysis of bank deposits and investment funds. The whole discussion was based on theoretical considerations and a numerical experiment.

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The Cost of Equity Capital in Stock Portfolios Listed on the Warsaw Stock Exchange Using the Classic CAPM

Abstract

This work is an attempt to estimate the cost of equity capital characteristic among portfolios of companies listed on the Warsaw Stock Exchange in the years 1995-2017. To this end, the classic CAPM is used to estimate the cost of risk. Model tests are based on 252 monthly returns. In order to assess the errors of cost of capital estimation, the bootstrap method is used. The estimated cost of capital refers to the project portfolio with real options on these projects. Stock returns are generated not only by the companies implementing projects but also through real options modifying these projects. The estimated cost of capital can be a valuable indicator for portfolio managers. Also, it can be an approximate indicator for making decisions on the implementation of new investment projects. The estimated cost of capital assumes the highest values for value portfolios. The estimated cost of capital assumes the small values for growth portfolios.

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ABID concept in the effect of financial policy on firm value

Abstract

The main aim of this research is to test the effect of financial policy on firm value. The research question developed in this research is how the effect of financial policy on firm value by using the concept of ABID? Based on the purpose sampling method there are 26 companies which distribute the dividends successively, so that 26 samples are obtained. Structural equation model with partial least square analysis tool is used to prove empirically the effect of each variables and the hypothesis testing. The findings of the study show that investment decisions have negative effect on dividend policy, but not significant. Investment decisions have significant positive effects on funding decisions and firm value. Dividend policy has significant positive effect on funding decisions and firm value. Funding decisions significantly influence the firm value positively. The results of this study reject the pecking order theory.

Open access
An Empirical Analysis Of Stock Returns And Volatility: The Case Of Stock Markets From Central And Eastern Europe

Abstract

The main goal of this paper is to investigate the behaviour of stock returns in the case of stock markets from Central and Eastern Europe (CEE), focusing on the relationship between returns and conditional volatility. Since there is relatively little empirical research on the volatility of stock returns in underdeveloped stock markets, with even fewer studies on markets in the transitional economies of the CEE region, this paper is designed to shed some light on the econometric modelling of the conditional mean and volatility of stock returns from this region. The results presented in this paper provide confirmatory evidence that ARIMA and GARCH processes provide parsimonious approximations of mean and volatility dynamics in the case of the selected stock markets. There is overwhelming evidence corroborating the existence of a leverage effect, meaning that negative shocks increase volatility more than positive shocks do. Since financial decisions are generally based upon the trade-off between risk and return, the results presented in this paper will provide valuable information in decision making for those who are planning to invest in stock markets from the CEE region.

Open access
Investment Risk in the Context of Price Changes on the Real Estate and Stock Markets

Abstract

The residential real estate market is thought to show a tendency for wide fluctuations in prices, as a result of which price bubbles appear. This element of risk has a direct bearing on investors interested in speculation and those seeking to meet their housing needs. Wide fluctuations in the values of real estate affect the investors’ financial situation in many ways, by determining the possibility of meeting one’s housing needs, reducing or sometimes raising creditworthiness, and by increasing investment risk measured by volatility. Omitting the obvious social dimension of the residential real estate market and concentrating on its financial aspects, the author of the article analyses to what degree wide swings in prices can be recognized as specific to this market. To this end, the volatility of prices in the stock market and in the secondary housing market in Poland is compared. An analysis is performed to establish which of them has higher average volatility measures or rates of return, i.e. which of them is more profitable or secure for investors. Statistical tests are used to find out whether average rates of return or measures of risk are equal or different between the two markets. The results of the research show that the secondary housing market and the stock market differ concerning cumulative average rates of return and standard deviations. In the first of them, they are respectively higher and lower.

Open access
Exchange traded commodities as a category of innovative products on European financial markets

Abstract

The article presents the main features of one category of innovative financial products – exchange traded commodities (ETCs) and results of the analysis of the European market for ETCs. ETCs are products listed and traded on the stock exchanges and they offer investors returns based on various assets (commodities or currencies). In contrast with the most widely recognized exchange traded funds (ETFs), ETCs are structured as debt instruments due to legal requirements regarding investment funds in the European Union. The European ETCs market is the largest in the world (in terms of assets its share in the global market in 2015 was close to 98%). It had developed rapidly until 2012 when total assets reached the record-high value of ca. 26,6 billion EUR (i.e. 9,5% of total assets of all exchange traded products listed in Europe). Over the next few years both the value of assets and market share of ETCs decreased significantly, mostly due to decline of the tracked assets’ prices (especially commodities) – during the analyzed time period the average flows to commodity or currency ETCs were close to 0. An important feature of the European market is its high concentration level, both in terms of companies launching ETCs and locations of the trade in the share of ETCs. Four ETC providers manage most of the assets (with the cumulated market share of over 94%). Three exchanges –in London, Milan and Frankfurt am Main account for almost the entire regulated market turnover of ETCs in Europe.

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Performance Analysis of Fundamentally-Weighted Indices in the Croatian Capital Market

Abstract

The work of Arnott et al. (2005) presented an interesting fact that the fundamentally-weighted indices generally outperform the market capitalisation-weighted counterparts in the US stock market. The research results prompted the introduction of fundamentally-weighted indices in the US market. Since research dealing with Croatian capital market also points out the inefficiency of the risk return trade-off of the cap-weighted (CROBEX) index this paper examines more closely the risk return characteristics of the potential fundamentally-weighted alternative and analyses the source of higher returns in the case of fundamentally-weighted indices. We use the original and propose a modified Fama French three factor model in order to try to capture specific sources of risk in the small and illiquid market. We find evidence in support of the view that better risk return trade-off of the fundamentally-weighted indices is driven by additional exposure to risk factors in comparison to CROBEX index.

Open access