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Creation and Valuation of Instruments Compensating Lower Share Prices with the Help of Black–Scholes Formula


In this paper, we present a 1-period model of the Polish financial market from the view point of KGHM, the Polish largest listed company that suffered huge declines in share prices from 125 PLN in August 2015 to 60 PLN in January 2015. Our goal is to show how KGHM might create a portfolio (with practically zero cost), which would fully compensate the abovementioned declines. The methodology presented below may be equally well employed by many other listed companies and investment funds, as well. We create here a matrix model of the Polish financial market and employ the Black-Scholes formula to valuate portfolios compensating potential declines of KGHM’s shares prices. To give more insight to practitioners wishing to apply the results presented here to other listed companies, we distinguish two cases. In one of them, volatility of KGHM’s share prices is 20%, and in the other case it equals 33%.

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Profit of Tourism Companies and their Market Evaluation On ZSE


The author of this paper presents a statistical analysis of data on realized profits of companies in the tourist sector, whose shares are listed on the Zagreb Stock Exchange and used for active trading. Data on the realized profit for the companies in accounting period 2010 - 2015 is correlated with the prices of shares. Based on the above obtained results about the direction and strength of this correlation the author concludes about the extent to which the market takes into account profit of the companies as a relevant indicator for investments. This information can be extremely significant because, on the one hand, it provides information about the functionality of the market as a comprehensive socio-economic mechanism that anticipates all the available information based on which the prices of the shares are created as a monetary expression of the presumed value of companies. On the other hand, this information tells us about the expectations of active market participants about the future development of the tourism sector, which already accounts for almost 20% of the Croatian GDP. In addition, the author examines what other explanations could be used for the part of variance which is not explained with the correlation between profit and price of shares.

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The Dividend Policy of Companies Listed on the Warsaw Stock Exchange


Dividend policy is created and formulated by companies. For this reason, the focus of the analysis is on the message conveyed by the information on the dividend payout, the relationship between the dividend and financial indicators, the continuity of the payout and the amount of the dividend itself. Decisions on the dividend payment include two basic issues: what portion of profits should be paid out over a certain period of time and whether the company should maintain a steady and stable growth rate. If a steady and stable growth rate is maintained, then the level of earnings will increase from year to year. This phenomenon is confirmed by the growing number of companies paying dividends. The purpose of the article is to indicate significant differences in stock prices before the dividend payment and after the dividend payment, and to indicate significant differences in stock prices before the announcement of the dividend right and after the announcement of the dividend right.

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Methods of Event History Analysis in the Assessment of Crisis Impact on Sectors Related with the Real Estate Market in Poland


The subject of the article is the use of methods of event history analysis to assess the fall of prices and the subsequent increase of share prices of companies operating in the construction industry, developers (real estate) and building materials industry compared to other industries. The 328 examined companies were listed on the continuous market and the parallel market on the Stock Exchange in Warsaw. Share prices were observed in the period from 1 January 2008 to 31 December 2009 which was based on the earlier observations of stock quotes and the WIG index, the latter reaching its minimum in February 2009. The closing price of a share was taken into account. The 60% decrease and 80% growth in shares prices in particular sectors were analysed. What was assessed was the risk of fall in share prices and their chance for recovery. Additionally, the intensity of the increase of share prices and the probability of failure to reach the limit were examined.

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The influence of the recent financial crisis on the financial situation of Polish listed companies


The recent financial crisis that began in 2007, also known as the Global Financial Crisis, had a huge influence on the financial situations of enterprises and financial institutions around the world. The situation on world stock markets was also strongly affected by the crisis. As the behavior of investors may be affected by various factors which can impact their decisions on the stock exchanges, some of them may be unable to act in a rational manner and make the right decisions. The huge drop in share prices on world stock markets was visible in the early stages of the crisis. The share price does not always reflect the real situation of the company. The main purpose of this article is to evaluate the influence of the recent financial crisis on the financial situation and performance of Polish listed companies. Financial ratios will be utilized to evaluate the real changes in the financial situation of Polish listed companies during the crisis. A large group of companies will be covered by the survey in order to assess the impact of macroeconomic factors on the financial situations of enterprises in different phases of the crisis. Market tests will not be applied because they may be affected by changes in share prices which in turn are often affected by irrational decision-making and fear.

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Net Working Capital Strategy Influencing Beta Coefficient based on Companies Listed on Newconnect Alternative Exchange in Warsaw


The goal of this paper is to present the net working capital strategies relationship with the systematic risk ratio, namely beta coefficient, that is a measure of a stock’s volatility in relation to the market. The strategy of financing assets reflected in net working capital is influencing the financial liquidity policy and the risk of the company thereafter. Decisions and strategies that are performed by management are assessed by investors when a company is listed on the exchange and should be reflected in share price volatility. The survey is based on quantitative analysis of NewConnect non-financial company data. The results of the analysis show that the relationship between net working capital indicators and beta coefficient is negative.

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Stock Market Reaction to CEO Appointment – Preliminary Results


Purpose: The aim of this paper is to examine shareholders′ reaction to the decision of the supervisory board to appoint a CEO in companies listed on the Warsaw Stock Exchange. Methodology: An event study and the mean-adjusted model were applied. The abnormal returns were measured as the CAAR in the entire (-60, + 60) window and selected sub-windows. Findings: The obtained values of abnormal returns indicate the shareholder’s negative reaction. Throughout the observation window, they oscillate slightly below zero, and in the window (0, +20) they are negative at -1.566%. Irrespective of the observation window, negative abnormal returns were obtained for over half of the observation (52-57%). Therefore, preliminary results indicate the predominance of the information effect over the real one. The decrease in market value as a result of the event may result from an increase in investors′ uncertainty as to the effects of changes in strategy and skills of the new CEO. Originality: The research is a unique one. To date, no one has carried out research into shareholders′ reaction to a CEO appointment in either the Polish or Central and Eastern European capital markets. They primarily bring the value of cognition of shareholders′ behaviour in the analysed event, which is reflected in share prices. They extend the literature on the signalization instruments, i.e. the activities that boards can undertake due to the new information transmitted to the capital market participants and stakeholders. The market reaction to a CEO appointment will without a doubt interest investors; the institutions responsible for supervision (which in the case of Poland is the Financial Oversight Commission) and the legislator in charge of regulations that prevent insider trading while promoting corporate disclosure transparency.

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Determinants of Investment Decisions on the Capital Market

R eferences Amihud, Y., Mendelson H. (1988). Liquidity and Asset Prices: Financial Management Implications. Financial Management , 5-15. Baker, H.K., Gallagher, P.L. (1980). Management’s View of Stock Splits. Financial Management 9 , 73-77. Baker, M., Greenwood, R., Wurgler, J., (2009). Catering Through Nominal Share Prices. Journal of Finance, 64 , 2559–2590. Biegańska, K., Jasiniak, M., Pastusiak, R., Pluskota, A. (2016). Efekt zakotwiczenia w transakcjach fuzji i przejęć na przykładzie Polski. Finanse, Rynki Finansowe, Ubezpieczenia

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Selected Robust Methods for Camp Model Estimation

Reviews , 1, 213-255. Koenker, R. & Bassett G. (1978). Regression Quantiles. Econometrica , 46, 33-50. Kon, S. (1984). Models of Stock Returns - A Comparison. Journal of Finance , 39, 147-165. Maddala, G.S. (2006), Ekonometria , Warszawa: Wydawnictwo Naukowe PWN. Praetz, P. (1972). The Distribution of Share Price Changes. Journal of Business , 45, 49-55. Rao, C.R. (1973). Linear Statistical Inference and Its Applications. New York: John Wiley. Roll, R. (1988). R2

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Introduction to Stopping Time in Stochastic Finance Theory


We start with the definition of stopping time according to [4], p.283. We prove, that different definitions for stopping time can coincide. We give examples of stopping time using constant-functions or functions defined with the operator max or min (defined in [6], pp.37–38). Finally we give an example with some given filtration. Stopping time is very important for stochastic finance. A stopping time is the moment, where a certain event occurs ([7], p.372) and can be used together with stochastic processes ([4], p.283). Look at the following example: we install a function ST: {1,2,3,4} → {0, 1, 2} ∪ {+∞}, we define:

a. ST(1)=1, ST(2)=1, ST(3)=2, ST(4)=2.

b. The set {0,1,2} consists of time points: 0=now,1=tomorrow,2=the day after tomorrow.

We can prove:

c. {w, where w is Element of Ω: ST.w=0}=∅ & {w, where w is Element of Ω: ST.w=1}={1,2} & {w, where w is Element of Ω: ST.w=2}={3,4} and

ST is a stopping time.

We use a function Filt as Filtration of {0,1,2}, Σ where Filt(0)=Ωnow, Filt(1)=Ωfut 1 and Filt(2)=Ωfut 2. From a., b. and c. we know that:

d. {w, where w is Element of Ω: ST.w=0} in Ωnow and

{w, where w is Element of Ω: ST.w=1} in Ωfut 1 and

{w, where w is Element of Ω: ST.w=2} in Ωfut 2.

The sets in d. are events, which occur at the time points 0(=now), 1(=tomorrow) or 2(=the day after tomorrow), see also [7], p.371. Suppose we have ST(1)=+∞, then this means that for 1 the corresponding event never occurs.

As an interpretation for our installed functions consider the given adapted stochastic process in the article [5].

ST(1)=1 means, that the given element 1 in {1,2,3,4} is stopped in 1 (=tomorrow). That tells us, that we have to look at the value f 2(1) which is equal to 80. The same argumentation can be applied for the element 2 in {1,2,3,4}.

ST(3)=2 means, that the given element 3 in {1,2,3,4} is stopped in 2 (=the day after tomorrow). That tells us, that we have to look at the value f 3(3) which is equal to 100.

ST(4)=2 means, that the given element 4 in {1,2,3,4} is stopped in 2 (=the day after tomorrow). That tells us, that we have to look at the value f 3(4) which is equal to 120.

In the real world, these functions can be used for questions like: when does the share price exceed a certain limit? (see [7], p.372).

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