scholarly journals The calendar anomalies on Warsaw Stock Exchange in 2015-2020

2021 ◽  
Vol 1 (1) ◽  
Author(s):  
Mateusz Myśliwiec
Keyword(s):  
Stock Exchange ◽  
Average Rate ◽  
Good Prognosis ◽  
January Effect ◽  
Market Anomalies ◽  
Calendar Effects ◽  
Warsaw Stock Exchange ◽  
The Subject ◽  
Calendar Anomalies ◽  
Available Information

The article is devoted to the subject of popular calendar anomalies. According to the theory of finance, if investors act rationally, the market can be considered efficient. In such a situation, achieving an above-average rate of return is impossible, as securities reflect all available information about them. However, on the basis of many studies and assumptions of behavioral economics, numerous exceptions to this rule have been discovered, which have been called market anomalies or stock anomalies. Such a deviation is the "January effect" and "January barometer" described in this work. The aim of the article is to investigate whether there is a deviation on the Warsaw Stock Exchange in 2015-2020 called the "January effect" and also whether the return rate in January can be a good prognosis for the rest of the year. In the results of the analysis, the occurrence of the title calendar effects in the studied sample was not unequivocally stated.

scholarly journals Calendar Effects in the Stock Markets of Central European Countries

2020 ◽  
Vol 5 (350) ◽  
pp. 27-51
Author(s):  
Marek Szymański ◽  
Grzegorz Wojtalik
Keyword(s):  
Stock Markets ◽  
Efficient Market Hypothesis ◽  
European Countries ◽  
Efficient Market ◽  
Market Anomalies ◽  
Central European ◽  
Calendar Effects ◽  
Year Effect ◽  
Calendar Anomalies ◽  
Available Information

The efficient market hypothesis suggests that there are no opportunities to gain above‑normal profits using available information, because it is all reflected in the prices. However, calendar anomalies are found to contradict the efficient market hypothesis and enable investors to predict prices during specific days. Based on a review of papers on market efficiency and market anomalies, this paper examines and compares calendar effects known as ‘the month‑of‑the year effect’ and ‘the day‑of‑the‑week effect’ between the stock markets of three Central European countries: Poland, Hungary and the Czech Republic. The study has revealed the presence of calendar anomalies in the indexes representing small‑cap stocks listed on the Polish stock market and, to some extent, in the indexes used in the Hungarian and Czech stock markets.

ANOMALI PASAR PADA RETURN SAHAM LQ 45 DI BURSA EFEK INDONESIA: FENOMENA THE DAY OF WEEK EFFECT, WEEK FOUR EFFECT, ROGALSKY EFFECT, DAN JANUARY EFFECT

2016 ◽  
Vol 12 (1) ◽  
pp. 51
Author(s):  
Reza Widhar Pahlevi
Keyword(s):  
Empirical Research ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Weak Form ◽  
Strong Form ◽  
January Effect ◽  
Efficient Markets ◽  
Efficient Market ◽  
Market Anomalies ◽  
Day Of The Week

Market anomalies appears on all forms of efficient markets, both weak form, semi-strong and strongform. But plenty of evidence to link the anomaly with semi-strong form efficient market exploited togenerate abnormal returns. Market anomalies that is often discussed is the Day of the Week Effect,January Effect, Week Four Effect and other market anomalies. Empirical research is intended todetermine whether there is the phenomenon of the day of the week effect, week four effect, the effectrogalsky and January effect on LQ 45 stocks in the Indonesia Stock Exchange year period 2014-2015.Based on the analysis of data, shows that there is the phenomenon of the day of week effect on thecompany LQ-45 in Indonesia Stock Exchange 2014-2015 period, there is the phenomenon of weekfour effect on the LQ-45 in Indonesia Stock Exchange 2014-2015 period, there are phenomenonRogalski Effect on the LQ-45 in Indonesia Stock Exchange 2014-2015 period and there is no Januaryeffect phenomenon in the LQ-45 in Indonesia Stock Exchange 2014-2015 period.Keywords: the day of the week effect, week four effect, rogalsky effect and january effect

scholarly journals Earnings management to achieve positive earnings surprises in case of medium size companies listed in Poland

2015 ◽  
Vol 3 (2) ◽  
pp. 141 ◽  
Author(s):  
Piotr Wójtowicz
Keyword(s):  
Earnings Management ◽  
Stock Exchange ◽  
Medium Size ◽  
The Real ◽  
Earnings Surprise ◽  
Earnings Surprises ◽  
Warsaw Stock Exchange ◽  
Real Value ◽  
The Subject ◽  
Annual Earnings

<p>Earnings management in Polish listed companies was the subject of only several studies, mainly theoretical, but none of them is related to earnings management to meet analysts’ expectations. The aim of the paper is to detect any signals of earnings management to achieve zero or small positive earnings surprises. The sample comprises 609 observations from years 2012-2014 related to medium size companies listed at Warsaw Stock Exchange. Distribution of scaled annual earnings surprise (difference between realized and forecasted earnings scaled by beginning total assets) is analyzed. It contains unusually high frequency of small positive surprises. If the module of earnings surprise is small it is more probable that the real value was higher than the forecast - meeting or beating the forecast, so small positive earnings surprises are more probable than negative. If the module of earnings surprise is high it is more probable that the forecast of income was higher than the real value - neither meeting nor beating the forecast. Results are not sensitive to the choice of earnings surprise metric.</p>

Does the financial crisis influence the month and the trading month effects?

2015 ◽  
Vol 32 (2) ◽  
pp. 181-203 ◽  
Author(s):  
Evangelos Vasileiou ◽  
Aristeidis Samitas
Keyword(s):  
Stock Market ◽  
Methodological Approach ◽  
Investment Strategy ◽  
January Effect ◽  
Research Approach ◽  
Content Type ◽  
Calendar Effects ◽  
Empirical Results ◽  
Financial Growth ◽  
Calendar Anomalies

Purpose – This paper aims to examine the month and the trading month effects under changing financial trends. The Greek stock market was chosen to implement the authors' assumptions because during the period 2002-2012, there were clear and long-term periods of financial growth and recession. Thus, the authors examine whether the financial trends influence not only the Greek stock market’s returns, but also its anomalies. Design/methodology/approach – Daily financial data from the Athens Exchange General Index for the period 2002-2012 are used. The sample is separated into two sub-periods: the financial growth sub-period (2002-2007), and the financial recession sub-period (2008-2012). Several linear and non-linear models were applied to find which is the most appropriate, and the results suggested that the T-GARCH model better fits the sample. Findings – The empirical results show that changing economic and financial conditions influence the calendar effects. The trading month effect, especially, completely changes in each fortnight following the financial trend. Regarding the January effect, which is the most popular month effect, the results confirm its existence during the growth period, but during the recession period, we find that it fades. Therefore, by examining the aforementioned calendar effects in different periods, different conclusions may be reached, perhaps because the financial trends’ influence is ignored. Research limitations/implications – The empirical results confirm the authors' assumption that a possible explanation for the controversial empirical findings regarding the calendar anomalies may be the different financial trends. However, these are some primary results that are confirmed only for the Greek case. Further empirical research for deeper stock markets and/or a group of countries may be useful to reach conclusions regarding the financial trends’ influence on the calendar anomalies patterns. Practical implications – The findings are helpful to anyone who invests and deals with the Greek stock market. Moreover, they may pave the way for an alternative calendar anomalies research approach, proving useful for investors who take these anomalies into account when they plan their investment strategy. Originality/value – This paper contributes to the literature by presenting an alternative methodological approach regarding the calendar anomalies study and a new explanation for the calendar effects existence/fade through time by examining the calendar anomalies patterns under a changing economic environment and financial trends.

scholarly journals Fair value in the measurement of assets and liabilities of selected banks

2020 ◽  
Vol 107 (163) ◽  
pp. 119-136
Author(s):  
Jerzy Gierusz ◽  
Karolina Dąbrowska
Keyword(s):  
Stock Exchange ◽  
Financial Statements ◽  
Fair Value ◽  
Consolidated Financial Statements ◽  
Warsaw Stock Exchange ◽  
The Subject ◽  
The One ◽  
Subjective Estimates ◽  
The Impact ◽  
Financial Result

The main purpose of this article is to determine the impact of changes in the fair value of assets and liabilities on the overall net result of selected banks listed on the Warsaw Stock Exchange. The research covered the consolidated financial statements of five banks, for the years 2014-2018. Methods of analyzing the literature on the subject, financial statements, and legal acts, including selected IFRS, were used. It has been shown that, on the one hand, fair value revaluations have a significant impact on the financial result of the described entities; on the other hand, the fair value in these entities is determined mainly at the 1st level of the hierarchy. This means that the basis for determining the fair value is observable prices on the market, and that the impact of subjective estimates on the financial result is small.

scholarly journals Opportunities and threats associated with an investment in shares of innovative companies — evidence from Polish capital market

2018 ◽  
Vol 9 (2) ◽  
pp. 225-244
Author(s):  
Tomasz L. Nawrocki
Keyword(s):  
Stock Exchange ◽  
Average Rate ◽  
Value Added ◽  
Investment Strategy ◽  
Efficiency Analysis ◽  
Rate Of Return ◽  
Investment Efficiency ◽  
Arithmetic Average ◽  
Information Diversity ◽  
Warsaw Stock Exchange

Research background: Since the Internet bubble, which took place at the turn of XX and XXI century, on the global capital markets, including Poland, one may note a growing interest in companies focusing on innovations and innovativeness. The main driver of this interest is the belief that in a longer term innovations and expenditures on research and development will translate into an increase in competitive advantage, financial results, and subsequently also the market value of companies. On the other hand, the attention should also be paid to the fact that innovative activity has also another, darker, side, which is identified with the far-reaching uncertainty about its final effects and the possibility of incurring losses, especially in financial dimension. At the same time, it should be noted that implementation of investment strategy regarding the shares of innovative companies is quite troublesome because of the lack of unified methodology for assessing corporate innovativeness and large information diversity in this area. Purpose of the article: The investment efficiency analysis of investment strategy regarding shares of companies perceived to be innovative with simultaneous focusing on the different cases of situation development in time. Methods: The research was carried out for companies listed on the main market of the Warsaw Stock Exchange, taking into consideration various time ranges of investment. The efficiency analysis of this investment strategy was conducted in the risk-return outlay with the use of such measures as: accumulated rate of return, arithmetic average rate of return, standard and semi-standard deviation, as well as coefficients of variation and semi-variation of rate of return and their inverses. Findings & Value added: The obtained results show that in shorter periods of time, inves-tors buy expectations connected with innovative companies and therefore, the efficiency of investment in their shares is relatively high, but in the longer term expectations are revised by companies’ financial results, which in turn often negatively affects the investment efficiency.

scholarly journals Efficient Market Hypothesis And Stock Market Anomalies: Empirical Evidence In Four European Countries

2018 ◽  
Vol 34 (1) ◽  
pp. 183-192 ◽  
Author(s):  
Matteo Rossi ◽  
Ardi Gunardi
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Efficient Market Hypothesis ◽  
Efficient Market ◽  
Market Anomalies ◽  
Equity Prices ◽  
Company Value ◽  
Calendar Anomalies ◽  
The Garch Model ◽  
New Millennium

The stock market efficiency is the idea that equity prices of listed companies reveal all the data regarding the company value (Fama, 1965). In this way, there isn’t possible to make additional returns. However, evidence against the Efficient Market Hypothesis is growing. Researchers studied Calendar Anomalies (CAs) that characterised financial markets. These CAs contradict the efficient hypothesis. This research studies some of the most important market anomalies in France, Germany, Italy and Spain stock exchange indexes in the first decade of new millennium (2001-2010). In this study, to verify the distribution of the returns and their auto correlation, we use statistical methods: the GARCH model and the OLS regression. The analysis doesn’t show strong proof of comprehensive Calendar Anomalies. Some of these effects are country-specific. Furthermore, these country-anomalies are instable in the first decade of new millennium, and this result demonstrates some doubt on the significance of CAs.

scholarly journals Intervalling Effect On Estimating The Beta Parameter For The Largest Companies On The WSE

2014 ◽  
Vol 14 (2) ◽  
pp. 270-286
Author(s):  
Wiesław Dębski ◽  
Ewa Feder-Sempach ◽  
Bartosz Świderski
Keyword(s):  
Stock Exchange ◽  
Investment Risk ◽  
Portfolio Risk ◽  
Rates Of Return ◽  
Statistical Verification ◽  
Length Estimation ◽  
Warsaw Stock Exchange ◽  
The Subject ◽  
Investment Portfolios ◽  
The Empirical Analysis

Abstract In the modern portfolio theory investment risk plays a crucial role. It is the subject of numerous studies and publications, in particular in relation to the management of investment portfolios. Commonly used measure of investment management in equities is a beta parameter, which is used to estimate individual stock risk and portfolio risk. In particular, numerous studies the subject of which are the beta parameter properties such as stability in the context of the stock market cycle phases, intervalling effect, length estimation sample etc. The main objective of this paper is to investigate the intervalling effect on the beta parameter. The empirical analysis is carried out for the 33 largest companies of the Warsaw Stock Exchange (WSE) on a sample from the years 2005 to 2012 on the basis of daily, weekly and monthly rates of return. Statistical verification of the hypothesis of the importance of the frequency measuring the return of shares will be based on the single-index Sharpe’s model.

scholarly journals Going concern in the financial reports of listed companies during the COVID-19 pandemic – the results of an empirical study

2021 ◽  
Vol 45 (3) ◽  
pp. 9-28
Author(s):  
Ewa Chrostowska ◽  
Katarzyna Koleśnik
Keyword(s):  
Stock Exchange ◽  
Financial Statements ◽  
Listed Companies ◽  
Research Approach ◽  
Financial Reports ◽  
Going Concern ◽  
Warsaw Stock Exchange ◽  
Sector Analysis ◽  
The Subject ◽  
The Impact

Purpose: The objective of this article is to assess how many entities have faced going concern problems and to identify what uncertainties may affect a going concern, especially during the COVID-19 pandemic. Methodology/research approach: The subject of the research was financial reports of com-panies listed on the main market of the Warsaw Stock Exchange in the following sectors: clothing and cosmetics, recreation and leisure, and transport and logistics. Thirty-three (out of 37) reports for the first half of 2020 were examined. We analysed the content of full ver-sions of the descriptive parts of financial statements, reports on the auditor’s review and management comment letters. Results: Nearly half of the surveyed entities that declared they were a going concern dis-closed going concern uncertainties. The pandemic affected the scope of disclosures present-ed in the reports. The variety of presentation styles and the selectivity of the place of the disclosure may hinder stakeholders when drawing conclusions. Research limitations/implications: Only three sectors were examined, and the sector analysis was conducted only in listed companies with complete and available reports. We analysed half-yearly reports that were reviewed by statutory auditors. The reports were analysed early in the pandemic. The article may be an inspiration for further research, including comparative research, in companies from the same and other sectors. The issue is vital, all the more so as the impact of the pandemic may change over time. Originality/Value: The article is a practical study of going concern disclosures during the pandemic. The study reveals the multifaceted nature and complexity of the issues related to continuation assessment.

scholarly journals The impact of IFRS 16 on the financial position of selected companies from the WIG30 index

2018 ◽  
Vol 2018 (97 (153)) ◽  
pp. 57-76
Author(s):  
Mateusz Krawczak ◽  
Renata Dyląg
Keyword(s):  
Stock Exchange ◽  
Balance Sheet ◽  
Debt Ratio ◽  
Financial Situation ◽  
International Reporting ◽  
Financial Position ◽  
Actual Risk ◽  
Warsaw Stock Exchange ◽  
The Subject ◽  
The Impact

The main purpose of this article is to analyze the impact of changes in accounting for leases, defined in IFRS 16, on the financial situation of selected Polish entities listed on the Warsaw Stock Exchange. The following qualitative research methods were used to accomplish the goal: analysis of the literature of the subject and analysis of international reporting standards regarding accounting for leases. In the empirical part of the article, a simulation was carried out. It analyzed the impact of capitalization of operating lease on the selected parts of the balance sheet and changes in profitability of four entities listed on the Warsaw Stock Exchange. The results of empirical research indicate an increase in the value of assets and liabili- ties, a decline in the financial results, and an increase in profitability and debt ratios. The largest changes pertained to the equity and asset debt ratio, which confirms that the application of IFRS 16 will show corporate indebtedness, thus increasing investors' knowledge of the actual risk with which the company is burdened. The main value of this article is the originality of the pilot study carried out. To the best of the authors’ knowledge, these are the first practical measurements of the impact of capitalization of operating lease on the changes in profitability and indebtedness of the reporting entities.

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