The paper addresses the applicability of Eco-compass for sustainable product development process.... more The paper addresses the applicability of Eco-compass for sustainable product development process. The author makes the attempt to answer three fundamental questions: How to improve new product development in the context of sustainable products? What are the capabilities and limitations of Eco-compass? How can Eco-compass help with sustainable product development optimization? In responding to these questions, at fi rst sustainable product development is described. Particular emphasis is put on early phases of new product development: idea generation and design. Afterwards, the methodology of using Eco-compass to compare two products or assess various options of one product in terms of its impact on the environment is presented. Next, considering the fact that in the era of sustainability the model of new product development must imply the integration of economic, environmental and social aspects, the potential of Eco-compass to improve eco-effi ciency of the product is elucidated. Finally, conclusions are drawn from this paper.
W niniejszym artykule oceniamy, czy w analizie ryzyka mozna wykorzystac informacje z zakresu rach... more W niniejszym artykule oceniamy, czy w analizie ryzyka mozna wykorzystac informacje z zakresu rachunkowości finansowej. Naszym celem jest udzielenie odpowiedzi na dwa pytania: (i) Czy rentownośc firmy, jak wskazują rozne wskaźniki rentowności ksiegowej, przeklada sie na wyzsze zwroty dla inwestorow na rynku kapitalowym? (ii) Czy poziom ryzyka na rynku kapitalowym jest związany ze zmiennością wskaźnikow rentowności przedsiebiorstw? Kwartalne sprawozdania finansowe 24 spolek budowlanych notowanych na Gieldzie Papierow Wartościowych w Warszawie zostaly zebrane i przeanalizowane pod kątem wynikow na rynku kapitalowym. W analizie wykorzystywane są trzy kluczowe wskaźniki rentowności: zwrot z aktywow (ROA), zwrot z kapitalu (ROE) i zwrot ze sprzedazy (ROS). Stwierdziliśmy, ze zyskownośc przedsiebiorstwa przeklada sie bezpośrednio na wyzsze zyski inwestorow na rynkach kapitalowych. Weryfikujemy rowniez, czy ryzyko na rynku kapitalowym jest związane ze zmiennością wskaźnikow rentowności dla ...
Celem badan jest budowa i statystyczna weryfikacja modeli trendu oraz sezonowości opisujących ods... more Celem badan jest budowa i statystyczna weryfikacja modeli trendu oraz sezonowości opisujących odsetek Polakow zamieszkujących wybrane regiony Wielkiej Brytanii. Zastosowano bezwarunkowe modele ekonometryczne opierające sie na trendzie, sezonowości i autoregresji. Oszacowano parametry modeli trendowo-sezonowo-autoregresyjnych dla odsetka Polakow mieszkających w pieciu wybranych regionach Wielkiej Brytanii. Analiza szeregow czasowych tego odsetka pozwala zauwazyc dwie fale migracji: pierwsza miala miejsce w latach 2004–2008, a druga w okresie 2011– 2014. Zjawisko to ma swoje odzwierciedlenie w statystycznie istotnych wspolczynnikach przy zmiennej czasowej wyrazonej trendem liniowym lub wielomianowym. We wszystkich badanych regionach miala miejsce istotna sezonowośc miesieczna. W wiekszości regionow wystepują ujemne wspolczynniki sezonowości dla stycznia, natomiast dodatnie dla czerwca. Analiza procesu resztowego modeli trendowo-sezonowych wskazala na wystepowanie autokorelacji trzecie...
This article focuses on one of the most controversial issues frequently discussed by many includi... more This article focuses on one of the most controversial issues frequently discussed by many including politicians, academics and the media in the UK and Poland: migration of Polish people to Britain. The main aim is to identify the important factors causing migration of Poles within the UK. In this article, the authors seek to study the pull factors, i.e. level of wages or employment rate, for Polish people between different regions within the UK. By using the data from "Labour Force Surveys" collected by the UK government; and data from Główny Urząd Statystyczny (GUS) in Poland, this paper analyses where and why the Polish migrants live in the UK. The most important factor determining the fraction of Polish people in a given region is the fraction of Polish people in that region in the past. When Polish people move within UK, they tend to choose a region with a higher level of gross pay, and they don't seem to consider the risk of unemployment. The authors are grateful ...
Analysis of capital investments at Warsaw Stock Exchange during the period of from 2004 through 2... more Analysis of capital investments at Warsaw Stock Exchange during the period of from 2004 through 2009 was the main goal of the study. The analysis was conducted on the base of the classic Markowitz portfolio theory and construction of multi-component balanced portfolios. The studies conducted indicate significant advantage of portfolio investments over the investments in individual securities. The largest risk decrease was recorded in case of the portfolios consisting of up to 5 securities. Markowitz optimization applied in the studies allowed finding the portfolios much more secure, at the assumed rate of return, than the multi-component balanced portfolios. The results indicate significant importance of optimization models in the design of the portfolios of securities. SKUTECZNOŚĆ DYWERSYFIKACJI PROSTEJ W PORÓWNANIU Z KLASYCZNYM MODELEM MARKOWITZA Lesław Markowski, Anna Rutkowska-Ziarko Katedra Metod Ilościowych Uniwersytet Warmińsko-Mazurski w Olsztynie S ł o w a k l u c z o w e: ...
A study was conducted of 15 food companies listed on the Warsaw Stock Exchange. The profitability... more A study was conducted of 15 food companies listed on the Warsaw Stock Exchange. The profitability of companies was measured by: return on assets (ROA), return on equity (ROE) and return on sales (ROS). Investment risk was measured by standard deviation and semi-deviation. The main objective of the study was to examine whether the average level and variability of selected indicators of profitability are reflected in the average level and the variability of returns on the capital market. An additional aim was to examine whether the size of the company affects the profitability and risk of investment in stocks as well as the average value and the volatility of profitability ratios. A positive correlation between the average value of the profitability ratios (ROA and ROS) and the average rates of return on the capital market was identified. Similarly, companies with higher volatility and semi-volatility of profitability ratios were simultaneously characterized by larger fluctuations in ...
In this study, we investigated some extensions of the classical portfolio theory and try to evalu... more In this study, we investigated some extensions of the classical portfolio theory and try to evaluate them in a situation of crisis. We studied some additional criteria for portfolio selection, based on market multiples representing the overall situation of companies. Additionally, we investigated semi-variance as an alternative measure of risk. We developed a range of portfolios that were built using different criteria for risk and the fundamental values of companies from the Polish stock market. Then, we compared their returns during the crisis that occurred after the outbreak of the COVID-19 pandemic. The results of empirical research on the major companies traded on the Warsaw Stock Exchange reveal that investors can achieve better investment results by augmenting the standard Markowitz model with an additional criterion connected with the fundamental standing of companies, such as book-to-market or earnings-to-market ratios. The second result is that using nonclassical risk meas...
Proceedings of the 11th Economics & Finance Conference, Rome, 2019
The classical models for construction of investment portfolio do not take into account fundamenta... more The classical models for construction of investment portfolio do not take into account fundamental values of considered companies. In our approach we extend the portfolio choice by adding this dimension to the classical criteria of profitability and risk. It is assumed that an investor selects stock according to their attractiveness, measured by some fundamental values of companies. In this approach portfolios are assessed according to three criteria: their profitability, risk (measured by variance of returns) and fundamental value (measured by some indicators of fundamental value). In this article we consider earnings to price ratio as the measure of the fundamental value of a company. In the paper we consider an algorithm for constructing portfolios with fundamental criterion based on analytical solutions for appropriate optimization problems. In the optimization problem we consider minimizing variance with constrains on expected return and attractiveness of investment, measured w...
Contemporary Trends and Challenges in Finance, 2020
The aim of the study was to examine the correlation between the accounting profitability of the c... more The aim of the study was to examine the correlation between the accounting profitability of the company and its rate of return on the capital market. In addition, betas and accounting betas were compared. The correlation between total variability and semi-variability of profitability ratios and rates of return was also analysed. The risk of a company was considered in variance and downside approaches. For calculating the downside risk, both the Bawa and Lindenberg formula and the Harlow and Rao formula were used. A positive correlation between the average value of the quarterly profitability ratios (ROA and ROE) and the average quarterly rates of return on the Warsaw Stock Exchange was identified. Similarly, companies with higher volatility and semi-volatility of the profitability ratios were simultaneously characterized by larger fluctuations in rates of return on the stock market. The correlations between market betas and accounting betas were statistically significant only in a downside approach. Accounting profitability had a greater effect on the rates on return and the risk for large and medium companies compared to small ones.
This article presents the results of empirical research conducted among audit firms in Poland reg... more This article presents the results of empirical research conducted among audit firms in Poland regarding the factors hindering the provision of non-financial information verification and attestation services. The rapidly developing practice of non-financial reporting among socially responsible entities in Poland does not translate into the number of reports that are subjected to external audits. Despite the unquestionable need to confirm the reliability of non-financial data, services of this type are not provided by the majority of audit firms. The primary aim of the article is to identify the factors hindering the performance of audits of non-financial reports in Poland. The article identifies the entities operating in the Polish audit market in terms of selected features. The authors provided answers to three main research questions: What percentage of audit firms in Poland carry out the verification of non-financial reports? What is the size and the level of employment of audit f...
The paper addresses the applicability of Eco-compass for sustainable product development process.... more The paper addresses the applicability of Eco-compass for sustainable product development process. The author makes the attempt to answer three fundamental questions: How to improve new product development in the context of sustainable products? What are the capabilities and limitations of Eco-compass? How can Eco-compass help with sustainable product development optimization? In responding to these questions, at fi rst sustainable product development is described. Particular emphasis is put on early phases of new product development: idea generation and design. Afterwards, the methodology of using Eco-compass to compare two products or assess various options of one product in terms of its impact on the environment is presented. Next, considering the fact that in the era of sustainability the model of new product development must imply the integration of economic, environmental and social aspects, the potential of Eco-compass to improve eco-effi ciency of the product is elucidated. Finally, conclusions are drawn from this paper.
W niniejszym artykule oceniamy, czy w analizie ryzyka mozna wykorzystac informacje z zakresu rach... more W niniejszym artykule oceniamy, czy w analizie ryzyka mozna wykorzystac informacje z zakresu rachunkowości finansowej. Naszym celem jest udzielenie odpowiedzi na dwa pytania: (i) Czy rentownośc firmy, jak wskazują rozne wskaźniki rentowności ksiegowej, przeklada sie na wyzsze zwroty dla inwestorow na rynku kapitalowym? (ii) Czy poziom ryzyka na rynku kapitalowym jest związany ze zmiennością wskaźnikow rentowności przedsiebiorstw? Kwartalne sprawozdania finansowe 24 spolek budowlanych notowanych na Gieldzie Papierow Wartościowych w Warszawie zostaly zebrane i przeanalizowane pod kątem wynikow na rynku kapitalowym. W analizie wykorzystywane są trzy kluczowe wskaźniki rentowności: zwrot z aktywow (ROA), zwrot z kapitalu (ROE) i zwrot ze sprzedazy (ROS). Stwierdziliśmy, ze zyskownośc przedsiebiorstwa przeklada sie bezpośrednio na wyzsze zyski inwestorow na rynkach kapitalowych. Weryfikujemy rowniez, czy ryzyko na rynku kapitalowym jest związane ze zmiennością wskaźnikow rentowności dla ...
Celem badan jest budowa i statystyczna weryfikacja modeli trendu oraz sezonowości opisujących ods... more Celem badan jest budowa i statystyczna weryfikacja modeli trendu oraz sezonowości opisujących odsetek Polakow zamieszkujących wybrane regiony Wielkiej Brytanii. Zastosowano bezwarunkowe modele ekonometryczne opierające sie na trendzie, sezonowości i autoregresji. Oszacowano parametry modeli trendowo-sezonowo-autoregresyjnych dla odsetka Polakow mieszkających w pieciu wybranych regionach Wielkiej Brytanii. Analiza szeregow czasowych tego odsetka pozwala zauwazyc dwie fale migracji: pierwsza miala miejsce w latach 2004–2008, a druga w okresie 2011– 2014. Zjawisko to ma swoje odzwierciedlenie w statystycznie istotnych wspolczynnikach przy zmiennej czasowej wyrazonej trendem liniowym lub wielomianowym. We wszystkich badanych regionach miala miejsce istotna sezonowośc miesieczna. W wiekszości regionow wystepują ujemne wspolczynniki sezonowości dla stycznia, natomiast dodatnie dla czerwca. Analiza procesu resztowego modeli trendowo-sezonowych wskazala na wystepowanie autokorelacji trzecie...
This article focuses on one of the most controversial issues frequently discussed by many includi... more This article focuses on one of the most controversial issues frequently discussed by many including politicians, academics and the media in the UK and Poland: migration of Polish people to Britain. The main aim is to identify the important factors causing migration of Poles within the UK. In this article, the authors seek to study the pull factors, i.e. level of wages or employment rate, for Polish people between different regions within the UK. By using the data from "Labour Force Surveys" collected by the UK government; and data from Główny Urząd Statystyczny (GUS) in Poland, this paper analyses where and why the Polish migrants live in the UK. The most important factor determining the fraction of Polish people in a given region is the fraction of Polish people in that region in the past. When Polish people move within UK, they tend to choose a region with a higher level of gross pay, and they don't seem to consider the risk of unemployment. The authors are grateful ...
Analysis of capital investments at Warsaw Stock Exchange during the period of from 2004 through 2... more Analysis of capital investments at Warsaw Stock Exchange during the period of from 2004 through 2009 was the main goal of the study. The analysis was conducted on the base of the classic Markowitz portfolio theory and construction of multi-component balanced portfolios. The studies conducted indicate significant advantage of portfolio investments over the investments in individual securities. The largest risk decrease was recorded in case of the portfolios consisting of up to 5 securities. Markowitz optimization applied in the studies allowed finding the portfolios much more secure, at the assumed rate of return, than the multi-component balanced portfolios. The results indicate significant importance of optimization models in the design of the portfolios of securities. SKUTECZNOŚĆ DYWERSYFIKACJI PROSTEJ W PORÓWNANIU Z KLASYCZNYM MODELEM MARKOWITZA Lesław Markowski, Anna Rutkowska-Ziarko Katedra Metod Ilościowych Uniwersytet Warmińsko-Mazurski w Olsztynie S ł o w a k l u c z o w e: ...
A study was conducted of 15 food companies listed on the Warsaw Stock Exchange. The profitability... more A study was conducted of 15 food companies listed on the Warsaw Stock Exchange. The profitability of companies was measured by: return on assets (ROA), return on equity (ROE) and return on sales (ROS). Investment risk was measured by standard deviation and semi-deviation. The main objective of the study was to examine whether the average level and variability of selected indicators of profitability are reflected in the average level and the variability of returns on the capital market. An additional aim was to examine whether the size of the company affects the profitability and risk of investment in stocks as well as the average value and the volatility of profitability ratios. A positive correlation between the average value of the profitability ratios (ROA and ROS) and the average rates of return on the capital market was identified. Similarly, companies with higher volatility and semi-volatility of profitability ratios were simultaneously characterized by larger fluctuations in ...
In this study, we investigated some extensions of the classical portfolio theory and try to evalu... more In this study, we investigated some extensions of the classical portfolio theory and try to evaluate them in a situation of crisis. We studied some additional criteria for portfolio selection, based on market multiples representing the overall situation of companies. Additionally, we investigated semi-variance as an alternative measure of risk. We developed a range of portfolios that were built using different criteria for risk and the fundamental values of companies from the Polish stock market. Then, we compared their returns during the crisis that occurred after the outbreak of the COVID-19 pandemic. The results of empirical research on the major companies traded on the Warsaw Stock Exchange reveal that investors can achieve better investment results by augmenting the standard Markowitz model with an additional criterion connected with the fundamental standing of companies, such as book-to-market or earnings-to-market ratios. The second result is that using nonclassical risk meas...
Proceedings of the 11th Economics & Finance Conference, Rome, 2019
The classical models for construction of investment portfolio do not take into account fundamenta... more The classical models for construction of investment portfolio do not take into account fundamental values of considered companies. In our approach we extend the portfolio choice by adding this dimension to the classical criteria of profitability and risk. It is assumed that an investor selects stock according to their attractiveness, measured by some fundamental values of companies. In this approach portfolios are assessed according to three criteria: their profitability, risk (measured by variance of returns) and fundamental value (measured by some indicators of fundamental value). In this article we consider earnings to price ratio as the measure of the fundamental value of a company. In the paper we consider an algorithm for constructing portfolios with fundamental criterion based on analytical solutions for appropriate optimization problems. In the optimization problem we consider minimizing variance with constrains on expected return and attractiveness of investment, measured w...
Contemporary Trends and Challenges in Finance, 2020
The aim of the study was to examine the correlation between the accounting profitability of the c... more The aim of the study was to examine the correlation between the accounting profitability of the company and its rate of return on the capital market. In addition, betas and accounting betas were compared. The correlation between total variability and semi-variability of profitability ratios and rates of return was also analysed. The risk of a company was considered in variance and downside approaches. For calculating the downside risk, both the Bawa and Lindenberg formula and the Harlow and Rao formula were used. A positive correlation between the average value of the quarterly profitability ratios (ROA and ROE) and the average quarterly rates of return on the Warsaw Stock Exchange was identified. Similarly, companies with higher volatility and semi-volatility of the profitability ratios were simultaneously characterized by larger fluctuations in rates of return on the stock market. The correlations between market betas and accounting betas were statistically significant only in a downside approach. Accounting profitability had a greater effect on the rates on return and the risk for large and medium companies compared to small ones.
This article presents the results of empirical research conducted among audit firms in Poland reg... more This article presents the results of empirical research conducted among audit firms in Poland regarding the factors hindering the provision of non-financial information verification and attestation services. The rapidly developing practice of non-financial reporting among socially responsible entities in Poland does not translate into the number of reports that are subjected to external audits. Despite the unquestionable need to confirm the reliability of non-financial data, services of this type are not provided by the majority of audit firms. The primary aim of the article is to identify the factors hindering the performance of audits of non-financial reports in Poland. The article identifies the entities operating in the Polish audit market in terms of selected features. The authors provided answers to three main research questions: What percentage of audit firms in Poland carry out the verification of non-financial reports? What is the size and the level of employment of audit f...
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