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...
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...
Companies in the energy sector, due to their important role in the economy and the specificity of... more Companies in the energy sector, due to their important role in the economy and the specificity of energy sources, are exposed to many types of risk, ranging from the risk associated with the company’s operations and the global economic and political situation in the world. Energy companies are usually large capital companies whose shares are listed on the stock market. The mentioned risk factors may shape the risk level of these companies. The study aims to examine the relationship between market and accounting risk measures for Polish energy companies listed on the Warsaw Stock Exchange. This paper uses market and accounting betas in the conventional and downside approach. In addition to market measures of total risk, it also examines the variability of ROA for energy companies. The study of the relationship between market risk measures and accounting risk measures was based on Pearson’s correlation coefficient, standard linear regression, and quantile regression. The relationship ...
Abstract:The following considerations are based on the concept of the fundamental portfolio as wa... more Abstract:The following considerations are based on the concept of the fundamental portfolio as was proposed by [Tarczynski 1995]. In addition, in this article semi-variance, as an alternative to variance, was used as a measure of risk. The paper aims to propose and present empirical verification of the iterative algorithm for risk diversification in a fundamental portfolio with minimum semi-variance. The calculations were made assuming that we had a starting portfolio and that it could be modified to achieve the optimal solution under the established conditions The same calculations were performed for several starting portfolios.Keywords: portfolio optimization, efficient frontiers, downside risk management.JEL code: G1.(ProQuest: ... denotes formulae omitted.)IntroductionThe construction of a portfolio of securities in which the investment risk would be properly evaluated is a constant subject of discussion since the formulation of the problem of the Markowitz's portfolio [Mark...
This paper deals with issues related to the seasonality and shocks in the value of the refunded s... more This paper deals with issues related to the seasonality and shocks in the value of the refunded sales in pharmacies in Poland. The main objective of the study was the construction and statistical verification of the trend model, seasonality and shocks caused by state intervention. In the research the TRAMO-SEATS method has been applied; the seasonal component and the shocks have been identified. The shocks were created by legislative changes. In the analysed period, refunded sales in pharmacies in Poland were characterised by a growing trend. The higher sales were observed in spring and autumn months.
In recent years, many companies have been issuing non-financial information which is used by a wi... more In recent years, many companies have been issuing non-financial information which is used by a wide range of stakeholders in their decision-making processes. Considering the fact that such reports play an important role in financial markets, the information they provide should be submitted to verification by an external, independent body. Our study, carried out in 2020, showed that only 2.3% of audit firms in Poland offer auditing non-financial report services. This was the starting point for our further investigations, the results of which will be presented in this article. The aim of the article is to identify the factors that limit or stimulate the performance of auditing in Poland with respect to non-financial data, and to determine the scope of operations carried out by audit firms which provide this service. The article comprises literature perusal and results of empirical studies among audit firms in Poland. Several important findings have emerged, including the fact that the...
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia, 2020
Theoretical background: The variability of the company’s profitability is the result of the accom... more Theoretical background: The variability of the company’s profitability is the result of the accompanying risk. To compare the profitability of many companies, relative profitability measures, which include profitability ratios, are more convenient. This article analyses market and accounting risk factors of CAPM. Risk was considered in variance and downside framework. Market betas, accounting betas were used in an extended version of the asset pricing model. Additionally, the influence of profitability ratios, such as ROA and ROE on the average rate of return on the capital market are considered.Purpose of the article: The main purpose of this study is to test the standard and extended CAPM relations between systematic risk measures and mean returns for single companies quoted on the Polish capital market and equally-weighted portfolios in two approaches: variance and downside risk.Research methods: The research based on individual securities and portfolios, compares the one-factor ...
Contemporary Trends and Challenges in Finance, 2019
This paper examines whether accounting betas and downside accounting betas have an impact on the ... more This paper examines whether accounting betas and downside accounting betas have an impact on the average rate of return in a capital market. It also examines whether investors receive a positive risk premium using accounting betas and secondly, if investors receive a positive risk premium for the downside risk. An analysis was undertaken using data from a sample of 27 Polish construction companies currently listed on the Warsaw stock market.
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...
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...
Companies in the energy sector, due to their important role in the economy and the specificity of... more Companies in the energy sector, due to their important role in the economy and the specificity of energy sources, are exposed to many types of risk, ranging from the risk associated with the company’s operations and the global economic and political situation in the world. Energy companies are usually large capital companies whose shares are listed on the stock market. The mentioned risk factors may shape the risk level of these companies. The study aims to examine the relationship between market and accounting risk measures for Polish energy companies listed on the Warsaw Stock Exchange. This paper uses market and accounting betas in the conventional and downside approach. In addition to market measures of total risk, it also examines the variability of ROA for energy companies. The study of the relationship between market risk measures and accounting risk measures was based on Pearson’s correlation coefficient, standard linear regression, and quantile regression. The relationship ...
Abstract:The following considerations are based on the concept of the fundamental portfolio as wa... more Abstract:The following considerations are based on the concept of the fundamental portfolio as was proposed by [Tarczynski 1995]. In addition, in this article semi-variance, as an alternative to variance, was used as a measure of risk. The paper aims to propose and present empirical verification of the iterative algorithm for risk diversification in a fundamental portfolio with minimum semi-variance. The calculations were made assuming that we had a starting portfolio and that it could be modified to achieve the optimal solution under the established conditions The same calculations were performed for several starting portfolios.Keywords: portfolio optimization, efficient frontiers, downside risk management.JEL code: G1.(ProQuest: ... denotes formulae omitted.)IntroductionThe construction of a portfolio of securities in which the investment risk would be properly evaluated is a constant subject of discussion since the formulation of the problem of the Markowitz's portfolio [Mark...
This paper deals with issues related to the seasonality and shocks in the value of the refunded s... more This paper deals with issues related to the seasonality and shocks in the value of the refunded sales in pharmacies in Poland. The main objective of the study was the construction and statistical verification of the trend model, seasonality and shocks caused by state intervention. In the research the TRAMO-SEATS method has been applied; the seasonal component and the shocks have been identified. The shocks were created by legislative changes. In the analysed period, refunded sales in pharmacies in Poland were characterised by a growing trend. The higher sales were observed in spring and autumn months.
In recent years, many companies have been issuing non-financial information which is used by a wi... more In recent years, many companies have been issuing non-financial information which is used by a wide range of stakeholders in their decision-making processes. Considering the fact that such reports play an important role in financial markets, the information they provide should be submitted to verification by an external, independent body. Our study, carried out in 2020, showed that only 2.3% of audit firms in Poland offer auditing non-financial report services. This was the starting point for our further investigations, the results of which will be presented in this article. The aim of the article is to identify the factors that limit or stimulate the performance of auditing in Poland with respect to non-financial data, and to determine the scope of operations carried out by audit firms which provide this service. The article comprises literature perusal and results of empirical studies among audit firms in Poland. Several important findings have emerged, including the fact that the...
Annales Universitatis Mariae Curie-Skłodowska, sectio H – Oeconomia, 2020
Theoretical background: The variability of the company’s profitability is the result of the accom... more Theoretical background: The variability of the company’s profitability is the result of the accompanying risk. To compare the profitability of many companies, relative profitability measures, which include profitability ratios, are more convenient. This article analyses market and accounting risk factors of CAPM. Risk was considered in variance and downside framework. Market betas, accounting betas were used in an extended version of the asset pricing model. Additionally, the influence of profitability ratios, such as ROA and ROE on the average rate of return on the capital market are considered.Purpose of the article: The main purpose of this study is to test the standard and extended CAPM relations between systematic risk measures and mean returns for single companies quoted on the Polish capital market and equally-weighted portfolios in two approaches: variance and downside risk.Research methods: The research based on individual securities and portfolios, compares the one-factor ...
Contemporary Trends and Challenges in Finance, 2019
This paper examines whether accounting betas and downside accounting betas have an impact on the ... more This paper examines whether accounting betas and downside accounting betas have an impact on the average rate of return in a capital market. It also examines whether investors receive a positive risk premium using accounting betas and secondly, if investors receive a positive risk premium for the downside risk. An analysis was undertaken using data from a sample of 27 Polish construction companies currently listed on the Warsaw stock market.
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Papers by Anna Rutkowska-Ziarko