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Results in Journal Financial Assets and Investing: 69

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Mustafa Hussein Abd-Alla, Mahmoud Sobh
Financial Assets and Investing, Volume 11, pp 5-18; https://doi.org/10.5817/fai2020-2-1

Abstract:
We test the empirical validity of the three-factor model of Fama and French in the Egyptian Stock Exchange (EGX) using monthly excess stock returns of 50 stocks listed on the EGX from January 2014 to December 2018. Our findings do not support Fama and French three-factor model, where the coefficient of the beta was insignificant. The “SBM” coefficient and the “HML” coefficient were equal to zero and insignificant, which confirms the absence of the small firm effect and book-to-market ratio effect in the market. We conclude that there is no relation between expected return and Fama-French risk factors.
Blanka Łęt
Financial Assets and Investing, Volume 11, pp 38-53; https://doi.org/10.5817/fai2020-2-3

Abstract:
The aim of this paper is to investigate the dependence structure in the frequency domain for the joint distribution of returns from the stock markets in the countries belonging to the V4 countries. We analyze twenty-years of historical daily prices of four main stock indices from the Czech Republic, Hungary, Poland, and Slovakia. Using a quantile coherency measure we found, that linkages between Czech, Hungarian, and Polish stock markets are significantly positive for all considered quantiles and frequencies. These three markets are more strongly dependent during the long downturns and the effect is permanent after the European Union accession. The Slovak stock market is the least connected with other countries in the group. Results of the paper revealed, that Czech, Hungarian and Polish stock market is subject to similar trends in terms of returns for different investment horizons. International market participants should incorporate interdependencies between these markets during the portfolio building process.
Ján Šebo, Daniela Danková, Ivan Králik
Financial Assets and Investing, Volume 11, pp 54-72; https://doi.org/10.5817/fai2020-2-4

Abstract:
The introduction of pan-European pension products in 2020 is associated with an ongoing debate on prescribing predefined saving strategy that would both deliver adequate performance and limit the down-side risk at the end of the saving horizon. Dynamic life-cycle saving strategies are generally accepted as a good risk-mitigation tool that can be individually set. Many research papers confirm the ability of life-cycle strategies to deliver high risk-reward outcomes. Objective of our paper is to test the ability of one-factor life-cycle saving strategies based on the age and/or the remaining saving horizon to deliver the promised value for PEPP savers. We constructed 18 saving strategies divided into three groups – static saving strategies with fixed proportion of equities, dynamic life-cycle strategies based on the age and/or remaining saving horizon, and quasi-active strategies combining two factors – the remaining saving horizon and price movement. We employed the model based on moving-block bootstrapping technique and performed simulations for various economic conditions. We have tested the expected saving performance combined with the down-side risk during the saving horizon. Our findings do not confirm the general findings on life-cycle saving strategies. We claim that having the age as the only factor defining the proportion of equities in the pension saving portfolio would not be optimal. However, we found that two-factor saving strategies look promising in delivering both lower down-side risk and higher performance over the saving horizon.
Mustafa Hussein Abd-Alla, Mahmoud Sobh
Financial Assets and Investing, Volume 11, pp 19-37; https://doi.org/10.5817/fai2020-2-2

Abstract:
We test the impact of herding behaviour on the risk pricing in the Egyptian Stock Exchange (EGX) by adding an additional risk factor reflecting herding behaviour to the Fama and French three-factor model. We construct a portfolio to mimic an additional risk factor related to herding behaviour, in addition to the original risk factors in the Fama and French three-factor model. The three-factor model will be tested in its original form and re-tested after adding the herding behaviour factor. The study is based on Hwang and Salmon methodology, in which the state space approach based on Kaman’s filter was used to measure herding behaviour. We used monthly excess stock returns of 50 stocks listed on the EGX from January 2014 to December 2018. The results do not support Fama and French model before and after adding the herding behaviour factor, therefore, there is no effect of herding behaviour on the risk pricing in the Egyptian Stock Exchange.
Özcan Karahan
Financial Assets and Investing, Volume 11, pp 21-34; https://doi.org/10.5817/fai2020-1-2

Abstract:
The traditional view asserts that there is a positive relationship between the foreign exchange rate and economic growth. So much so that an increase in foreign exchange rates enhances the net export volume and thus positively affects economic growth due to the increasing total demand. However, structural economists argue that there is an inverse relationship between the exchange rate and economic growth. Especially in developing countries, the input structure of production depends on imported capital and intermediate goods, so an increase in exchange rates makes import production inputs more expensive and thus negatively affects economic growth. Turkey, leaving foreign exchange rate free float since 2002, has implemented the Inflation Targeting (IT) regime as the monetary policy. Therefore, Turkey has a real experience to analyse the role of exchange rate changes on economic growth. Accordingly, in our study, using the quarterly data between 2002-Q1 and 2019-Q1, the relationship between exchange rate and economic growth was examined by employing Johansen cointegration test, Granger causality test and Innovation Accounting Techniques. Empirical findings suggest that there is a negative causal relationship between exchange rates and economic growth, as claimed by structuralist economists. In terms of policy implications, it can be argued that, even under the inflation targeting regime in Turkey, both price and exchange rate stability should be provided together.
Břetislav Andrlík, Lucie Zborovská
Financial Assets and Investing, Volume 11, pp 5-20; https://doi.org/10.5817/fai2020-1-1

Abstract:
This article examines the fees applied to vehicles of the maximum weight of 3.5 t based on time. It focuses on the analysis of the current application of time-based fees in individual countries of the EU. This analysis is carried out as a supporting tool serving the design models available in the Czech Republic. The goal of the contribution is designing a new model of time-based pricing of road motor vehicles in the territory of the Czech Republic. The contribution also includes the analysis of legal standards regulating the issue in the Czech Republic and in the EU countries; the analysis only deals with EU legal standards that directly address the area. The outcome of the contribution is a constructed model of a time-based fee, based on pre-defined assumptions, which were determined by needs ensuing from the current conditions that affect the operation of chargeable passenger cars and light commercial vehicles. In conclusion, a comparison of receipts from the current system of time-based fees with receipts resulting from the proposed model of time-based fees for the Czech Republic is made. The results shown in Table 6 show that the application of the newly defined time-based fee model in the Czech Republic leads to increased public budget revenues by 3.14%, ie by CZK 149.262 million in absolute terms.
Martin Svítil
Financial Assets and Investing, Volume 10, pp 21-41; https://doi.org/10.5817/fai2019-2-2

Abstract:
Some significant changes to the Basel III regulatory framework (called Basel IV) will come into effect during the 2022 to 2027 period. In its first part, this article shows the opinion of the European Federation of Leasing Company Associations Leaseurope on Basel IV. In its second part, this paper evaluates the situation of the largest leasing companies on the Czech market using methods of financial analysis.The results of several studies published by Leaseurope clearly show that the risk associated with the provision of liabilities through leasing is significantly lower than the risk calculated by the capital adequacy calculation for Basel rules. For this reason, the Leaseurope federation prepared concrete proposals for changes in the rules so that the regulation better corresponds to the actual risks taken.The second part of the article analyzes the situation of leasing companies in the Czech Republic in terms of capital, capital adequacy and compliance with Basel rules. It shows the state of the capital adequacy of the largest leasing companies operating on the Czech market using simplified indicators of the ratio of Equity / Balance sheet total and Equity / Receivables. As a complementary indicator, the ratio of Share capital / Balance sheet total is also used. Furthermore, a simplified stress test based on 5% and 10% decline in net receivables and coverage of this decline from equity, respectively, was performed.The results show that leasing companies operating on the Czech market would probably have no problem meeting the considered tightening of capital requirements. Several exceptions are mentioned in the text.
Mostafa Hussein Abd Alla, Mahmoud Sobh
Financial Assets and Investing, Volume 10, pp 5-20; https://doi.org/10.5817/fai2019-2-1

Abstract:
This paper examines the impact of herding behaviour on the expected return in the Egyptian Stock Exchange by adding an additional risk factor reflecting herding behaviour to the capital asset pricing model. The study used monthly excess stock returns of 50 stocks listed on the Egyptian Stock Exchange from January 2014 to December 2018. The results do not support the capital asset pricing model before and after adding the herding behaviour factor, therefore there is no effect of herding behaviour on the expected return.
Martina Borovcová, Adéla Špačková
Financial Assets and Investing, Volume 10, pp 5-24; https://doi.org/10.5817/fai2019-1-1

Abstract:
The aim of the article is to determine and verify the key assessment indicators for the insurance market by applying the decomposition multi-attribute methods and regression analysis. The assessed specific indicators are qualitative indicators (insurance penetration, claim ratio) and quantitative indicators (gross premium, insurance benefit, number of insurance contracts, number of settled insurance claims, number of employees, number of commercial insurance companies, concentration of the insurance market, and more). The decomposition multi-criteria AHP method (analytic hierarchy process) and ANP method (analytic network process) based on the Saaty pair comparison approach are described, including the computation procedure. The described methods are then applied to determine the preferences of the indicators for the insurance market. Subsequently, a particular regression model is created. Our findings reveal the resulting preferences of individual indicators of the insurance market evaluation and key assessment indicators.
Dennis Schmidt, Alexander Zureck, Stefanie Gradetzki, Gennadij Seel
Financial Assets and Investing, Volume 10, pp 25-39; https://doi.org/10.5817/fai2019-1-2

Abstract:
The desire of audiences to consume content in a series format, independent of time and place has increased in recent years. Technological advancement has helped this trend progress. In this paper, series are considered as goods whose sales are linked to the degree of viewers’ attention. Thus, the good series operate on two interconnected levels, an economic and an emotional. The decision to invest in the production of another season of a series is intended to increase the number of subscriptions and the associated revenues. Capital market participants are influenced by various emotional biases when making investment decisions under uncertainty. In the context of an event study, it is examined whether announcements of season extensions have a significant influence on the share price of the respective provider. The results show that investors react with a changed investment behavior. Furthermore, findings from the film industry are transferred to series production.
Blanka Łęt
Financial Assets and Investing, Volume 10, pp 40-53; https://doi.org/10.5817/fai2019-1-3

Abstract:
The goal of this paper is to check existence of Granger causality in risk between eleven European stock markets and crude oil market. We analyze bidirectional instantaneous and delayed Granger causality in tails test results, i.e. whether occurrence of the extreme returns on the crude oil market precede similar events on the main European stock markets and vice versa. Using Brent futures prices and main stock indices in Europe (Belgium, France, Germany, Greece, Italy, Netherlands, Norway, Poland, Spain, Sweden and United Kingdom), we apply testing procedure developed by Candelon and Tokpavi (2016). The main conclusion is that in the vast majority of cases instantaneous causality in tails was symmetrical. We also found that more long-lived reaction appeared as a result to the negative news from the oil market and from the stock markets.
Martin Svítil
Financial Assets and Investing, Volume 9, pp 19-41; https://doi.org/10.5817/fai2018-2-2

Abstract:
The article compares internal rating systems of three banks from the German-speaking region, continuing with last year's research. In this paper a detailed analysis of qualitative indicators (soft - facts) is made. These qualitative indicators, as one of the two main components of banking rating systems have the wage of between 30% and 50% of the overall rating score. This makes this part of rating certainly important enough to be further researched. The research is focused on the rating of business entities, more precisely the corporate, (especially limited liability companies or joint-stock companies). It does not deal with the rating of natural persons or non-profit organizations, municipalities etc. The procedure of collecting empirical data as well as data from relevant literature, their assessment according to the criteria of verifiability and relevance and the application of the induction method was used and a generalization of conclusions was subsequently made. The goal of this research was to find out if the structure of used qualitative factors (soft- facts) is similar or even the same across the rating systems included in the comparison and what weights of individual factors are used. The result of the research shows that two categories of qualitative indicators (soft - facts) are present in all considered rating systems: (i) quality of company’s management and / or strategy and (ii) market on which the bank client operates. (iii) Accounting or related indicators like information system or audit quality also play a significant role in rating systems. On the other hand, the use of the factor (iv) relationship with the bank (or similar) is quite different across the rating systems included in the research. The number and structure of guidance questions that help risk-management analysts determine indicator values also differ. In one case, there is an extensive catalog of questions with a standardized set of responses. In other cases, the number of questions is lower and each one has its specific variation of the predefined answers the analyst selects from.
Martin Širůček, Jan Vystoupil, Petr Strejček
Financial Assets and Investing, Volume 9, pp 42-60; https://doi.org/10.5817/fai2018-2-3

Abstract:
This paper focuses on the profitability of investments into IT, finance, healthcare and consumer goods oriented active and passive mutual funds and ETFs and their profit/loss in different market situations (growing, stagnant and decreasing markets).The aim of the paper is to set recommendations for investors as regards which instrument (active or passive mutual fund or ETFs) brings higher return or lower loss over the time and market development and if investors can expect different results based on the sector orientation, which sector is more sensitive to bullish or bearish trends. Our results show that neither ETF nor passive mutual funds were able to beat the market, as the sector index brings better results than these investments in all situations. Within bearish trend, all sector ETFs and passive mutual funds bring the same results as sector index, only active managed mutual funds bring better results. The lowest loss during this period was achieved by active managed mutual funds focusing on healthcare. Bullish and stagnant markets bring quite the same results, but passive funds and ETF are more profitable than active mutual funds in growing markets.
Tomáš Ondruška, Zuzana Brokešová, Erika Pastoráková
Financial Assets and Investing, Volume 9, pp 5-18; https://doi.org/10.5817/fai2018-2-1

Abstract:
In the Slovak Republic, non-life insurance consumption is significantlylower compared to Western European countries. The paper tests various personal, demographic and economic factors and their impact on the individual property insurance demand in the Slovak Republic. Using survey data, we identified the following as statistically significant determinants of property insurance demand: gender, age, marital status, propensity to save, level of income, being a head of household. Our results can help insurers to better understand their potential consumers and to improve their acquisition and segmentation techniques. Our findings are important, especially, in times after launching a new tax on non-life insurance premiums, as individuals in Slovakia are very sensitive to the premium and often fail to buy adequate coverage in property insurance.
Anggita Langgeng Wijaya, Name Bandi
Financial Assets and Investing, Volume 9, pp 61-72; https://doi.org/10.5817/fai2018-2-4

Abstract:
The objective of this research is to test the impact of leverage on corporate cash holdings for sample of manufacturing companies enlisted on the Indonesian Stock Exchange over the period 2006-2007. Population of this research is all of manufacturing companies on the Indonesian Stock Exchange. The sampling method is purposive. The study hypothesis was tested using multiple regressions. The results show that leverage has a negative influence on corporate cash holdings. Indonesian manufacturing firms with high leverage can hold cash in small amounts because debt is a substitute for corporate cash holdings.
Tomáš Plíhal, Martina Sponerová, Miroslav Sponer
Financial Assets and Investing, Volume 9, pp 35-50; https://doi.org/10.5817/fai2018-1-3

Abstract:
The importance of credit risk management is well known and was deeply investigated by the banking industry. There is a pressure on financial institutions to still improve their credit risk management systems, so the credit risk of a bank is an unflagging object of discussion. The aim of this article to compare the predicting abilities of several bankruptcy models to the SME segment in the Czech Republic and its subsegments - medium sized, small and micro enterprises. We have focused on small and medium sized enterprises (SMEs) considering their fundamental role played in the Czech economy and the considerable attention placed on SMEs. We have chosen popular bankruptcy models that are often applied, namely the Altman Z-score, Altman model developed especially for SMEs in 2007, the Ohlson O-score, the Zmijewski’s model, the Taffler’s model, and the IN05 model. The basic form of the models was used as proposed by their authors. The results were compared using the contingency table and ROC curve. We have found that the best prediction models are Zmijewski´s and Ohlson´s models which use probit and logit methodologies and according to our analysis, their prediction ability is better than that of models based on discriminant analysis. Surprisingly, model IN05 designed for Czech companies provides average results only. One of the worst performing models is Altman 2007, which was created specifically for SMEs, but according to our analysis it only provides subordinates results.
Financial Assets and Investing, Volume 9, pp 5-20; https://doi.org/10.5817/fai2018-1-1

Abstract:
The aim of the paper is to examine the causal relationship between the real property prices in biggest Polish cities within VAR model framework. Both offer and transactional prices are used. Existing stock market, as well as primary market are analysed. The data are quarterly and taken from 17 biggest Polish cities. The analysed period is 2006-2015. Both VAR and VECM approaches were applied. Their limitations and possible predictions were discussed. A significant interaction between various regional real estate markets in Poland has been observed. However, the leading role of the capital city could not be confirmed by the methodology used.
Petr Seďa, Juan Antonio Jimber Del Río,
Financial Assets and Investing, Volume 9, pp 57-71; https://doi.org/10.5817/fai2018-1-4

Abstract:
Empirical testing of the linkages between macroeconomic news and asset price movements in terms of response to released macroeconomic information have been a subject of many investigations using different testing methods. The objective of this paper is to study the impact of announcements of Greek credit rating downgrades on the prices of the most liquid assets quoted in the Czech stock market. This issue is tightly related to semi-strong form of the efficient market hypothesis, which is one of possible analytical approaches when analyzing behaviour of assets in financial markets. The reaction of the Czech stock market is assessed in relation to seven announcements of Moody´s rating agency regarding changes of credit rating of Greek government bonds in the period 2009–2012. For the purpose of this paper, the event study methodology is applied. The basic idea of this statistical method is to determine values of abnormal returns, which can be defined as a difference between actual and equilibrium returns. In order to calculate equilibrium returns, the Capital Asset Pricing Model (CAPM) is used. The differences between actual and equilibrium returns are then verified with a help of selected nonparametric statistical tests. Namely, the exact sign test and the Wilcoxon signed-rank test are utilized. Based on results of nonparametric statistical tests, the null hypothesis of information efficiency of the Czech stock market is conclusively rejected.
Magdalena Jasiniak
Financial Assets and Investing, Volume 9, pp 21-34; https://doi.org/10.5817/fai2018-1-2

Abstract:
The main aims of this article are to verify whether rates of return might be determined by stock prices and to evaluate low price anomaly on the example of Warsaw Stock Exchange. The author states that cheap assets characterized by nominally lower prices are more attractive to buy and bring higher profits in comparison to assets described as expensive. In order to verify the hypothesis, database of 13789 quotations from 1.07.1999 to 30.12.2013 was created. The sample was divided into three groups – cheap, average, and expensive stocks. Finally, the statistical analysis was conducted using 2924 records including only cheap and expensive units. Statistical analysis confirms that low–priced assets generate higher profits and lower losses.
Financial Assets and Investing, Volume 8, pp 37-48; https://doi.org/10.5817/fai2017-2-3

Abstract:
The impact of exchange rate change on the domestic price level which is called as exchange rate pass through has long been of interest in international economics literature. Along with the application of inflation targeting regime widely, the focus of this interest has also evolved to examine the changes in degree and speed of exchange rate pass through under inflation targeting regime. Turkey, adopted Inflation Targeting (IT) as a monetary regime between 2001 and 2006 implicitly and then explicitly, exhibits which was a genuine experience to be analyzed in this respect. From this point of view, the goal of the study is to provide a time-series analysis of exchange rate pass-through for Turkish economy based on single equation Error Correction Model estimation using the monthly data under pre-IT period 1995-2000 and post-IT period 2006-2014. Thus, we try to clarify the effectiveness of inflation targeting regime as monetary policy on the exchange rate pass-through. The findings of the study indicate that the exchange rate pass-through decreased in the post-IT period compared to pre- IT period. Accordingly, it can be argued that the implication of inflation targeting regime reduced exchange rate pass through in Turkey.
Mária Bohdalová, Michal Greguš
Financial Assets and Investing, Volume 8, pp 5-18; https://doi.org/10.5817/fai2017-2-1

Abstract:
The aim of this paper is to give a comprehensive description of the risk dependence and interdependence between selected European stock markets and Brexit equity in the period spanning from January, 7, 2000 to February, 3, 2017. We have studied behavior of extreme quantiles using quantile regression approach. This approach is robust because it is based on the use of various measures of central tendency and dispersion statistics for a detailed analysis of the relationship between variables. We have found evidence of significant interdependence /independence between financial markets and Brexit uncertainty. The analysis of upper and lower quantiles allows us to observe that the interdependence is positive asymmetric and higher for bear markets compared to bull or normal market conditions in the period before the Brexit vote. Moreover, we have analyzed the influence of the Brexit vote on selected markets. We have found that one or two or three days after voting the dependence structure was changed mainly in normal market conditions for French and Turkish markets, while Polish and Spanish markets were not significantly influenced.
Jarmila Horváthová, Martina Mokrišová
Financial Assets and Investing, Volume 8, pp 19-36; https://doi.org/10.5817/fai2017-2-2

Abstract:
The aim of the paper was to investigate the impact of company's capital structure on its performance. To achieve the goal, the data of Slovak businesses were used. An input analysis of the capital structure of the selected sector was carried out in order to generalize and elaborate conclusions aimed at the capital structure of the businesses analysed. Selected indicators of capital structure were calculated to analyse the relationships between these indicators and business performance. The results of the correlation analysis were complemented by examining the impact of selected independent variables on business performance applying regression analysis and Principal Component Analysis. Based on the findings, capital structure model was formulated to quantify the impact of changes in capital structure on business performance. The contribution of the paper is the identification of capital structure indicators that affect business performance as well as the construction of capital structure model. The article as well as the research, which is the basis for paper elaboration, is the result of professional public interest focused on finding whether the capital structure is the determinant of business performance.
Martin Svítil
Financial Assets and Investing, Volume 8, pp 61-74; https://doi.org/10.5817/fai2017-2-5

Abstract:
The aim of the article is to compare several rating systems used by banks and their affiliates, especially in German-speaking countries. The research is focused on the rating of business entities, more precisely the corporate ones, (especially limited liability companies or joint-stock companies). In particular, two aspects of the rating of the corporations are highlighted in the rating system comparison, namely: (i) which quantitative indicators are used for the calculation of the hard-facts and (ii) how the soft-facts are included in the rating system. The result of the research shows, that concerning the quantitative indicators (i), the highest emphasis is put on the capital structure of an enterprise (whether in the form of Equity to Liabilities or Equity to Total assets) in all compared rating systems. Concerning the other indicators used for the calculation, the monitored rating systems are different, and the total number of indicators also differs (from 6 to 9). For soft-facts (ii) all rating systems agree on some of the queries (e.g. the sensitivity of the rated entity to market fluctuations), but otherwise the number and the topics of the queries overlap only partially.
Lenka Přečková, Eva Vávrová
Financial Assets and Investing, Volume 8, pp 49-60; https://doi.org/10.5817/fai2017-2-4

Abstract:
This paper will evaluate the current state of cooperation between banks and insurance companies as well as internal integration of bancassurance products in financial groups Erste Group Bank, UniCredit Group and KBC Group. The evaluation is performed as of September, 2016. There shall be selected ten countries which are located in Central and Eastern Europe: Czech Republic, Slovak Republic, Poland, Hungary, Romania, Bulgaria, Croatia, Bosnia and Hercegovina, Slovenia and Serbia. The aim of this paper is to determine whether or not there is a similarity in integrated financial products belonging to different financial groups in individual countries. This paper will apply a qualitative research approach. A theoretical base for evaluating the level of cooperation between banks and insurance companies and for evaluation of an internal integration of bancassurance products will be set in the paper. The theoretical base is to be compared with the current bancassurance practice within financial groups and countries. To evaluate bancassurance practice, this paper shall use data available on web sites, financial and annual reports of financial institutions. The qualitative research is to contain a detailed analysis, sorting and comparison of set theoretical bases. The financial groups show differentness as far as integration is concerned. The research led to the conclusion that there is a similarity in bancassurance products which are offered in evaluated countries. A dissimilarity was found in the level of integration of bancassurance products.
Liběna Černohorská
Financial Assets and Investing, Volume 8, pp 5-18; https://doi.org/10.5817/fai2017-1-1

Abstract:
When measuring bank efficiency, there is no generally accepted concept of efficiency nor is there a uniform system of indicators for its measurement. It is, however, possible to use the method of financial analysis to measure bank efficiency. In this paper, the following ratios are used for measuring bank efficiency
Dariusz Filip
Financial Assets and Investing, Volume 8, pp 19-39; https://doi.org/10.5817/fai2017-1-2

Abstract:
The purpose of the paper is to evaluate the performance of mutual funds operated in selected post-transition countries and to analyse their return variability and dispersion. The study sample consists of 294 equity funds (domestic and foreign ones) from the Czech Republic, Hungary and Poland. By using classic measures of return as well as popular measures of risk, it was possible to examine if equity funds from the CEE countries possess the ability to outperform. It was observed that funds generally obtained mean returns, which were below the corresponding benchmark. In most cases, however, the results were statistically insignificant. Fund returns compared to equity indices were characterised by lower ups and downs, especially during significant market changes. The analysis of performance variability and dispersion showed that there are entities which achieve marginally better return than their competitors at a relatively low risk level. The test for equality of variances applied in the study revealed evidence for the heterogeneity of return variabilities, which could be caused by sample selection bias.
Martin Svoboda, Zuzana Rakovská
Financial Assets and Investing, Volume 8, pp 40-57; https://doi.org/10.5817/fai2017-1-3

Abstract:
Since 2007 all Grand Slam tournaments have offered equal prize money for male and female tennis players. Although men and women are paid equally in Grand Slams they still play a different number of best-of sets – men play best-of-five set matches while women play best-of-three set matches. Those two competing circumstances created a financial gap in prize money paid to women and men for the unit of effort in a tennis play – for a game. The present paper estimates this financial gap for 2016 Grand Slam tournaments. Moreover, it demonstrates the nominal magnitude of this gap and its effect on year-to-year increasing prize money that are paid to winners. The results showed that women on average obtained 60% more prize money for a game played than men in all four 2016 Grand Slams.
Tomáš Urbanovský
Financial Assets and Investing, Volume 8, pp 58-71; https://doi.org/10.5817/fai2017-1-4

Abstract:
Relationships between the nominal exchange rate, the current account and the financial account of the balance of payments in the Czech Republic are investigated in this presented paper. The implemented cointegration analysis and vector error correction model suggest one pair of Granger causality. It has been discovered that change in the current account balance Granger-causes a change in financial account balance. This relationship has the nature of two-way Granger causality, which means that a reversed relationship holds as well. Other relationships implying Granger causality were not found. Error terms were significant only in regressions with both accounts as dependent variables, which imply that only these variables return to their long-term equilibria. Because an increase in financial account surplus leads to a decrease in current account surplus (or deepening the current account deficit), excessive liberalization of the Czech financial system can lead to a large capital inflow, jeopardizes current account sustainability and results in a currency crisis in the Czech economy.
Rabson Magweva, Tafirei Mashamba
Financial Assets and Investing, Volume 7, pp 20-36; https://doi.org/10.5817/fai2016-3-2

Abstract:
The relationship between stock market development and economic growth varies across nations and regions. This relationship is of significance to regulatory authorities, investors and portfolio managers in their operations aimed at enhancing the welfare of the citizens and clients at large. The purpose of this study is to examine the relationship between these two variables in Zimbabwe for the period 1989 to 2014. The paper employed the Vector Error Correction Model approach after establishing the order of integration (unit root tests) and cointegration between variables. All the variables were found to be stationary at 1% level after first differencing using the Phillips-Peron tests. The long run relationship was negative, whereas the short run coefficients were insignificant. Though contrary to financial theory, the results, to a large extent, testify to what happened during the period. Based on these findings, the Zimbabwe Stock Exchange and Securities and Exchanges Commission are urged to come up with alternative products to lure new listings from the small to medium enterprises. It is also recommended that all the stakeholders focus beyond the Zimbabwe Stock Exchange to promote economic growth as the firms seem to raise funds from other sources.
Jana Šimáková
Financial Assets and Investing, Volume 7, pp 37-57; https://doi.org/10.5817/fai2016-3-3

Abstract:
The paper deals with the relationship between exchange rates and foreign trade. The aim of this paper is to reveal the long-term effects of the level of exchange rates on the trade balances of the Visegrad Countries. As the different product categories are characterized by different price elasticity, exchange rate uncertainty sensitivity and countries are differentiated by consumer and producer behavior patterns, this paper uses territorial and commodity structuring of foreign trade data. An empirical analysis is performed for the period 1999
Nikolay Markov, Victor Dmitriev, Svetlana Maltseva,
Financial Assets and Investing, Volume 7, pp 5-19; https://doi.org/10.5817/fai2016-3-1

Abstract:
The research deals with the construction, implementation and analysis of the model of the non-equilibrium financial market using econophysical approach and the theory of nonlinear oscillations. We used the scaled variation of supply and demand prices and elasticity of these two variables as dynamic variables in the simulation of the non-equilibrium financial market. View of the dynamic variables data was determined based on the strength of econophysical prerequisites using the model of hydrodynamic type. As a result, we found that the non-equilibrium market can be described with a good degree of accuracy with oscillator models with nonlinear rigidity and a self-oscillating system with inertial self-excitation. The most important states of model of oscillation non-equilibrium model of the market were found, including the appearance of chaos and its mechanisms. We have made the calculations of the correlation dimension for the financial time series. The results show that all observed time series have a clearly defined chaotic dynamic nature.
Lenka Přečková
Financial Assets and Investing, Volume 7, pp 19-33; https://doi.org/10.5817/fai2016-2-2

Abstract:
This paper will evaluate the current state of cooperation between banks and insurance companies as well as internal integration of bancassurance products in financial groups Erste Group Bank and UniCredit Group. The evaluation is performed as of May 1, 2016. There shall be selected six countries which are part of the region Central and Eastern Europe, namely the Czech Republic, the Slovak Republic, Hungary, Romania, Croatia and Serbia. This paper aims at ascertaining whether or not there are similarities in how bancassurance functions in selected financial groups and countries. This paper shall apply a qualitative research approach. Bancassurance shall be analyzed, compared and evaluated from the viewpoint of integration of financial groups as well as of bancassurance products. A critical analysis of literature available will frame the field of bancassurance models of cooperation and bancassurance functioning. This review will provide a theoretical base for evaluating the level of cooperation between banks and insurance companies and for evaluation an internal integration of bancassurance products. The theoretical base shall be compared with the current bancassurance practice within financial groups and countries. To evaluate bancassurance practice, this paper shall use data available on web sites, financial and annual reports of financial institutions. The qualitative research shall contain a detailed analysis, sorting and comparing of set theoretical bases. Finally, this paper shall ascertain which characteristics are similar and which are different in integration of financial groups and bancassurance products.
Matione Sauro, Mashamba Tafirei
Financial Assets and Investing, Volume 7, pp 34-51; https://doi.org/10.5817/fai2016-2-3

Abstract:
The study sought to examine the relationship between economic value-added (EVA) and stock returns in commercial banks listed at the Johannesburg stock exchange. Furthermore, we also investigated other traditional value measures like Dividend per Share and Return on Equity in-order to identify which metric measures firm value better. The data was analysed with the Ordinary Least Squares (OLS) method. Economic value added was found to have significant influence on the financial performance of banks. This explains why traditional performance measures have driven investors to look for alternatives, such as value based measures in most developed economies. Therefore, EVA can be reliably used to measure corporate value and performance simultaneously. This at least should be a good encouragement for South African banks to adopt Eva so as to keep up with local and international competition for foreign capital (FDIs) in global financial markets. Hence, South African banks should consider supplying EVA data when releasing annual performance figures.
Michal Kuběnka
Financial Assets and Investing, Volume 7, pp 5-18; https://doi.org/10.5817/fai2016-2-1

Abstract:
The IN05 index is probably the only one model in the world that predicts economic value added (EVA). Determining a positive or negative EVA is conducted based the level of return on equity (ROE). The threshold of the level depends on the changing value of implicit cost of equity (re). The Czech economy has undergone many changes including the economic crisis during the ten years following the creation of the IN05 index. This research uses financial data of 1,224 companies in the manufacturing sector. A very low current prediction power of IN05 was detected in prediction of prosperity. The main benefit of the research is finding a way to increase accuracy of economic value added prediction.
Claudio Boido, Antonio Fasano
Financial Assets and Investing, Volume 7, pp 5-33; https://doi.org/10.5817/fai2016-1-1

Abstract:
This study compares the risk-adjusted performance of traditional and alternative investments. Instrumental to this design, we introduce a specific metric for assessing hedge fund performance, comprising both the relative advantage and the extra-risk of an alternative investment over a traditional one. We are concerned with the impact of the crisis. Common wisdom tells us that during phases of market euphoria, investors’ wishful thinking can make them overconfident of the high returns promised by the leveraged structures and the aggressive investment policies typical of this asset class; conversely, when the downturns hit, the “big bets”, taken by hedge fund managers, in risky and illiquid investments, can trigger severe losses in their investors’ portfolios. We found evidence that regime switches in stock returns emphasise the performance gap among the different fund investment policies; furthermore, some styles can effectively capitalise on managerial skill, outperforming traditional equity investment in terms of adjusted performance.
Jan Vlachý
Financial Assets and Investing, Volume 7, pp 50-61; https://doi.org/10.5817/fai2016-1-3

Abstract:
This paper derives, tests and discusses a comprehensive and easy to use nonparametric option-valuation model, using a representative set of historical data on underlying asset returns jointly with an assumption of minimalistic implied information on current market trend and volatility expectations. Its testing on empirical data from Warsaw Stock Exchange trading for two distinct periods of 2014 suggests that such distribution-free models are capable of delivering useful market insights as well as applicability features, in particular wherever derivative markets are relatively new, incomplete, illiquid, or with regard to the valuation of real options.
Jaroslav Sedláček
Financial Assets and Investing, Volume 7, pp 34-49; https://doi.org/10.5817/fai2016-1-2

Abstract:
The paper is devoted to a comparison of the valuation of financial instruments according to the international and Czech accounting standards in the context of performance reporting of trade corporations. Differences in valuation and reporting of financial instruments are examined in connection with the upcoming amendments to the international accounting standards, which are currently the subject of scientific and expert discussions. The research focused on the comparison of classification methods of financial instruments according to the international and Czech standards and the resultant methods of recognition, valuation and reporting with the aim of identifying possible differences. The research arrived at the discovery of what causes the differences and the assessment of their impact on the financial statements of trade corporations. A different concept of accruals on long-term receivables and variant calculations of present value affected the amount of the reported balance sheet as well as performance. Calculations of specific values of differences in financial instruments are made in two model examples in the categories Held-to-maturity investments (HTMI) and Loans and receivables (L&R), both from the viewpoint of owners, as well as from the perspective of debtors. The development of these differences in time is described graphically. The differences in the reported values manifested themselves in overvaluation or undervaluation during the life of the financial instrument, but the values were identical at the time of their maturity. It has been proved that differences between the reported financial situation and the performance of trade corporations persist even after the amendment to the Czech accounting legislation, and it is necessary to take them into account in financial analysis.
Tomáš Krabec, Percy Venegas
Financial Assets and Investing, Volume 6, pp 5-22; https://doi.org/10.5817/fai2015-3-1

Abstract:
Traditional investment and management tools fail to capture the complexities of a networked, digital business economy: SWOT analysis are static, accounting ratios are unidimensional. More importantly, those artifacts are unfit to deal with intangibles: by definition, the "material" information-based economies transact on. Here we present a Weak Signals technique - Vector Fields Flows - to dynamically profile strengths and opportunities in digital businesses, specially those heavily reliant on web search as source of revenue. We demonstrate how vector fields topology can in fact reveal liquidity changes in online businesses, with immediate applications in finance operations and market prospecting.
Lenka Přečková
Financial Assets and Investing, Volume 6, pp 23-37; https://doi.org/10.5817/fai2015-3-2

Abstract:
This article aims to determine whether the developments in the insurance business production correspond with the development of the expense-to-revenue ratio of an insurance portfolio. The subject of the research is insurance companies belonging to the VIG insurance group in the Czech Republic. Its commercial production, i. e. insurance business, will be evaluated. The evaluation will be performed by analysis and comparison of financial ratio indicators for the period 2005–2013. The insurance business will be first examined by market positions through market share, increase in gross written premiums and product diversification. Subsequently, insurance business will be evaluated by cost ratio indicators, namely by expense ratio and loss ratio. The expense-to-revenue ratio and product diversification will be assessed in the non-life segment. Finally, a comparison will reveal whether the development of market position corresponds with the development of operating costs and costs expended on insurance benefits.
Dagmar Linnertová
Financial Assets and Investing, Volume 6, pp 21-35; https://doi.org/10.5817/fai2015-2-2

Abstract:
Short sale is a market practice that allows participle in overpricing markets. The fundamental goal of short sale is to sell borrowed securities, repurchase them back after their prices decrease and then return them to a lender. The aim of this paper is to investigate determinants of the short sale (measured by short sale ratio or SIR) activity. Based on the previous studies the short sale determinants are represented by market specific variables and fundamental-to-price ratios and correspond with hypotheses that explain investor motivations of going short. A panel regression with fixed effect is applied to determine these variables. The trend of short sale is analyzed by splitting the full sample period in three sub periods. There are identified factors such as abnormal rate of return, volume of trade, volatility, market capitalization and beta coefficient that are stable long term and influence the level of short sale. The results of fundamentals-to price ratio is not unambiguous and these variables do not considerably influence the level of short sale.
Aleš Kresta
Financial Assets and Investing, Volume 6, pp 7-20; https://doi.org/10.5817/fai2015-2-1

Abstract:
Although the cornerstone of modern portfolio theory was set by Markowitz in 1952, the portfolio optimization problem is a never-ending research topic for both academics and practitioners. In this problem the future prediction of time series evolution plays an important role. However, it is rarely addressed in research. In the paper we analyze the applicability of the GARCH-copula model. To be more concrete we assume the investor maximizing Sharpe ratio while the future evolution of the time series is simulated by means of the AR(1)-GARCH(1,1) model using the copula modelling approach. The bootstrapping technique is applied as a benchmark. From the empirical results we found out that the GARCH-copula model provides better forecasts of future financial time series evolution than the bootstrapping method. Assuming the investor is maximizing the Sharpe ratio, both the final wealth increases and maximum drawdown decreases when we apply the GARCH-copula model compared to the application of bootstrapping technique.
Financial Assets and Investing, Volume 6, pp 35-57; https://doi.org/10.5817/fai2015-1-2

Abstract:
In this paper we discuss the topological properties of the European banking network and its evolution over time based on the BIS consolidated banking statistics data exploiting information from complex network analysis. Our conclusions are discussed in light of the soon-to-be-launched Single Supervisory Mechanism that takes into account, among other things, the significance of cross-border activity as a precondition for specifying the systemically important European credit institutions. According to our results, the banking network of the EU13 economic space can be characterized as highly asymmetric with a tendency to create clusters based on geographic distance and cultural and social similarities. Additionally, the highly exposed countries are usually dependent on a small number of major creditors while creditor countries tend to spread their power over dependent countries more equally. We advocate that the presence of heterogeneity and asymmetry in the network and a decrease in the level of foreign banking across Europe could be mitigated by the introduction of SSM, and from this perspective it should be viewed as a positive step towards greater financial stability.
Oleksandra Lemeshko, Oldřich Rejnuš
Financial Assets and Investing, Volume 6, pp 7-34; https://doi.org/10.5817/fai2015-1-1

Abstract:
The rapid growth and development of the mutual fund industry throughout the world stimulated vast contemporary studies focusing on a wide range of issues predominantly of microeconomic character, such as fund performance, timing ability, fees and fund flows, thus leaving determinants and attributes of mutual fund industry development beyond their research. The rare relevant studies predict that development of the mutual fund industry depends on a number of factors among which the predominant role belongs to development of the economic and financial systems, and quality of governance and regulatory basis. One essential condition of validity of this prediction is that it is based upon a sample of developed economies, thus leaving a space for the likelihood that under condition of developing or middle-income economies some expectations may substantially deviate from the predication. This paper aims to reevaluate the significance of the impact of individual macro- and microeconomic factors, which were identified in previous studies, on size of asset under management in the sample of high- and middle-income economies of Central and Eastern Europe by means of regressing the total size of the mutual fund industry and size of its separate components, such as equity, fixed income and money market asset management over a number of independent variables. The obtained results indicate that out of a wide range of factors, the high explanatory power of which was stressed by earlier studies, only a small group of them turned out to be significant in our research. In particular, it was found that the size of the CEE mutual fund industry in general and the sizes of its particular segments respond positively on increase of country openness to trade and capital inflows, development and stability of local financial and capital markets, improvement of quality of governance and regulatory basis. Also some controversial evidence was obtained on the role of change in government indebtedness for explaining the size of the mutual fund industry – in general, there is a significantly positive impact of a decrease of central government debt on the size of CEE asset management, however its sign is not consistent across all subcategories of funds. Although the chosen sample does not cover as large a number of countries as previous studies, it provides brief insight into the CEE mutual fund industry, documenting important country and regional characteristics.
Tadeusz Czernik, Daniel Iskra
Financial Assets and Investing, Volume 5, pp 21-37; https://doi.org/10.5817/fai2014-3-2

Abstract:
Recent events taking place on the housing project market provide a strong impetus to the study of risk in housing project development. This issue is important not only from the point of view of the developer but also his client. This paper proposes a dynamic model of the financial surplus process. The model takes into account the structure of the credit payments, and the random nature of the real estate sale process (compound Poisson process
Katarína Belanová
Financial Assets and Investing, Volume 5, pp 7-20; https://doi.org/10.5817/fai2014-3-1

Abstract:
This article presents a survey of recent theoretical, as well as empirical, contributions concerning business investments, which help to explain the investment decision making of companies. These contributions emphasize the relevance of idiosyncratic factors affecting investment decisions such as the degree of irreversibility and uncertainty, interactions between these factors may generate an opportunity cost equivalent to the exercise of an option and so they add an important dimension to the neoclassical theory of investment (also called standard or orthodox theory of investment). This theory has not recognized the important qualitative and quantitative implications of this interaction, what can explain some of its failures. We investigate the irreversibility of investments and the impact this has on the nature of the relationship between investment and uncertainty in the way of empirical analysis. The empirical analysis uses firm – level data and is based on a survey of 53 automotive suppliers, which was carried out during the year 2011. We find supportive evidence for the fact that uncertainty is negatively associated with planned investments of the companies surveyed, which remains true also in the presence of irreversibility. At the end we demonstrate the core of the real options approach in a form of a practical example.
Martin Boďa, Emília Zimková
Financial Assets and Investing, Volume 5, pp 7-25; https://doi.org/10.5817/fai2014-2-1

Abstract:
The paper investigates into the efficiency of the Slovak banking industry over the years 2000–2011 through the prism of the profit approach to the perception of efficiency of commercial banks. More precisely, the aim of the paper is to benchmark individual commercial banks with respect to their efficiency status under the profit definition of efficiency. Nonetheless, massive structural changes that took place in the Slovak economy also affected significantly the development of the Slovak banking sector and gave rise to shifts in its production function. In order to include these qualitative changes into consideration, the entire period of 12 years was – on economic grounds – divided into three consecutive non-overlapping sub-periods (2000–2003, 2004–2008, 2009–2011) during which the production function may be viewed stable and free of qualitative alterations. A panel of 11 organizational units (i.e. commercial banks) of the Slovak banking sector was identified, and under the assumption of the production function being constant and shiftless in the three sub-periods the data on them were pooled together for each of the three sub-periods. In evaluating their technical efficiency in the individual three sub-periods, a non-parametric method of evaluation is employed based on the slack-based measure (SBM) model of data envelopment analysis. During the period of 12 years examined, Slovenská sporiteľňa maintained a comparatively high SBM technical efficiency and other Slovak banks were subject to positive or negative changes in their comparative efficiency profile. The paper further demonstrates how this information can be used outside the academic sphere with an accent laid upon the stockholders and the management of the commercial banks under investigation.
Alex Büscher, Eric Frère, Gerrit Hellwig, Svend Reuse
Financial Assets and Investing, Volume 5, pp 45-65; https://doi.org/10.5817/fai2014-2-3

Abstract:
Commodities are very important for the welfare of whole nations and so an increased demand, even on the financial markets, can be seen in the 20th century. For this reason commodities were no longer only product factors. They became more and more a speculative character for investors, especially in times of crisis as a possible safe haven (Mildner / Rudloff / Westphal, 2012, p. 57). Because of their development over two decades, during which time the invested volume grew up to an amount of 320 Billion US-Dollar at the beginning of 2011 (Knoepfel, 2011, p. 2) and the return of investing in commodities had beaten traditional investments, it might be very interesting to invest in commodity indices, if they can diversify an investor´s portfolio while improving the return. For the valuation and comparison of traditional and commodity indices, this article uses the classical approach of the volatility and the Value at Risk (VaR) for risk measurement and logarithmic returns for the performances. The analysis is indexed on July 1998 to get comparable results and aims to test if commodities can diversify a portfolio any longer.
Financial Assets and Investing, Volume 5, pp 26-44; https://doi.org/10.5817/fai2014-2-2

Abstract:
The aim of this paper is to present an analysis of the relationship between concentration of the banking sector and banks' markups on offered loans. The markup is understood as the difference between the rate offered by banks and the reference rate fixed by the Monetary Policy Council. The period between 2009 and 2013 was analyzed. Monthly data from the Polish banking sector were considered. This paper also consists of the literature review, which focuses on the mortgage market. The methodology used for the analysis is based mainly on simple linear regression techniques. It is found that such methods are not sufficient to give conclusive answers. Therefore additional future research is proposed.
Tomáš Gongol, Pavla Vodová
Financial Assets and Investing, Volume 5, pp 7-21; https://doi.org/10.5817/fai2014-1-1

Abstract:
One of the key characteristics of the global financial crisis was the inaccurate and ineffective liquidity risk management. As usual after the crisis, some thoughts about the need for more appropriate liquidity risk regulation emerged. The aim of this paper is therefore to characterize the development of liquidity risk regulation. First part of the paper characterizes reasons for liquidity risk regulation. The second section describes the liquidity risk regulation before the financial crisis. Then we focus on the current level of legislation in the Visegrad Countries and also on prepared changes which will arise from the Basel III rules
Anna Sroczynska-Baron
Financial Assets and Investing, Volume 5, pp 51-61; https://doi.org/10.5817/fai2014-1-4

Abstract:
The theory of games as a domain of mathematics is one of the methods proper for making decisions in the world of economics when we do not know how the other subjects are going to act. It seems to be a suitable tool for gambling on the stock exchange. During gambling on the stock exchange, the problem of the choice of proper portfolio appears; the player wants both great profit and low risk. It is reasonable to limit the choice only to portfolios which belong to the effective set. Then the decision of choice of a particular portfolio is individual and depends on the player and his aversion to the risk. In this article this problem is presented as the game that is, the inner conflict of the player. On the one hand he is expecting a great profit, yet on the other hand he is expecting a low risk. Which portfolio should be pointed out to give the satisfaction to the player? The solution of this problem presented in this work is based on the theory of games, which treats the search for a proper portfolio as a two-person game. A suitable game was formulated and described. The analysis of the game as a cooperative one was performed. There is also an example provided explaining the way of acting with data coming from the stock exchange in Warsaw.
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