Introduction (Władysław Milo, Grzegorz Szafrański and
Piotr Wdowiński) ................................................ 7
Part One: Principles of Modelling, Forecasting and Decision-
Making in Financial Markets
1 Financial Microeconometrics in Corporate Governance Studies
(Marek Gruszczyński) ........................................ 11
1.1 Microeconometrics ...................................... 11
1.2 Financial Microeconometrics ............................ 12
1.3 Corporate Governance ................................... 13
1.4 Corporate Governance and Microeconometrics ............. 14
1.5 Microeconometrics Research on CG for CEE Countries ..... 15
1.6 Research on CG in Poland ............................... 16
1.7 Summing up ............................................. 16
References .................................................. 17
2 Discounting Process and Perspective Projection (Jerzy
Jakubczyc) .................................................. 19
2.1 Problem Formulation .................................... 19
2.2 Towards Perspective Projection ......................... 23
2.3 About More General Case ................................ 26
2.4 Comparison Planimetric Projection with Perspective
Projection ............................................. 27
2.5 Conclusions ............................................ 31
References .................................................. 31
3 Analysis of Profitability of Investment on the Stock
Exchange in Case of Market Ratios (Waldemar Tarczyńskj and
Małgorzata Łuniewską) ....................................... 33
3.1 Introduction ........................................... 33
3.2 Description of Study ................................... 34
3.3 Conclusions ............................................ 41
References .................................................. 41
Part Two: Financial Markets and Growth
4 Determinats of Liquidity of Firms Quoted at Warsaw Stock
Exchange {Władysław Milo andMaciej Wawruszczak) ............. 45
4.1 Introduction ........................................... 45
4.2 Liquidity Determinants of Non-Financial Firms .......... 46
4.3 Empirical Analysis of Enterprises Liquidity
Determinants ........................................... 47
4.3.1 Sample Characteristics .......................... 47
4.3.2 Models of the Liquidity of the Enterprises ...... 48
4.3.3 Empirical Results ............................... 49
4.3.4 Modifications of Models (4.1) and (4.1*) ........ 50
4.4 Conclusions ............................................ 52
References .................................................. 53
5 Mutual Relationships between Economic Growth and Financial
Market Development (Iwona Bujnowicz and Wiesław Dębski) ..... 55
5.1 Introductory Remarks ................................... 55
5.2 Importance of Financial Sector Development for
Growth ................................................. 56
5.2.1 Theoretical Background .......................... 56
5.2.2 Empirical Evidence .............................. 59
5.3 Econometric Model ...................................... 61
References .................................................. 69
Part Three: Modelling Exchange Rates
6 Short-Term Combined Forecasts of Zloty/Euro Exchange Rate
(Piotr Wdowiński) ........................................... 73
6.1 Introduction ........................................... 73
6.2 Modelling Framework .................................... 73
6.3 Forecasting Exercise ................................... 77
6.4 Combined Forecasts ..................................... 79
6.5 Conclusions ............................................ 85
References .................................................. 85
7 Constant Gain Learning as a Solution to the Forward
Premium Puzzle in the Presence of Structural Breaks (Marek
Raczko) ..................................................... 89
7.1 Introduction ........................................... 89
7.2 Forward Premium Puzzle - Description of the Concept .... 89
7.3 Solutions to the Forward Premium Puzzle - A Review of
the Current State of the Ar ............................ 91
7.3.1 Econometric Approach ............................ 91
7.3.2 Theoretical Approach ............................ 92
7.3.2.1 Risk Premium Approach .................. 92
7.3.2.2 Non-Rational Expectations .............. 92
7.4 Model under Rational Expectations, Least Squares
Learning and Constant Gain Learning .................... 94
7.4.1 Asset Pricing Model ............................. 94
7.4.2 Learning vs. Rational Expectations .............. 95
7.4.3 Least Squares Learning .......................... 95
7.4.4 Constant Gain Learning .......................... 96
7.4.5 Constant Gain Learning with Structural Breaks ... 98
7.4.6 Monte Carlo Experiment .......................... 98
7.5 Conclusions ............................................ 99
References ................................................. 100
8 An Econometric Evaluation of CIP and PPP (Marcin Gajewski
and Jakub Kowalski) ........................................ 103
8.1 Introduction .......................................... 103
8.2 Theoretical Background ................................ 104
8.2.1 Purchasing Power Parity ........................ 104
8.2.2 Interest Parity ................................ 106
8.3 Model ................................................. 1ll
8.3.1 Time Series .................................... 111
8.3.2 Combined Approach .............................. 113
8.4 Conclusions ........................................... 118
Appendix ................................................... 118
References ................................................. 119
Part Four: Modelling Pension and Mutual Funds
9 New Definition of the Average Rate of Return of a Group
of Pension Funds (Jacek Białek) ............................ 126
9.1. Introduction .......................................... 126
9.2 A Discrete Time Stochastic Model ...................... 124
9.3 Postulates ............................................ 125
9.4 Alternative Measures for the Average Rate of Return ... 126
9.5 The Problem of a Merger of Funds ...................... 131
9.5.1 Modification of the Polish Definition .......... 131
9.5.2 Modification of the Gajek-Kaluszka
Definition ..................................... 133
9.5.3 Modification of the Bialek Definition .......... 133
9.6 Empirical Results ..................................... 134
References ................................................. 135
10 The Multicriterial Analysis of Mutual Funds Effectiveness
in the Period of 2003-2006 with the Use of PROMETHEE and
AHP Methods (Nina Łapińska-Sobczak and Marta
Ostapowicz) ................................................ 137
10.1 Introduction .......................................... 137
10.2 Mutual Funds Effectiveness Criteria ................... 138
10.3 PROMETHEE Method ...................................... 139
10.4 AHP Method (Analytic Hierarchy Process) ............... 144
10.5 Conclusions ........................................... 148
References ................................................. 149
11 Nonlinearity and Mutual Fund Returns: A TAR Approach
(Anna Zamojska) ............................................ 151
11.1 Introduction .......................................... 151
11.2 Theoretical Background ................................ 152
11.3 Data and Methodology .................................. 153
11.4 Empirical Results ..................................... 156
11.5 Conclusions ........................................... 160
References ................................................. 160
12 Modelling the Open Pension Funds: The Case of Poland.
Evaluation of Market's Strong Efficiency (Kazimierz
Krauze and Anna Krauze) .................................... 161
12.1 Introduction .......................................... 161
12.2 Models and Measures Used in the Strong Efficiency
Analysis .............................................. 162
12.2.1 Selectivity Evaluation ......................... 162
12.2.2 Market Timing Evaluation ....................... 164
12.3 Empirical Results ..................................... 164
12.4 Conclusions ........................................... 167
Appendix ................................................... 168
References ................................................. 174
Part Five: Modelling Risk
13 On a Bond Portfolio Guarantying a Minimal Return (Alina
Kondratiuk-Janyska and Marek Kaluszka) ..................... 177
13.1 Introduction .......................................... 177
13.2 Preliminary Notations ................................. 178
13.3 Necessary and Sufficient Condition Guarantying
a Minimal Return ...................................... 179
13.4 Practical Cases ....................................... 182
13.4.1 Class of Shocks ................................ 182
13.4.2 Functionals .................................... 183
13.4.3 Set Q .......................................... 184
13.5 Empirical Results ..................................... 186
Appendix ................................................... 191
References ................................................. 191
14 Announcement Effects of Dividend Changes (Barbara
Będowska-Sójka) ............................................ 193
14.1 Introduction .......................................... 193
14.2 Information and Volatility ............................ 194
14.3 Data and Sample ....................................... 195
14.4 Seasonality Problem ................................... 196
14.5 Models and Empirical Results .......................... 198
14.6 Conclusions ........................................... 203
References ................................................. 204
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