The beginnings of the Warsaw Stock Exchange date back to 1991, so the time period available for analysis is relatively short. The first main hypothesis stated that companies at risk of bankruptcy are able to meet their short-term obligations. Furthermore, augmenting the literature with an analysis of the impact of more liquidity and solvency ratios is still an open question. In addition, quantile regression can be used regardless of the distribution of the remainder of the model because it is a semi-parametric method. In order to supplement the analysis of company asset pricing methods, the Sharpe ratio was calculated in the following form:The empirical study presented in the article focuses on companies listed on the Warsaw Stock Exchange in the period from 1 January 1999 to 30 June 2013. The basic formula is as follows:The research outlined above was done on American stock exchanges. In addition, this article includes new estimators that have not yet been taken into account but that may affect the rates of return, which will contribute to the literature on the subject and to the development of knowledge on the volatility of returns on shares. Most of the authors draw on Fama and French’s theory and on the CAPM model.The output of economic theory in the field of liquidity and solvency of a firm, methods of asset valuation and explanation of returns on shares is copious and still growing. : Get the latest Warsaw Stock Exchange stock price and detailed information including news, historical charts and realtime prices. The researchers concluded that the LCAPM model is better suited to the data than the standard CAPM. Expedia partners with 55+ suppliers to get you the lowest prices & best deals. The biggest drawback of quantile regression is the lack of formulas for variance and covariance in the obtained estimates, which translates into difficulties in verifying statistical hypotheses.Portfolios created for the net working capital ratio: models estimated with the least-squares method (left) and quantile regression (right). First of all, it is not developed, it has low liquidity and there is a lack of transparency in company reports. Indices and statistics, regulations, history, trading systems, listed securities and companies. Market for shares of local banks, governments bonds. The second stage was the analysis of asset pricing models (CAPM, Fama–French and Carhart) for portfolios that were built based on solvency and liquidity ratios.
The database on the basis of which this part of the research was carried out contained quarterly data. The first group of studies concerned the United States. The combination of conclusions from both these stages allows the verification of the second hypothesis.
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