Since financial system development is a necessary condition of the long-run economic growth, in this paper we address the question about the factors that may drive in particular the development of stock market segment. We propose a set of potential determinants and then empirically verify their importance, employing panel data methodology. We focus our attention on the thirteen CEE states and look for the conclusions that may be specific for transition economies in this region. Finally, we formulate the finding that large budget deficitshave affected significantly and adversely the CEE countries’ stock markets growth.p>
In this study, we attempt to verify if the funds constituting the (quasi)mandatory capital pillar of the Polish pension system outperformed the market in the 2014-2016 period. This research objective was raised a few times in the past, but nowadays it gains a new context. In our research the sample starts at the moment when a set of regulations was implemented to facilitate competition among funds, which should further translate into improved portfolio results. Analysing the monthly data, we employ the Performance Change Measurement approach of Grinblatt and Titman (1993) to address the question of the investment outcomes. Despite the fact that the relatively short period is verified, we do not find any convincing proof of the superior portfolio performance under the new regulatory framework. Consequently, we argue that further changes should be oriented toward fund fee reduction rather than motivating managers to greater analytical effort.
ARTICLE HISTORY
Companies that manage mandatory pension funds are frequently accused of excessive fee taking. International analyses have found that in countries with legal caps, commissions remain within these caps; hence, market competition does not function. Surprisingly, there are few international cases where local regulators implement mechanisms to facilitate competition. The variety of auction mechanisms available raises the question of whether an optimal solution exists for this purpose. Therefore, in this study, we present evidence, based on a controlled regulatory experiment, on the fee-reduction potential of reverse auctions.JEL CODES: C91, C92, D44, H55
We examine the components of equity returns on the Polish capital market. To analyse the underlying complexity of returns we took into consideration the model designed by Leibowitz (1999). This model captures three factors: dividend yield, expected growth in earnings and expected change in price-to-earnings (PE) ratio. We applied this model to analyse the average discount/premium not only to particular shares but to market averages as well. Firstly, we examined the variation of PE across the companies (as adapted from Penman (1996)) to analyse the average rate of return and their striking distance of individual stocks from a ‘normal’ level. Then we checked the transitory earnings in the portfolios of high PE, whereby a fall in current earnings relative to sustainable level of earnings leads to a transitory high PE ratio. We expect that the effect of transience in current year earnings can be significant. Lastly, we analysed the individual companies in order to check what percentage of companies give a “correct” signal about future prospects.
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