Finanse, Rynki Finansowe, Ubezpieczenia

Previously: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia

ISSN: 2450-7741     eISSN: 2300-4460    OAI    DOI: 10.18276/frfu.2016.79-11
CC BY-SA   Open Access 

Issue archive / 1/2016 (79)
Tempo wzrostu gospodarczego jako determinant odchylenia cen akcji od ich wartości fundamentalnych
(The Rate of Economic Growth as the Determinant of the Deviation of Stock Prices From the Fundamental Value)

Authors: Paweł Wnuczak
Keywords: valuation of the company intrinsic value capital markets
Data publikacji całości:2016
Page range:9 (149-157)
Cited-by (Crossref) ?:

Abstract

Purpose – The aim of the research project presented in this article is to verify the research hypothesis which claims that the rate of economic growth affects the value of the difference between the current market value and the intrinsic value of companies listed on the Warsaw Stock Exchange. Design/methodology/approach – In order to verify the hypothesis, a linear regression model was estimated, where the dependent variable represented the average quarterly deviations between the current market value and the intrinsic value of the companies (OQ). The explanatory variable was the average quarterly economic growth rate (GDP). The calculation of the difference between the current stock prices and their fundamental values was based on the data included in the 14,815 recommendations issued in the period between 1 January 2000 and 31 December 2014 for the companies listed on the Warsaw Stock Exchange. Findings – The results of the research show that as the rate of economic growth decreases, the value of the difference between the current market value and the intrinsic value of companies listed on the Warsaw Stock Exchange increases. Originality/value – In the literature devoted to the subject matter, there are numerous studies showing the dependence between the stock market and the economy conditions. Meanwhile, from the perspective of stock market investors, it is important to establish the moments of the economic cycle where it is worth to buy shares of stock-listed companies, due to the fact that their price does not reflect the real value of a given company. This exact issue has been covered in the research presented in this article.
Download file

Article file

Bibliography

1.Adamopoulos A. (2010), Stock market and economic growth: an empirical analysis for Germany, „Business and Economic Journal” vol. 2010, BEJ-1, s. 1–12.
2.Buczek S.B. (2005), Efektywności informacyjna rynków akcji. Teoria a rzeczywistości, Szkoła Główna Handlowa w Warszawie, Warszawa.
3.Diefenbach R.E. (1972), How Good Is Institutional Brokerage Research?, „Financial Analysts Journal” vol. 28, no. 1, s. 54–60.
4.Gajdka J., Brzeszczyński J., Schabek T. (2009), Koniunktura giełdowa a zmiany w realnej sferze gospodarki w Polsce, „Przegląd Organizacji” nr 7–8, s. 3–9.
5.Gode D.K., Sunder S. (1997), What makes markets allocationally efficient?, „Quarterly Journal of Economics” vol. 112, no. 2, s. 602–631.
6.Fama E.F. (1965), The Behavior of Stock Prices, „Journal of Business” vol. 38, no. 1, s. 34–105.
7.Fama E.F. (1970), Efficient Capital Markets: A Review of Theory and Empirical Work, „The Journal of Finance” vol. 25, no. 2, s. 383–417.
8.Fama E.F. (1990), Stock Returns, Expected Returns, and Real Activity, „The Journal of Finance” vol. 45, no. 4, s. 1089–1108.
9.Fundowicz J. (2003), Koniunktura giełdowa a koniunktura makroekonomiczna, w: Diagnozowanie koniunktury gospodarczej w Polsce, red. K. Piech, S. Pangsy-Kania, Dom Wydawniczy Elipsa, Warszawa, s. 147–151.
10.Gurgul H. (2006), Analiza zdarzeń na rynkach akcji. Wpływ informacji na ceny papierów wartościowych, Oficyna Ekonomiczna, Kraków.
11.Hassapis C., Kalyvitis S. (2002), Investigating the links between growth and stock price changes with empirical evidence from the G7 economies, „Quarterly Review of Economics and Finance” vol. 42, no. 3, s. 543–575.
12.Jegadeesh N., Titman S. (1993), Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency, „The Journal of Finance” vol. 48, no. 1, s. 65–91.
13.Jegadeesh N., Titman S. (2001), Profitability of Momentum Strategies: An Evaluation of Alternative Explanations, „The Journal of Finance” vol. 56 no. 2, s. 699–720.
14.Jegadeesh N., Kim W.J., Krische S., Lee C. (2004), Analyzing the analysts: When do recommendations add value?, „The Journal of Finance” vol. 59, no. 3, s. 1083−1124.
15.Kester G.W. (1990), Market Timing with Small Versus Large-Firm Stocks: Potential Gains and Required Predictive Ability, „Financial Analysts Journal” vol. 46, no. 5, s. 63–69.
16.Mielcarz P., Podgórski B., Waremczuk P. (2007), Positive Recommendations and Abnormal Returns on the Warsaw Stock Exchange in 2005–2006, w: The Problems of Company Value Management, red. E. Urbańczyk, Publishing House Print Group.
17.Olsen R.A. (1998), Behavioral finance and its implications for stock price volatility, „Financial Analysts Journal” vol. 54, no. 2, s. 10–18.
18.Ozlen S. (2014), The Effect of Company Fundamentals on Stock Values, „European Researcher” vol. 71, no. 3–2, s. 595–602.
19.Peters E.E. (1997), Teoria chaosu a rynki kapitałowe, WIG-Press, Warszawa.
20.Szyszka A. (2003), Efektywność giełdy papierów wartościowych w Warszawie na tle rynków dojrzałych, Wydawnictwo Akademii Ekonomicznej w Poznaniu, Poznań.
21.Rachunki kwartalne produktu krajowego brutto w latach 2000–2006, (2007), GUS, Warszawa.
22.Rachunki kwartalne produktu krajowego brutto w latach 2007–2011, (2012), GUS, Warszawa.
23.Rachunki kwartalne produktu krajowego brutto w latach 2008–2012, (2013), GUS, Warszawa.
24.Rachunki kwartalne produktu krajowego brutto w latach 2009–2014, (2015), GUS, Warszawa.
25.Rozeff S.M., Kinney W.R. Jr. (1976), Capital Market Seasonality: The Case of Stock Returns, „Journal of Financial Economics” vol. 3, no. 4, s. 379–402.
26.Stąpała J. (2012), Tempo zmian koniunktury gospodarczej i giełdowej w Polsce w latach 1998–2011, „Studia Ekonomiczne”, Zeszyty Naukowe Uniwersytetu Ekonomicznego w Katowicach, nr 3 (LXXIV), s. 371–392.
27.Wnuczak P., Mielcarz P. (2009), Wpływ czynników fundamentalnych na kapitalizację spółek giełdowych, Zeszyty Naukowe Uniwersytetu Szczecińskiego, Finanse, Rynki finansowe, Ubezpieczenia nr 17, s. 275–287.
28.Womack K.L. (1996), Do Brokerage Analysts’ Recommendations Have Investment Value?, „The Journal of Finance” vol. 51, no. 1, s. 137–167.
29.Zielonka P. (2003), Czym są finanse behawioralne, czyli krótkie wprowadzenie do psychologii rynków finansowych, Narodowy Bank Polski, „Materiały i Studia” nr 158.
30.Zielonka P. (2006), Behawioralne aspekty inwestowania na rynku papierów wartościowych, CeDeWu, Warszawa.