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Tomáš Pražák - One of the best experts on this subject based on the ideXlab platform.

  • The Role of Main Microeconomic Factors on the Stock Prices of Selected Swiss Companies
    e-Finanse, 2020
    Co-Authors: Tomáš Pražák
    Abstract:

    Abstract This paper examines the role of main Microeconomic Factors on the stock prices of selected Swiss companies listed on the Six Swiss Exchange. Two basic theoretical approaches and interpretations of this relationship are frequently used. The efficient market hypothesis (Fama, 1970) assumes that stock prices already contain all the relevant information and the theory of arbitration (Ross, 1976, or Chen et al., 1986). The Microeconomic Factors are based on the financial situation in companies. Financial ratios, taken from the financial statements of the individual companies, are used for the analysis. In general, the study confirmed that profitability and debt ratios are the most important business Factors from the prospective of impact on stock prices. The relationship between the observed variables is explored using panel regression analysis. The generalized method of moments for constructing a regression model is used. The sample period of the dataset is composed of annual data from 2006 to 2015.

  • The Effect of Economic Factors on Performance of the Stock Market in the Czech Republic
    Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2018
    Co-Authors: Tomáš Pražák
    Abstract:

    History has shown that the stock prices and other financial assets are important aspects of the dynamics of economic activity. Stock prices can be an indicator of social mood and are used as a leading factor in the economic activity and financial stability. This paper investigates the relationship between selected macroeconomic and Microeconomic Factors and stock prices of companies listed on the Prague Stock Exchange. The portfolio theory and Capital Asset Pricing Model for specification of stock market are used. Johansen and Juselius (1990) and Hansen (1982) approaches are applied to test for causal relationship. In addition, the Vector error correction model for equilibration of a potential long-run relationship between variables is used. Selected macroeconomic and Microeconomic Factors provide a statistically significant relationship on stock prices during the observed period from 2006 to 2016. However, the results differ substantially among the sectors of economic activity, the industrial production, the gros domestic product and profitability ratios in particular, can explain a long-run behavior of stock prices.

  • Importance of financial ratios for predicting stock price trends: evidence from the Visegrad Group
    International Journal of Trade and Global Markets, 2018
    Co-Authors: Tomáš Pražák, Daniel Stavárek
    Abstract:

    This study examines the effect of primary Microeconomic Factors on the stock prices of select financial and energy industry companies listed and traded on the Central European Exchanges (Budapest Stock Exchange, Prague Stock Exchange, Bratislava Stock Exchange, or Warsaw Stock Exchange). Microeconomic Factors are based on the financial situations at various companies. Financial ratios, gained from the financial statements of the individual companies, are used for the analysis. In general, the paper confirmed that profitability and debt ratios are the most important business Factors from the perspective of the impact on stock prices. The existence of the relationship between stock prices and financial ratios is tested with the generalised method of moments (GMM) during the period of 2006 to 2016.

  • The Effect of Financial Ratios on the Stock Price Development
    2017
    Co-Authors: Tomáš Pražák, Daniel Stavárek
    Abstract:

    This study examines the effect of the main Microeconomic Factors on the stock prices of select energy industry companies listed and traded on the Prague Stock Exchange and Warsaw Stock Exchange. The Microeconomic Factors are based on the financial situation in companies. The financial ratios (debt/equity ratio, liquidity ratio, financial leverage ratio, return on equity ratio and return on investment ratio) are gained from the financial statements. The existence of relationship between stock prices and financial ratios is tested with the Generalized Method of Moments. During the period 2006 - 2015 we revealed a positive impact of financial leverage ratio on stock prices in both countries and a negative effect of liquidity ratio on stock prices in both countries.

Stelios N. Marcoulis - One of the best experts on this subject based on the ideXlab platform.

  • Microeconomic and Macroeconomic Factors — A Unified Approach
    Risk and Return in Transportation and Other US and Global Industries, 2001
    Co-Authors: Manolis G. Kavussanos, Stelios N. Marcoulis
    Abstract:

    Chapters 5 and 6 of this book utilised multiequation multifactor models whose explanatory variables have been, in the case of chapter 5, a set of Microeconomic Factors and in the case of chapter 6, a set of macroeconomic Factors. The set of Microeconomic Factors utilised in chapter 5 was initiated in the seminal paper of Fama and French (1992) and others such as Banz (1981), Bhandari (1988), Chan, Hamao and Lakonishok (1991), Brown, Kleidon and Marsh (1983) and many others. These Factors are the market value of equity; the earningsto-price ratio; the asset-to-market value of equity; and the asset-to-book value of equity. Similarly, the set of macroeconomic Factors utilised in chapter 6 was initiated in the study of Chen, Roll and Ross (1986) and further investigated in the papers of Ferson and Harvey (1991), Hardouvelis (1988), Martinez and Rubio (1989), Wasserfallen (1989) and Poon and Taylor (1991). The Factors employed, other than the market, are unanticipated changes in the following set of macroeconomic Factors: industrial production, the term structure of interest rates, oil prices, consumption, and inflation.

  • Microeconomic and macroeconomic Factors a unified approach
    2001
    Co-Authors: Manolis G. Kavussanos, Stelios N. Marcoulis
    Abstract:

    Chapters 5 and 6 of this book utilised multiequation multifactor models whose explanatory variables have been, in the case of chapter 5, a set of Microeconomic Factors and in the case of chapter 6, a set of macroeconomic Factors. The set of Microeconomic Factors utilised in chapter 5 was initiated in the seminal paper of Fama and French (1992) and others such as Banz (1981), Bhandari (1988), Chan, Hamao and Lakonishok (1991), Brown, Kleidon and Marsh (1983) and many others. These Factors are the market value of equity; the earningsto-price ratio; the asset-to-market value of equity; and the asset-to-book value of equity. Similarly, the set of macroeconomic Factors utilised in chapter 6 was initiated in the study of Chen, Roll and Ross (1986) and further investigated in the papers of Ferson and Harvey (1991), Hardouvelis (1988), Martinez and Rubio (1989), Wasserfallen (1989) and Poon and Taylor (1991). The Factors employed, other than the market, are unanticipated changes in the following set of macroeconomic Factors: industrial production, the term structure of interest rates, oil prices, consumption, and inflation.

  • Macroeconomic (Economy Wide) Factors as Determinants of Equity Returns
    Risk and Return in Transportation and Other US and Global Industries, 2001
    Co-Authors: Manolis G. Kavussanos, Stelios N. Marcoulis
    Abstract:

    This chapter builds upon the findings of chapter 5, which focused on the Microeconomic Factors affecting stock returns, and attempts to uncover the macroeconomic Factors affecting stock returns of the industries analysed in this book. The use of risk measures derived from the market and the economy are appropriate for comparing risk profiles between industries under the assumption that markets are reasonably efficient. However, although a very interesting issue, the number of studies comparing risk across industries, in a macroeconomic context is limited both in number and in scope.

  • THE STOCK MARKET PERCEPTION OF INDUSTRY RISK AND Microeconomic Factors: THE CASE OF THE US WATER TRANSPORTATION INDUSTRY VERSUS OTHER TRANSPORT INDUSTRIES
    Transportation Research Part E: Logistics and Transportation Review, 1997
    Co-Authors: Manolis G. Kavussanos, Stelios N. Marcoulis
    Abstract:

    This paper undertakes a comparative analysis of the stock market perception of risk of U.S.-listed water transportation and other transport sectors such as air transportation, rail transportation, trucks, and other related industries such as electricity, gas, petroleum refining and real estate over the period July 1984 June 1995. This is done by relating cross-sectional differences in the returns of the companies in each industry to the stock market and to the following set of micro-economic Factors: market value of equity; book to market value of equity ratio; earnings to price ratio; asset to market value of equity; and asset to book value of equity. The Seemingly Unrelated Regression methodology (SUR) is employed to estimate the above relationships due to its advantages over ordinary least squares. Our findings reveal that the water transportation industry is the only transportation industry which exhibits lower systematic risk than the market and that the asset-to- book ratio, along with the market, has explanatory power over its cross-sectional returns. Also, the micro Factors which are significant in explaining stock returns vary between industries. 0 1997 Elsevier Science Ltd. In the practice of equity management, managers often use a two stage approach in selecting secu- rities to be included in their portfolios. In the first stage, the manager allocates portions of the portfolio to several industries and in the second, industry analysis is employed to select the most attractive stocks from the sectors selected in the first stage. This paper addresses both stages of the selection procedure: the selection of industries, by comparing the riskiness of each industry's stock returns to the market and a set of Microeconomic fundamental Factors, and the stock selection process in each industry by uncovering the funda- mentals influencing stock returns in each sector. We pay particular attention to the water trans- portation industry, a sector often associated with high riskiness in comparison to other sectors in the economy. This perception of high riskiness in the sector might be a reason that even though water transportation companies go public, they do not attract a large number of investors. Kavussanos and Marcoulis (1997) show that this perception may be unfounded. In a selection of 28 water transportation companies listed in the U.S. stock exchanges, they show that the risk of this industry is numerically smaller but not significantly different than the risk faced by the average company in the market. However, potential investors are also interested in how the risk of water transportation stocks compares with that of other transport sectors and other popular industrial sectors in the economy. With the exception of Kavussanos and Marcoulis (1993, who use the CAPM to compare market risks among different transportation sectors, no other study makes such a comparison. In addition, there has been no attempt to uncover Factors, other than the market, that may influence returns in these industries. Such an analysis would be revealing for investors in these industries, would

Daniel Stavárek - One of the best experts on this subject based on the ideXlab platform.

  • The Relationship Between Financial Ratios and the Stock Prices of Selected European Food Companies Listed on Stock Exchanges
    Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2019
    Co-Authors: Marie Ligocká, Daniel Stavárek
    Abstract:

    Stock prices can be influenced by many Factors. It is possible to determine two categories of variables that can affect stock prices: macroeconomic and Microeconomic variables. The paper is focused on Microeconomic Factors, specially financial ratios that reflect business activities of the companies. According to the study of Drummen and Zimmermann (1992) the individual characteristics of companies affect up to 50 % of stock prices. The object of this paper is to examine the relationship between selected financial ratios and the stock prices of food companies listed on selected European Stock Exchanges. Time series on annual frequency are used to examine the relationship between stock prices of selected companies and financial ratios with using the Generalized Method of Moments (GMM). Based on previous research we expect to find some linkages especially between stock prices and the profitability ratios.

  • Importance of financial ratios for predicting stock price trends: evidence from the Visegrad Group
    International Journal of Trade and Global Markets, 2018
    Co-Authors: Tomáš Pražák, Daniel Stavárek
    Abstract:

    This study examines the effect of primary Microeconomic Factors on the stock prices of select financial and energy industry companies listed and traded on the Central European Exchanges (Budapest Stock Exchange, Prague Stock Exchange, Bratislava Stock Exchange, or Warsaw Stock Exchange). Microeconomic Factors are based on the financial situations at various companies. Financial ratios, gained from the financial statements of the individual companies, are used for the analysis. In general, the paper confirmed that profitability and debt ratios are the most important business Factors from the perspective of the impact on stock prices. The existence of the relationship between stock prices and financial ratios is tested with the generalised method of moments (GMM) during the period of 2006 to 2016.

  • The Effect of Financial Ratios on the Stock Price Development
    2017
    Co-Authors: Tomáš Pražák, Daniel Stavárek
    Abstract:

    This study examines the effect of the main Microeconomic Factors on the stock prices of select energy industry companies listed and traded on the Prague Stock Exchange and Warsaw Stock Exchange. The Microeconomic Factors are based on the financial situation in companies. The financial ratios (debt/equity ratio, liquidity ratio, financial leverage ratio, return on equity ratio and return on investment ratio) are gained from the financial statements. The existence of relationship between stock prices and financial ratios is tested with the Generalized Method of Moments. During the period 2006 - 2015 we revealed a positive impact of financial leverage ratio on stock prices in both countries and a negative effect of liquidity ratio on stock prices in both countries.

Manolis G. Kavussanos - One of the best experts on this subject based on the ideXlab platform.

  • Microeconomic and Macroeconomic Factors — A Unified Approach
    Risk and Return in Transportation and Other US and Global Industries, 2001
    Co-Authors: Manolis G. Kavussanos, Stelios N. Marcoulis
    Abstract:

    Chapters 5 and 6 of this book utilised multiequation multifactor models whose explanatory variables have been, in the case of chapter 5, a set of Microeconomic Factors and in the case of chapter 6, a set of macroeconomic Factors. The set of Microeconomic Factors utilised in chapter 5 was initiated in the seminal paper of Fama and French (1992) and others such as Banz (1981), Bhandari (1988), Chan, Hamao and Lakonishok (1991), Brown, Kleidon and Marsh (1983) and many others. These Factors are the market value of equity; the earningsto-price ratio; the asset-to-market value of equity; and the asset-to-book value of equity. Similarly, the set of macroeconomic Factors utilised in chapter 6 was initiated in the study of Chen, Roll and Ross (1986) and further investigated in the papers of Ferson and Harvey (1991), Hardouvelis (1988), Martinez and Rubio (1989), Wasserfallen (1989) and Poon and Taylor (1991). The Factors employed, other than the market, are unanticipated changes in the following set of macroeconomic Factors: industrial production, the term structure of interest rates, oil prices, consumption, and inflation.

  • Microeconomic and macroeconomic Factors a unified approach
    2001
    Co-Authors: Manolis G. Kavussanos, Stelios N. Marcoulis
    Abstract:

    Chapters 5 and 6 of this book utilised multiequation multifactor models whose explanatory variables have been, in the case of chapter 5, a set of Microeconomic Factors and in the case of chapter 6, a set of macroeconomic Factors. The set of Microeconomic Factors utilised in chapter 5 was initiated in the seminal paper of Fama and French (1992) and others such as Banz (1981), Bhandari (1988), Chan, Hamao and Lakonishok (1991), Brown, Kleidon and Marsh (1983) and many others. These Factors are the market value of equity; the earningsto-price ratio; the asset-to-market value of equity; and the asset-to-book value of equity. Similarly, the set of macroeconomic Factors utilised in chapter 6 was initiated in the study of Chen, Roll and Ross (1986) and further investigated in the papers of Ferson and Harvey (1991), Hardouvelis (1988), Martinez and Rubio (1989), Wasserfallen (1989) and Poon and Taylor (1991). The Factors employed, other than the market, are unanticipated changes in the following set of macroeconomic Factors: industrial production, the term structure of interest rates, oil prices, consumption, and inflation.

  • Macroeconomic (Economy Wide) Factors as Determinants of Equity Returns
    Risk and Return in Transportation and Other US and Global Industries, 2001
    Co-Authors: Manolis G. Kavussanos, Stelios N. Marcoulis
    Abstract:

    This chapter builds upon the findings of chapter 5, which focused on the Microeconomic Factors affecting stock returns, and attempts to uncover the macroeconomic Factors affecting stock returns of the industries analysed in this book. The use of risk measures derived from the market and the economy are appropriate for comparing risk profiles between industries under the assumption that markets are reasonably efficient. However, although a very interesting issue, the number of studies comparing risk across industries, in a macroeconomic context is limited both in number and in scope.

  • THE STOCK MARKET PERCEPTION OF INDUSTRY RISK AND Microeconomic Factors: THE CASE OF THE US WATER TRANSPORTATION INDUSTRY VERSUS OTHER TRANSPORT INDUSTRIES
    Transportation Research Part E: Logistics and Transportation Review, 1997
    Co-Authors: Manolis G. Kavussanos, Stelios N. Marcoulis
    Abstract:

    This paper undertakes a comparative analysis of the stock market perception of risk of U.S.-listed water transportation and other transport sectors such as air transportation, rail transportation, trucks, and other related industries such as electricity, gas, petroleum refining and real estate over the period July 1984 June 1995. This is done by relating cross-sectional differences in the returns of the companies in each industry to the stock market and to the following set of micro-economic Factors: market value of equity; book to market value of equity ratio; earnings to price ratio; asset to market value of equity; and asset to book value of equity. The Seemingly Unrelated Regression methodology (SUR) is employed to estimate the above relationships due to its advantages over ordinary least squares. Our findings reveal that the water transportation industry is the only transportation industry which exhibits lower systematic risk than the market and that the asset-to- book ratio, along with the market, has explanatory power over its cross-sectional returns. Also, the micro Factors which are significant in explaining stock returns vary between industries. 0 1997 Elsevier Science Ltd. In the practice of equity management, managers often use a two stage approach in selecting secu- rities to be included in their portfolios. In the first stage, the manager allocates portions of the portfolio to several industries and in the second, industry analysis is employed to select the most attractive stocks from the sectors selected in the first stage. This paper addresses both stages of the selection procedure: the selection of industries, by comparing the riskiness of each industry's stock returns to the market and a set of Microeconomic fundamental Factors, and the stock selection process in each industry by uncovering the funda- mentals influencing stock returns in each sector. We pay particular attention to the water trans- portation industry, a sector often associated with high riskiness in comparison to other sectors in the economy. This perception of high riskiness in the sector might be a reason that even though water transportation companies go public, they do not attract a large number of investors. Kavussanos and Marcoulis (1997) show that this perception may be unfounded. In a selection of 28 water transportation companies listed in the U.S. stock exchanges, they show that the risk of this industry is numerically smaller but not significantly different than the risk faced by the average company in the market. However, potential investors are also interested in how the risk of water transportation stocks compares with that of other transport sectors and other popular industrial sectors in the economy. With the exception of Kavussanos and Marcoulis (1993, who use the CAPM to compare market risks among different transportation sectors, no other study makes such a comparison. In addition, there has been no attempt to uncover Factors, other than the market, that may influence returns in these industries. Such an analysis would be revealing for investors in these industries, would

Marie Ligocká - One of the best experts on this subject based on the ideXlab platform.

  • The Relationship Between Financial Ratios and the Stock Prices of Selected European Food Companies Listed on Stock Exchanges
    Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2019
    Co-Authors: Marie Ligocká, Daniel Stavárek
    Abstract:

    Stock prices can be influenced by many Factors. It is possible to determine two categories of variables that can affect stock prices: macroeconomic and Microeconomic variables. The paper is focused on Microeconomic Factors, specially financial ratios that reflect business activities of the companies. According to the study of Drummen and Zimmermann (1992) the individual characteristics of companies affect up to 50 % of stock prices. The object of this paper is to examine the relationship between selected financial ratios and the stock prices of food companies listed on selected European Stock Exchanges. Time series on annual frequency are used to examine the relationship between stock prices of selected companies and financial ratios with using the Generalized Method of Moments (GMM). Based on previous research we expect to find some linkages especially between stock prices and the profitability ratios.

  • Mohou finanční ukazatele ovlivnit akciové výnosy finančních společností v Rakousku
    Acta academica karviniensia, 2018
    Co-Authors: Marie Ligocká
    Abstract:

    The stock prices of companies are influenced by many variables; two basic categories are macroeconomic and Microeconomic Factors. The objective of this paper is to analyze the existence of a relationship between select Microeconomic variables and the stock returns of financial sector companies listed on the Vienna Stock Exchange. The institutions that were chosen are Immofinanz AG, Raiffeisen Bank International AG, Erste Group Bank AG, Uniqa Insurance Group AG and Vienna Insurance Group AG. The focus is on Austria due to the lack of empirical literature on problematics of linkages between stock prices and Microeconomic Factors. A possibility of the existence of the cointegration relationships can be a useful for share traders and investors who want to make higher profits. A time series with semi-annual frequency are used to examine the occurrence of long-term and short-term cointegration links using the Johansen and the Granger tests. Further the analysis of the Generalized method of moments. The empirical estimates are calculated for the 2005 - 2015 period, which includes the global financial crisis. According to the theory it is expected positive relationship between selected Microeconomic variables and the stock returns.