Object's details: Zastosowanie modeli wyceny aktywów CAPM, market timing i DLM do oceny inwestycji w spółki innowacyjne

Description

• PLMET:
  
  http://confluence.man.poznan.pl/community/display/FBCMETGUIDE
• Title:
  
  
  Zastosowanie modeli wyceny aktywów CAPM, market timing i DLM do oceny inwestycji w spółki innowacyjne
• Alternative title:
  
  
  The capital assets pricing model (CAPM), market timing model and DLM to evaluate investments in innovation
• Group publication title:
  
  
  Ekonomia – Wroclaw Economic Review. 2020, 26/1
• Creator:
  
  
  Panek, Agnieszka
  
• Subject and Keywords:
  
  
  CAPM;
  market timing;
  dynamic models;
  innovations
• Description:
  
  Od 2013: Ekonomia – Wroclaw Economic Review
• Abstract:
  
  
  The aim of this article is to verify whether investment innovation managers, due to their specificity, should in particular have the ability to sense short-term trends and how this affects the effectiveness and risk of such investments. Empirical research was based on the use of asset valuation models of the classic CAPM, MT (market timing) model, and DLM (dynamic models with distributed delays), the parameters of which were estimated using the Classical Least Squares Methods, based on logarithmic rates of return of companies listed on the WSE in the period from 1st February 2015 to 2nd February 2020. The significantly negative value of the MNK — the estimator of parameter of the MT model, means that managers do not have the ability to sense short-term changes in the market regardless of the sector in which they operate. Furthermore, the impact of delays on market rates of return has been observed. The presented results may constitute recommendations for managers in terms of valuation of MT’s assets and skills and their impact on the effectiveness and risk of innovative investments.
• Place of publishing:
  
  
  Wrocław
• Publisher:
  
  
  Wydawnictwo Uniwersytetu Wrocławskiego
• Contributor:
  
  
  Machaj, Mateusz
  :
  Redaktor,
• Date issued:
  
  2020
• Resource Type:
  
  
  text;
  
  
  
  tekst
• Detailed Type:
  
  
  article;
  
  
  
  artykuł
• Identifier:
  
  oai:repozytorium.uni.wroc.pl:136571 ;
  ISSN 0239-6661;
  ISSN 2658-1310
• DOI:
  
  10.19195/2658-1310.26.1.7
• Language:
  
  pol
• Abstract Language :
  
  eng
• Relation:
  
  
  Acta Universitatis Wratislaviensis, 0239-6661, No 3991
• WUL Catalog:
  
  
  https://katalog.bu.uni.wroc.pl/lib/item?id=chamo:109884
• Is version of:
  
  
  Czasopisma Naukowe w Sieci
• Access rights:
  
  
  The use of this material is allowed only with accordance of applicable rules of fair use or other exceptions provided by law, and any broader use requires the permission of the authorized entity;
  
  
  
  Korzystanie z tego materiału jest możliwe zgodnie z właściwymi przepisami o dozwolonym użytku lub innych wyjątkach przewidzianych w przepisach prawa, a korzystanie w szerszym zakresie wymaga uzyskania zgody uprawnionego
• License:
  
  
  Making materials available on the basis of the agreement with the owner of the property copyrights;
  
  
  
  Udostępnianie na podstawie umowy z właścicielem majątkowych praw autorskich
• Rights holder:
  
  Copyright by Wydawnictwo Uniwersytetu Wrocławskiego Sp. z o.o., Wrocław 2020;
  Copyright by CNS
• Location of original object:
  
  
  Biblioteka Wydziału Prawa, Administracji i Ekonomii
• Autor opisu:
  
  WR U/PAdks

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Additional information

• Creation date: 2023-03-03
• Last modification date: 2024-04-24
• Content object's number of views: 190
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• Download IIIF manifest:
  https://repozytorium.uni.wroc.pl/iiif-manifest/manifest/136571/PDF.json