Pub Date : 2023-12-11DOI: 10.18559/ebr.2023.4.1075
Bartłomiej Pilch
The aim of the paper is to analyse the effectiveness of F-Score-like models using the example of the Polish stock market. F-Score is a scoring model based on a high B/M investing strategy, which uses fundamental signals to assess the economic condition of an entity. So far, its effectiveness has been generally proven in numerous stock markets worldwide. However, no comprehensive study focusing on the Polish market has been conducted. Therefore, F-Score and similar models (FS-Score and PiotroskiTrfm) were analysed in this regard. It was shown that companies with higher scores generated positive both raw and market-adjusted returns on average. However, they were lower than the mean returns of low-score companies (for FS-Score) or total high B/M portfolio (regarding F-Score and PiotroskiTrfm). The results of the study show that F-Score, FS-Score and PiotroskiTrfm are generally effective investing tools. However, it might be more advisable for value investors to choose a total high B/M portfolio instead of shares of high-score entities according to F-Score or PiotroskiTrfm.
{"title":"Is value investing based on scoring models effective? The verification of F-Score-based strategy in the Polish stock market","authors":"Bartłomiej Pilch","doi":"10.18559/ebr.2023.4.1075","DOIUrl":"https://doi.org/10.18559/ebr.2023.4.1075","url":null,"abstract":"The aim of the paper is to analyse the effectiveness of F-Score-like models using the example of the Polish stock market. F-Score is a scoring model based on a high B/M investing strategy, which uses fundamental signals to assess the economic condition of an entity. So far, its effectiveness has been generally proven in numerous stock markets worldwide. However, no comprehensive study focusing on the Polish market has been conducted. Therefore, F-Score and similar models (FS-Score and PiotroskiTrfm) were analysed in this regard. It was shown that companies with higher scores generated positive both raw and market-adjusted returns on average. However, they were lower than the mean returns of low-score companies (for FS-Score) or total high B/M portfolio (regarding F-Score and PiotroskiTrfm). The results of the study show that F-Score, FS-Score and PiotroskiTrfm are generally effective investing tools. However, it might be more advisable for value investors to choose a total high B/M portfolio instead of shares of high-score entities according to F-Score or PiotroskiTrfm.","PeriodicalId":41557,"journal":{"name":"Economics and Business Review","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2023-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139183502","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-12-11DOI: 10.18559/ebr.2023.4.1073
Katarzyna Czech, Michał Wielechowski
The study aims to assess whether there are significant differences among EU member states regarding the Russo-Ukrainian-conflict-driven changes in macroeconomic indicators and whether these differences are linked to the country’s energy vulnerability. Applying the k-means clustering, there are distinguished three country groups similar with regard to regarding their energy intensity, energy dependence (including Russian gas dependence) and household budgets' exposure to energy prices. Based on Kruskal-Wallis and Wilcoxon pairwise comparison tests, the study reveals statistically significant differences among the distinguished country clusters in the level of inflation and interest rates at the time of this conflict and differences in the 2022 forecasts' changes for GDP, inflation, budget balance and unemployment. The results indicate that EU economies characterised by the most significant energy vulnerability economically suffer the most in the aftermath of the Russian invasion of Ukraine.
{"title":"Russian aggression against Ukraine and the changes in European Union countries’ macroeconomic situation: Do energy intensity and energy dependence matter?","authors":"Katarzyna Czech, Michał Wielechowski","doi":"10.18559/ebr.2023.4.1073","DOIUrl":"https://doi.org/10.18559/ebr.2023.4.1073","url":null,"abstract":"The study aims to assess whether there are significant differences among EU member states regarding the Russo-Ukrainian-conflict-driven changes in macroeconomic indicators and whether these differences are linked to the country’s energy vulnerability. Applying the k-means clustering, there are distinguished three country groups similar with regard to regarding their energy intensity, energy dependence (including Russian gas dependence) and household budgets' exposure to energy prices. Based on Kruskal-Wallis and Wilcoxon pairwise comparison tests, the study reveals statistically significant differences among the distinguished country clusters in the level of inflation and interest rates at the time of this conflict and differences in the 2022 forecasts' changes for GDP, inflation, budget balance and unemployment. The results indicate that EU economies characterised by the most significant energy vulnerability economically suffer the most in the aftermath of the Russian invasion of Ukraine.","PeriodicalId":41557,"journal":{"name":"Economics and Business Review","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2023-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139184112","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract The aim of the paper is to identify the relevant prior research focused on the Formulary Apportionment methodology in the European Union, to explore the current literature and develop directions for future research. Reflecting upon the announced European Commission’s Proposal for new framework for business taxation and the foreseeable upswing of academic discussion focused on the formulary apportionment methodology this paper represents the first systematic literature review on this topic. The study identifies eight main thematic clusters, provides an interpretative framework and suggests valuable future research directions within each thematic cluster as well as general future research agenda.
{"title":"Formulary apportionment in the European Union—future research agenda","authors":"Markéta Mlčúchová","doi":"10.18559/ebr.2023.3.798","DOIUrl":"https://doi.org/10.18559/ebr.2023.3.798","url":null,"abstract":"Abstract The aim of the paper is to identify the relevant prior research focused on the Formulary Apportionment methodology in the European Union, to explore the current literature and develop directions for future research. Reflecting upon the announced European Commission’s Proposal for new framework for business taxation and the foreseeable upswing of academic discussion focused on the formulary apportionment methodology this paper represents the first systematic literature review on this topic. The study identifies eight main thematic clusters, provides an interpretative framework and suggests valuable future research directions within each thematic cluster as well as general future research agenda.","PeriodicalId":41557,"journal":{"name":"Economics and Business Review","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2023-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79290363","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract This study aims to examine the relationship between firm size and firm growth in Vietnam. The literature does not in general give support to Gibrat’s law stating that the expected increase in firm size is proportionate to its initial size, or that firm growth rates are independent of firm size. The present study relies on a sample of 578 listed Vietnamese companies representing eight different industries and covering the period 2010 to 2020. The analysis reveals that growth in firm revenues does not give support to a hypothesis of independence of initial firm sizes. When the firm size is measured by total assets the opposite result appears, i.e. the Gibrat’s law is not rejected. When including also the age of the firms in the test methodology the conclusion will be that firm growth—measured by revenue or assets—in all cases will decrease with firm size.
{"title":"Does firm size improve firm growth? Empirical evidence from an emerging economy","authors":"J. Bentzen, L. Tung","doi":"10.18559/ebr.2023.3.793","DOIUrl":"https://doi.org/10.18559/ebr.2023.3.793","url":null,"abstract":"Abstract This study aims to examine the relationship between firm size and firm growth in Vietnam. The literature does not in general give support to Gibrat’s law stating that the expected increase in firm size is proportionate to its initial size, or that firm growth rates are independent of firm size. The present study relies on a sample of 578 listed Vietnamese companies representing eight different industries and covering the period 2010 to 2020. The analysis reveals that growth in firm revenues does not give support to a hypothesis of independence of initial firm sizes. When the firm size is measured by total assets the opposite result appears, i.e. the Gibrat’s law is not rejected. When including also the age of the firms in the test methodology the conclusion will be that firm growth—measured by revenue or assets—in all cases will decrease with firm size.","PeriodicalId":41557,"journal":{"name":"Economics and Business Review","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2023-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77967984","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Aditi M. Goel, Dolly Gaur, K. Gupta, Kanishka Gupta
Abstract The aim of the paper is to explore the factors impacting export intensity of SMEs in India. It examines the influence of various firm level variables on export intensity. The sample considered for the study includes 50 SME firms from different industries ranging from equipment and manufacturing to textile. Data for ten years (2011–2020) has been analyzed for drawing relevant results. For regression, Least Square Dummy Variable corrected (LSDVC) estimates have been used to address the issue of heteroskedasticity and autocorrelation issue present in the data. The results arrived at indicate that the expenditure incurred on research and development, selling and distribution acts as an investment which provides returns in terms of better export performance. Also, top managers having international experience can be an important asset for a firm looking for expanding in international market. These results have substantial implications for the management of SME firms.
{"title":"Factors impacting export intensity of SMEs in India","authors":"Aditi M. Goel, Dolly Gaur, K. Gupta, Kanishka Gupta","doi":"10.18559/ebr.2023.3.796","DOIUrl":"https://doi.org/10.18559/ebr.2023.3.796","url":null,"abstract":"Abstract The aim of the paper is to explore the factors impacting export intensity of SMEs in India. It examines the influence of various firm level variables on export intensity. The sample considered for the study includes 50 SME firms from different industries ranging from equipment and manufacturing to textile. Data for ten years (2011–2020) has been analyzed for drawing relevant results. For regression, Least Square Dummy Variable corrected (LSDVC) estimates have been used to address the issue of heteroskedasticity and autocorrelation issue present in the data. The results arrived at indicate that the expenditure incurred on research and development, selling and distribution acts as an investment which provides returns in terms of better export performance. Also, top managers having international experience can be an important asset for a firm looking for expanding in international market. These results have substantial implications for the management of SME firms.","PeriodicalId":41557,"journal":{"name":"Economics and Business Review","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2023-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78965179","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract This paper aims to answer whether firms of different sizes and stock liquidities differ in the choice of external sources of financing in companies listed in CEE countries. To this end the net debt issuance is regressed on the financial deficit. In regressions Pecking Order Coefficients are allowed to vary across firms with different sizes and stock liquidities. The results indicate that companies with less liquid shares prefer issuing debt to cover financial deficits more than companies with more liquid shares. This implies that stock liquidity may substitute debt issuance in alleviating the adverse effects of information asymmetry, especially in relatively small companies. This is the first study in which the relationship between liquidity and debt-equity choice is considered solely from a pecking order theory point of view. Also this is the first study in which stock liquidity effects on capital structure are studied in the CEE countries. Research results may point to the advantages of increasing the liquidity of shares which may contribute to reducing information asymmetry and thus a better allocation of resources.
{"title":"The choice of external financing source: The role of company size and stock liquidity","authors":"Szymon Stereńczak, J. Kubiak","doi":"10.18559/ebr.2023.3.800","DOIUrl":"https://doi.org/10.18559/ebr.2023.3.800","url":null,"abstract":"Abstract This paper aims to answer whether firms of different sizes and stock liquidities differ in the choice of external sources of financing in companies listed in CEE countries. To this end the net debt issuance is regressed on the financial deficit. In regressions Pecking Order Coefficients are allowed to vary across firms with different sizes and stock liquidities. The results indicate that companies with less liquid shares prefer issuing debt to cover financial deficits more than companies with more liquid shares. This implies that stock liquidity may substitute debt issuance in alleviating the adverse effects of information asymmetry, especially in relatively small companies. This is the first study in which the relationship between liquidity and debt-equity choice is considered solely from a pecking order theory point of view. Also this is the first study in which stock liquidity effects on capital structure are studied in the CEE countries. Research results may point to the advantages of increasing the liquidity of shares which may contribute to reducing information asymmetry and thus a better allocation of resources.","PeriodicalId":41557,"journal":{"name":"Economics and Business Review","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2023-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82936504","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract The aim of the paper is to examine socio-economic determinants of environmental degradation. The empirical study employs quantile regression which enables separate predictions for different levels of the dependent variable to be made. This study investigated 62 countries from low, middle and some high income countries for 1995–2019. The Environmental Kuznets Curve (EKC) is verified for the aforemented countries in analyzing the relationship between economic growth and carbon emissions using quantile regression. The study also revealed that the schooling rate has a pollution-increasing effect. In addition to the reducing effects of trade openness, democracy, and economic freedom variables on environmental degradation, the opposite effect of life expectancy at birth is observed, increasing environmental degradation. In this context, this paper concluded that the EKC hypothesis is not supported. The government should encourage pollution-reducing policies in low and middle income countries.
{"title":"Socio-economic determinants of environmental degradation: Empirical evidence for the Environmental Kuznets Curve","authors":"Ömer Faruk Gültekin, Ramazan Sayar, Y. Ari","doi":"10.18559/ebr.2023.3.797","DOIUrl":"https://doi.org/10.18559/ebr.2023.3.797","url":null,"abstract":"Abstract The aim of the paper is to examine socio-economic determinants of environmental degradation. The empirical study employs quantile regression which enables separate predictions for different levels of the dependent variable to be made. This study investigated 62 countries from low, middle and some high income countries for 1995–2019. The Environmental Kuznets Curve (EKC) is verified for the aforemented countries in analyzing the relationship between economic growth and carbon emissions using quantile regression. The study also revealed that the schooling rate has a pollution-increasing effect. In addition to the reducing effects of trade openness, democracy, and economic freedom variables on environmental degradation, the opposite effect of life expectancy at birth is observed, increasing environmental degradation. In this context, this paper concluded that the EKC hypothesis is not supported. The government should encourage pollution-reducing policies in low and middle income countries.","PeriodicalId":41557,"journal":{"name":"Economics and Business Review","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2023-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76486673","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract The study aims to empirically determine whether a higher level of trade openness and the presence of better legal protection for investors enhances the impact of trade bloc membership on capital mobility based on four trading blocs: Eurasian Economic Union (EAEU), Central American and Dominican Republic Free Trade Agreement (CAFTADR), Central European Free Trade Agreement (CEFTA), and the Pacific Alliance. This study employs the fully modified and dynamic ordinary least squares estimators and a panel quantile regression cointegration estimator. The study finds that a country’s affiliation with a trade bloc improves capital mobility in the whole group and EAEU region, low capital mobility in the Pacific Alliance region and moderate low capital mobility in the CAFTA-DR region. The legal protection system alone provided for the investors does not improve the level of capital mobility unless its interaction with investment is included. Also the study reveals that high trade openness does not necessarily lead to better capital mobility for the studied trade blocs.
{"title":"Does regional trade integration reinforce or weaken capital mobility? New evidence from four free trade areas","authors":"M. Ganić, Amila Novalic","doi":"10.18559/ebr.2023.3.795","DOIUrl":"https://doi.org/10.18559/ebr.2023.3.795","url":null,"abstract":"Abstract The study aims to empirically determine whether a higher level of trade openness and the presence of better legal protection for investors enhances the impact of trade bloc membership on capital mobility based on four trading blocs: Eurasian Economic Union (EAEU), Central American and Dominican Republic Free Trade Agreement (CAFTADR), Central European Free Trade Agreement (CEFTA), and the Pacific Alliance. This study employs the fully modified and dynamic ordinary least squares estimators and a panel quantile regression cointegration estimator. The study finds that a country’s affiliation with a trade bloc improves capital mobility in the whole group and EAEU region, low capital mobility in the Pacific Alliance region and moderate low capital mobility in the CAFTA-DR region. The legal protection system alone provided for the investors does not improve the level of capital mobility unless its interaction with investment is included. Also the study reveals that high trade openness does not necessarily lead to better capital mobility for the studied trade blocs.","PeriodicalId":41557,"journal":{"name":"Economics and Business Review","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2023-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79100041","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract This study employs robust martingale difference hypothesis tests to examine return predictability in a broad sample of the 40 most capitalized cryptocurrency markets in the context of the adaptive market hypothesis. The tests were applied to daily returns using the rolling window method in the research period from May 1, 2013 to September 30, 2022. The results of this study suggest that the returns of the majority of the examined cryptocurrencies were unpredictable most of the time. However, a great part of them also suffered some short periods of weak-form inefficiency. The results obtained validate the adaptive market hypothesis. Additionally, this study allowed the observation of some differences in return predictability between the examined cryptocurrencies. Also some historical trends in weak-form efficiency were identified. The results suggest that the predictability of cryptocurrency returns might have decreased in recent years also no significant relationship between market cap and predictability was observed.
{"title":"The adaptive market hypothesis and the return predictability in the cryptocurrency markets","authors":"J. Karasiński","doi":"10.18559/ebr.2023.1.4","DOIUrl":"https://doi.org/10.18559/ebr.2023.1.4","url":null,"abstract":"Abstract This study employs robust martingale difference hypothesis tests to examine return predictability in a broad sample of the 40 most capitalized cryptocurrency markets in the context of the adaptive market hypothesis. The tests were applied to daily returns using the rolling window method in the research period from May 1, 2013 to September 30, 2022. The results of this study suggest that the returns of the majority of the examined cryptocurrencies were unpredictable most of the time. However, a great part of them also suffered some short periods of weak-form inefficiency. The results obtained validate the adaptive market hypothesis. Additionally, this study allowed the observation of some differences in return predictability between the examined cryptocurrencies. Also some historical trends in weak-form efficiency were identified. The results suggest that the predictability of cryptocurrency returns might have decreased in recent years also no significant relationship between market cap and predictability was observed.","PeriodicalId":41557,"journal":{"name":"Economics and Business Review","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2023-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73475494","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract President Trump imposed tariffs in 2017 on several of China’s exports, notably steel. Many papers opposed these tariffs by using a common, invalid argument: rather than arguing these tariffs reduced U.S. welfare, they argue U.S. consumers and businesses pay the tariffs, a different, rhetorical issue. Their main evidence of harm is increases in imported goods’ after-tariff U.S. prices, especially relative to other goods’ U.S. prices. In a standard, small general equilibrium model (two countries, two goods, two factors), this price evidence is wholly ambiguous—it is even consistent with the view that Trump’s tariff was optimal, increasing U.S. welfare. Even sophisticated papers are similarly ambiguous. All fail because they neglect how government uses tariff revenue. Relying on fallacious arguments makes the free-trade position look weak and encourages protectionism.
{"title":"Tariffs and welfare: A common, invalid anti-tariff argument","authors":"R. Sweeney","doi":"10.18559/ebr.2023.1.1","DOIUrl":"https://doi.org/10.18559/ebr.2023.1.1","url":null,"abstract":"Abstract President Trump imposed tariffs in 2017 on several of China’s exports, notably steel. Many papers opposed these tariffs by using a common, invalid argument: rather than arguing these tariffs reduced U.S. welfare, they argue U.S. consumers and businesses pay the tariffs, a different, rhetorical issue. Their main evidence of harm is increases in imported goods’ after-tariff U.S. prices, especially relative to other goods’ U.S. prices. In a standard, small general equilibrium model (two countries, two goods, two factors), this price evidence is wholly ambiguous—it is even consistent with the view that Trump’s tariff was optimal, increasing U.S. welfare. Even sophisticated papers are similarly ambiguous. All fail because they neglect how government uses tariff revenue. Relying on fallacious arguments makes the free-trade position look weak and encourages protectionism.","PeriodicalId":41557,"journal":{"name":"Economics and Business Review","volume":null,"pages":null},"PeriodicalIF":0.7,"publicationDate":"2023-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75118133","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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