Contemporary Trends and Challenges in Finance: Proceedings from the 4th Wroclaw International Conference in Finance PDF
Preview Contemporary Trends and Challenges in Finance: Proceedings from the 4th Wroclaw International Conference in Finance
Springer Proceedings in Business and Economics Krzysztof Jajuga Hermann Locarek-Junge Lucjan T. Orłowski Karsten Staehr E ditors Contemporary Trends and Challenges in Finance Proceedings from the 4th Wroclaw International Conference in Finance Springer Proceedings in Business and Economics Moreinformationaboutthisseriesathttp://www.springer.com/series/11960 (cid:129) (cid:129) Krzysztof Jajuga Hermann Locarek-Junge ł (cid:129) Lucjan T. Or owski Karsten Staehr Editors Contemporary Trends and Challenges in Finance Proceedings from the 4th Wroclaw International Conference in Finance Editors KrzysztofJajuga HermannLocarek-Junge FinanceManagementInstitute FacultyofManagementandEconomics WroclawUniversityofEconomics DresdenUniversityofTechnology Wroclaw,Poland Dresden,Germany LucjanT.Orłowski KarstenStaehr JackWelchCollegeofBusiness DepartmentofEconomicsandFinance SacredHeartUniversity TallinnUniversityofTechnology Fairfield,CT,USA Tallinn,Estonia ISSN2198-7246 ISSN2198-7254 (electronic) SpringerProceedingsinBusinessandEconomics ISBN978-3-030-15580-3 ISBN978-3-030-15581-0 (eBook) https://doi.org/10.1007/978-3-030-15581-0 ©SpringerNatureSwitzerlandAG2019 Thisworkissubjecttocopyright.AllrightsarereservedbythePublisher,whetherthewholeorpartofthe materialisconcerned,specificallytherightsoftranslation,reprinting,reuseofillustrations,recitation, broadcasting,reproductiononmicrofilmsorinanyotherphysicalway,andtransmissionorinformation storageandretrieval,electronicadaptation,computersoftware,orbysimilarordissimilarmethodology nowknownorhereafterdeveloped. Theuseofgeneraldescriptivenames,registerednames,trademarks,servicemarks,etc.inthispublication doesnotimply,evenintheabsenceofaspecificstatement,thatsuchnamesareexemptfromtherelevant protectivelawsandregulationsandthereforefreeforgeneraluse. The publisher, the authors and the editors are safe to assume that the advice and information in this bookarebelievedtobetrueandaccurateatthedateofpublication.Neitherthepublishernortheauthorsor theeditorsgiveawarranty,expressorimplied,withrespecttothematerialcontainedhereinorforany errorsoromissionsthatmayhavebeenmade.Thepublisherremainsneutralwithregardtojurisdictional claimsinpublishedmapsandinstitutionalaffiliations. ThisSpringerimprintispublishedbytheregisteredcompanySpringerNatureSwitzerlandAG. Theregisteredcompanyaddressis:Gewerbestrasse11,6330Cham,Switzerland Preface This volume presents papers from the 4th Wrocław International Conference in FinanceheldattheWrocławUniversityofEconomicsonSeptember26–27,2018. Wehavesoughttoassembleasetofstudiesaddressingabroadspectrumofrecent trends and issues in finance, particularly those concerning markets and institutions inCentralandEasternEuropeancountries.Inthefinalselection,weaccepted19of thepapersthatwerepresentedattheconference.Eachofthesubmissionshasbeen reviewed by at least two anonymous referees, and the authors have subsequently revisedtheiroriginalmanuscriptsandincorporatedthecommentsandsuggestionsof the referees. The selection criteria focused on the contribution of the papers to the modernfinanceliteratureandtheuseofadvancedanalyticaltechniques. Thechaptersareorganizedalongthemajorfieldsandthemesinfinance:banking, commodity market, corporate finance, financial market, and some other areas of finance. Thesectiononbankingcontainsfourpapers.ThepaperbyEwaDziwokcompares the methods of fund transfer pricing reference yield estimation depending on the goodnessoffitmethodology.MartaKaraśandWitoldSzczepaniakprovideacom- parativeanalysisofsystemicliquidity,systemicfragility,andriskspill-over(conta- gion)basedonempiricaldataforPolandspanningfromtheyear2006to2016and proposeamethodofaggregatedmeasurementofsystemicrisk,usingtheconceptof Mahalanobisdistance.ThepaperbyMałgorzataOlszak,IwonaKowalska,andFilip Świtałaexaminestheimpactofbankcapitalratiosoncooperativebanks’lendingby comparingdifferencesinloangrowthtodifferencesincapitalratiosatsetsofbanks thatareclusteredbasedoncapitalratiosize.AgnieszkaWójcik-Mazurinherpaper identifiesthedependenciesbetweenbankliquidityriskandselectedgroupofinternal determinantsincludinglevelsofcreditrisk,capitalratio,andprofitability. The section on commodity market contains two papers. The paper by Marta ChylińskaappliesaVECMDCC-MGARCHonthedailysampleddataforthenickel 3-month and spot contracts traded on the London Metal Exchange in the period January2010–December 2017toshowthatthefuturesandspotexhibit acommon stochastictrend.BogdanWłodarczykandMarekSzturointheirpaperdeterminethe v vi Preface scale of the impact of the financial factors on commodity markets. On the basis of theconductedresearch,itwasfoundthatthepricesofarelativelysmallnumberof commoditiesareexclusivelyrelatedtothefactorrelatedtothestockmarket. The section on corporate finance contains four papers. Anna Białek-Jaworska, Dominika Gadowska-dos Santos, and Robert Faff build a framework for the study of the provision of loans by nonfinancial companies outside business groups. This frameworkaimstoshowtheroleofcashholdingsinprovidingloansbynonfinancial companies. The paper by Patrizia Gazzola, Valentina Beretta, and Piero Mella examinesthefinancialeffectsofthedepreciationproducedbytheexpansioneffect knownastheLohmann-Ruchtieffect.JuliaKoralun-Bereźnickainherpaperverifies whether and how the relation between profitability and corporate financing policy depends on the firm size and its industrial classification. There the relationship betweenreturnonequityandselectedmeasuresofcapitalstructureforPolishprivate firmsintheperiod2005–2015isexploredintwocrosssections:acrosssizegroups offirmsandacrossindustrialsections.ThepaperbyPawełMielcarz,OussamaBen Hmiden, and Dmytro Osiichuk examines the impact of corporate investment and financingpoliciesonoperatingperformanceundernegativedemand-drivenshocks. Thesectiononfinancialmarketcontainsfivepapers.ThepaperbyAgataGluzicka uses Rao’s quadratic entropy portfolios and the most diversified portfolios to the selected stocks from the Warsaw Stock Exchange. Lesław Markowski in his paper proposes the separate treatment of results received in periodsof positive and negativemarketexcessreturn.Theobtainedresultsunderlinethemeaningofanalysis of realized return toward the factor risk and confirm usefulness of beta coefficient as proper measures of risk. The paper by Joanna Olbryś explores market-wide commonality in liquidity on three emerging Central and Eastern European stock markets:Poland,Hungary,andtheCzechRepublic.AnnaRutkowska-Ziarko,Lesław Markowski,andChristopherPykeintheirpaperexaminewhetheraccountingbetas and downside accounting betas have an impact on the average rate of return in a capitalmarket.ThepaperbyArturA.TrzebińskiandEwaMajerowskaexaminesthe dependenceofinvestmentrisklevelonselectedfundamentalfeaturesoffunds.The analysiswascarriedouton136Polishequityfunds,duringtheyears2014–2017. Finally, there are four papers covering the other areas of finance. The paper by JoannaAdamska-Mieruszewska,UrszulaMrzygłód,andMarcinSkurczyńskiexam- inesthedriversoftheoverfundingsuccessstoriesforcrowdfundingprojectsbased on a unique dataset of 814 overfunded projects. Anna Jędrzychowska and Ilona Kwiecień in their paper try to create a model combining methods of life valuation forthepurposeofcorrectlymanagingtheriskofachild’sdeathinpersonalfinance. ThepaperbyPawełPrędkiewicz,AgnieszkaBem,PaulinaUcieklak-Jeż,andRafał Siedleckianalyzestherelationshipbetweenhealthcaresystemfinancingandhealth system efficiency. Anna Wojewnik-Filipkowska, Anna Zamojska, and Krzysztof Szczepaniak in their paper analyze the relationship between GDP (gross domestic product)andGERD(grossdomesticexpendituresonresearchanddevelopment)and betweenVAI(value-addedindustry)andGERD. Wewishtothanktheauthorsformakingtheirstudiesavailableforourvolume. Theirscholarlyeffortsandresearchinquiriesmadethisvolumepossible.Wearealso Preface vii indebted to the anonymous referees for providing insightful reviews with many usefulcommentsandsuggestions. Inspiteofourintentiontoaddressawiderangeofproblemspertainingtofinancial theory, there are issues that still need to be researched. We hope that the studies included in our volume will encourage further research and analyses in modern finance. Wroclaw,Poland KrzysztofJajuga Dresden,Germany HermannLocarek-Junge Fairfield,CT,USA LucjanT.Orłowski Tallinn,Estonia KarstenStaehr December22,2018 Contents PartI Banking TheRoleofaReferenceYieldFittingTechniqueintheFund TransferPricingMechanism. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 EwaDziwok TowardsaGeneralizedMeasureofSystemicRisk:Systemic TurbulenceMeasure. .. . . . . . . . . . . .. . . . . . . . . . .. . . . . . . . . . . .. . . 11 MartaKaraśandWitoldSzczepaniak DeterminantsofLoansGrowthinCooperativeBanksinPoland: DoesCapitalRatioMatter?. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25 MałgorzataOlszak,IwonaKowalska,andFilipŚwitała AnalysisofDeterminantsofLiquidityRiskinPolishBankingSector. . . 39 AgnieszkaWójcik-Mazur PartII CommodityMarket ThePost-CrisisInsightintoNickelPricingontheLondon MetalExchange. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 51 MartaChylińska ImpactofMacroeconomicandFinancialFactorsontheCommodity PriceIndexesintheContextofFinancialization. . . . . . . . . . . . . . . . . . . 59 BogdanWłodarczykandMarekSzturo PartIII CorporateFinance ConceptualFrameworkforLendingMoneyOutsideBusiness Groups:EvidencefromPoland.. . . . . . . .. . . . . . .. . . . . . . .. . . . . . .. 71 AnnaBiałek-Jaworska,DominikaGadowska-dosSantos,andRobertFaff ix x Contents TheLohmann-RuchtiEffectintheDevelopmentofCorporateCapital. . 81 PatriziaGazzola,ValentinaBeretta,andPieroMella ReconsideringtheProfitability–CapitalStructureRelation: FindingsfromPoland. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 91 JuliaKoralun-Bereźnicka PresagingaDéjàVu...TheImpactofLeverageandInvestment onOperatingPerformanceUnderNegativeDemand-DrivenShocks. . . 101 PawełMielcarz,OussamaBenHmiden,andDmytroOsiichuk PartIV FinancialMarket TheApplicationofTwo-StageDiversificationtoPortfolios fromtheWSE. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115 AgataGluzicka VerificationoftheConditionalCAPM:TheExampleofthePolish CapitalMarket. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 127 LesławMarkowski Market-WideCommonalityinLiquidityontheCEE-3Emerging StockMarkets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 137 JoannaOlbryś AccountingBetaintheExtendedVersionofCAPM. . . . . . . . . . . . . . . . 147 AnnaRutkowska-Ziarko,LesławMarkowski,andChristopherPyke TheImpactofFundamentalInvestmentFundFeatures ontheLevelofRisk. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 157 ArturA.TrzebińskiandEwaMajerowska PartV OtherAreasofFinance UnderstandingtheOverfundinginCrowdfinancing: TheElementsofAttractiveness. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167 JoannaAdamska-Mieruszewska,UrszulaMrzygłód, andMarcinSkurczyński ValuationofHouseholdLossesinChild’sDeathCasesforInsurance Purposes. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 175 AnnaJędrzychowskaandIlonaKwiecień PublicorPrivate?WhichSourceofFinancingHelpstoAchieve HigherHealthSystemEfficiency?. . . . . . . . . . . . . . . . . . . . . . . . .. . . . . 191 PawełPrędkiewicz,AgnieszkaBem,PaulinaUcieklak-Jeż, andRafałSiedlecki InnovationSysteminaGlobalContext:APanelApproach. . . . . . . . . . 201 AnnaWojewnik-Filipkowska,AnnaZamojska,andKrzysztofSzczepaniak
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