دانلود کتاب Contemporary Trends and Challenges in Finance: Proceedings from the 5th Wroclaw International Conference in Finance

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Preface
Contents
About the Editors
Financial Markets
The Rhythm of the Night: Some Anomalies in Open and Close Prices of Polish and German Blue-Chip Stocks
1 Introduction
2 Methods
2.1 Simple Returns and Log Returns
2.2 OHLC Records and Day- and Night-Returns
2.3 Volatility Estimates
2.4 Bid-Ask Spreads
2.5 Data
2.6 Portfolio Construction
3 Results
4 Conclusions
Appendix
References
The Effect of the Day and the Risk Diversification on the WSE
1 Introduction
2 The Models of Well-Diversified Portfolios
3 The Effect of the Day and the Risk Diversification in 2010–2018 on the WSE
4 Summary
References
Volatility and Liquidity in Cryptocurrency Markets—The Causality Approach
1 Introduction
2 Methods
3 Data Source and Sample Preparation
4 Empirical Results
5 Conclusion and Discussion
Appendix
References
Identification of the Factors Affecting the Return Rates of the Banks Listed on the Warsaw Stock Exchange
1 Introduction
2 Theoretical Framework
3 Data and Methodology
4 Results
5 Conclusions
References
Conventional and Downside Betas and Higher Co-moments in the Asset Pricing Relations
1 Introduction
2 Methodology
2.1 Risk Measures
2.2 Modifications of CAPM. Unconditional Relationships in Conventional and Downside Approaches
2.3 Modifications of CAPM. Relationships in Different Market Conditions
3 Data
4 Results
5 Conclusions
References
The Accuracy of Trade Classification Rules for the Selected CEE Stock Exchanges
1 Introduction
2 Literature Review
3 Data
4 Empirical Results
5 Conclusions
References
Profitability Ratios in Risk Analysis
1 Introduction
2 Downside Beats, Downside Accounting Betas and Semi-variance
3 Data
4 Empirical Results
5 Conclusions
References
Impact of Commodity Market Risk on Listed Companies
1 Introduction
2 The Scope of Research and Research Methods
3 The Results of the Warsaw Stock Exchange Study
4 The Results of the Italian Stock Exchange-Borsa Italiana Study
5 Conclusion
References
Corporate Finance
The Double Relationship Between Risk Management and CSR in the Italian Healthcare Sector: The Case of the Lombard “Health Protection Agencies” (ATS)
1 Introduction
2 Risk, Risk Management and the Healthcare Sector
3 CSR and RM: Is There a Link?
4 Results and Discussion
5 Conclusions
References
Are Corporate Financing Policies Different in Old and New EU Member States?
1 Introduction
2 Literature Review
3 Data and Methodology
4 Results
5 Conclusions
References
Board Characteristics and Performance of East Africa Companies
1 Introduction
2 Literature Review
2.1 Board Size
2.2 The Proportion of Independent Directors
2.3 Separation of Chairman and CEO Positions
2.4 Proportion of Women
2.5 The Proportion of Foreign Board Members
3 Methodology
3.1 Data
3.2 Methodology
4 Findings and Discussions
4.1 Descriptive Statistics
4.2 Discussion
5 Conclusion
References
Quantitative Methods in Finance
Different Approaches to the Reference Yield Curve Construction—And Their Application into Fund Transfer Pricing Mechanism
1 Introduction
2 An Impact of a Yield Curve Construction on FTP Process
2.1 Parsimonious Models
2.2 Smith-Wilson Model
3 Data and Results
3.1 Parametric Model
3.2 Smith-Wilson Model
4 Summary
References
Geometric Distribution as Means of Increasing Power in Backtesting VaR
1 Introduction
2 Geometric Distribution Based Methods of Testing VaR
3 Finite Sample Properties
4 Summary and Conclusion
References
Price Clustering in Stocks from the WIG 20 Index
1 Introduction
2 Data and Methodology
3 Empirical Results
4 Conclusion
References
Construction of Investment Strategies for WIG20, DAX and Stoxx600 with Random Forest Algorithm
1 Introduction
2 Investment Strategy and Random Forest
3 Data Preparation
4 Training the Algorithm
5 Results and Conclusions
Appendix
References
Application of the SAW Method in Credit Risk Assessment
1 Introduction
2 Credit Risk Assessment Methods—Overview
3 Oriented Fuzzy Numbers—Basic Facts
4 Linguistic Approach—Order Scales
5 Simple Additive Weighting Method—Overview
6 Numerical Example—Case Study
7 Conclusions
References
Financial Institutions
Cost-Management Strategies Applied by Insurance Companies in Poland in the Years 2016–2018; Empirical Research
1 Introduction
2 Cost Strategies Implementable by Insurance Companies
3 Research Findings Concerning Cost Strategies Applied in Insurance Companies Poland in the 2016–2018
4 Summary and Conclusions
References
Dividends of Life Insurance Companies and the Solvency Capital Requirements
1 Introduction
2 Dividends Payments of Life Insurers
3 Research Design
4 Conclusions
References
Fragility or Contagion? Properties of Systemic Risk in the Selected Countries of Central and East-Central Europe
1 Introduction
2 Financial System and Systemic Risk—Definitions
3 Selected Risk Measures and the Estimation Methods
3.1 Fragility Measure—SRISK
3.2 Risk Spill Over Measure—Delta CoVaR
3.3 Estimation
4 Empirical Results and Short Discussion
5 Conclusions
Appendix: Descriptive Statistics
References