: Krzysztof Jajuga, Hermann Locarek-Junge, Lucjan T. Orlowski, Karsten Staehr
: Contemporary Trends and Challenges in Finance Proceedings from the 5th Wroclaw International Conference in Finance
: Springer-Verlag
: 9783030430788
: 1
: CHF 86.00
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: Einzelne Wirtschaftszweige, Branchen
: English
: 246
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This volume features a selection of contributions presented at the 2019 Wroclaw Conference in Finance, covering a wide range of topics in finance and financial economics, e.g. financial markets; monetary policy; corporate, personal and public finance; and risk management and insurance. Reflecting the diversity and richness of research in the field, the papers discuss both fundamental and applied finance, and offer a detailed analysis of current financial-market problems, including specifics of the Polish and Central European markets. They also examine the results of advanced financial modeling. Accordingly, the proceedings offer a valuable resource for researchers at universities and policy institutions, as well as graduate students and practitioners in economics and finance at both private and government organizations.

Krzysztof Jajugais a Professor and chair of the Department of Financial Investments and Risk Management at Wroclaw University of Economics, Poland. He obtained his doctoral degree in Economics from the same university in 1982. At the beginning of his scientific career he received a Fulbright grant to study at Stanford University's Department of Statistics. He has since been a Visiting Professor at various universities in the USA, as well as in Europe and China. His main research interests are financial econometrics, capital markets and risk analysis and management. He is also President of the CFA Society Poland. 
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He mann Locarek-Jungehas been a Professor of Finance and Financial Services at the TU Dresden since 1995. He completed his PhD at the University of Augsburg, Germany in 1987. He also studied business informatics and was appointed a Professor in that field at Essen University, Germany, in 1991. Since then, he has been a Visiting Professor and Research Fellow at various international institutions and universities. Throughout his career, he has undertaken research work for several banks and organizations, including the Deutsche Bank, Dresdner Bank, Sparkasse Dresden, Union Investment, and the German National Research Foundation (DFG). 
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Luc an T. Or?owskiis a Professor of Economics and Finance and a Director of the Doctor of Business Administration in Finance Program at Sacred Heart University, USA. His research interests include monetary economics, financial markets and institutions, and financial stability. He has authored numerous books, chapters in edited volumes and articles in scholarly journals.  He has been visiting professor and research fellow at many prominent international institutions and universities and served in an advisory role for many governments and financial institutions including Polish Ministry of Finance and National Bank of Poland. He has worked with the European Commission Economic and Finance Committee on the post-crisis policy responses to extreme risks in financial markets. He is collaborating with Chicago Mercantile Exchange Group on analyzing the volatility of financial futures and its impact on real economy.  He is a Doctor Honoris Causa recipient from Wroc?aw University of Economics. 
  
Karsten Staehris a Professor of Economics at Tallinn University of Technology, Estonia and also a research supervisor at the Bank of Estonia. He holds a master's degree from the Massachusetts Institute of Technology and master's and PhD degrees from the University of Copenhagen, Denmark. His main research interests are macroeconomics, international finance, public economics and transition studies. He is an associate editor of the Baltic Journal of Economics and serves on the editorial board of Post-Communist Economies and Economic Systems. 
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Preface6
Contents8
About the Editors10
Financial Markets11
The Rhythm of the Night: Some Anomalies in Open and Close Prices of Polish and German Blue-Chip Stocks12
1 Introduction12
2 Methods13
2.1 Simple Returns and Log Returns13
2.2 OHLC Records and Day- and Night-Returns15
2.3 Volatility Estimates16
2.4 Bid-Ask Spreads18
2.5 Data20
2.6 Portfolio Construction21
3 Results21
4 Conclusions24
Appendix25
References28
The Effect of the Day and the Risk Diversification on the WSE30
1 Introduction30
2 The Models of Well-Diversified Portfolios31
3 The Effect of the Day and the Risk Diversification in 2010–2018 on the WSE33
4 Summary37
References37
Volatility and Liquidity in Cryptocurrency Markets—The Causality Approach39
1 Introduction39
2 Methods41
3 Data Source and Sample Preparation43
4 Empirical Results43
5 Conclusion and Discussion46
Appendix48
References50
Identification of the Factors Affecting the Return Rates of the Banks Listed on the Warsaw Stock Exchange52
1 Introduction52
2 Theoretical Framework53
3 Data and Methodology55
4 Results57
5 Conclusions60
References60
Conventional and Downside Betas and Higher Co-moments in the Asset Pricing Relations62
1 Introduction62
2 Methodology64
2.1 Risk Measures64
2.2 Modifications of CAPM. Unconditional Relationships in Conventional and Downside Approaches65
2.3 Modifications of CAPM. Relationships in Different Market Conditions67
3 Data67
4 Results68
5 Conclusions70
References70
The Accuracy of Trade Classification Rules for the Selected CEE Stock Exchanges72
1 Introduction72
2 Literature Review74
3 Data75
4 Empirical Results76
5 Conclusions81
References81
Profitability Ratios in Risk Analysis83
1 Introduction83
2 Downside Beats, Downside Accounting Betas and Semi-variance84
3 Data87
4 Empirical Results88
5 Conclusions92
References93
Impact of Commodity Market Risk on Listed Companies95
1 Introduction96
2 The Scope of Research and Research Methods98
3 The Results of the Warsaw Stock Exchange Study99
4 The Results of the Italian Stock Exchange-Borsa Italiana Study101
5 Conclusion103
References103
Corporate Finance105
The Double Relationship Between Risk Management and CSR in the Italian Healthcare Sector: The Case of the Lombard “Health Protection Agencies” (ATS)106
1 Introduction106
2 Risk, Risk Management and the Healthcare Sector108
3 CSR and RM: Is There a Link?109
4 Results and Discussion110
5 Conclusions113
References114
Are Corporate Financing Policies Different in Old and New EU Member States?117
1 Introduction117
2 Literature Review118
3 Data and Methodology119
4 Results121
5 Conclusions124
References126
Board Characteristics and Performance of East Africa Companies128
1 Introduction128
2 Literature Review131
2.1 Board Size131
2.2 The Proportion of Independent Directors132
2.3 Separation of Chairman and CEO Positions133
2.4 Proportion of Women134
2.5 The Proportion of Foreign Board Members136
3 Methodology137
3.1 Data137
3.2 Methodology137
4 Findings and Discussions138
4.1 Descriptive Statistics138
4.2 Discussion142
5 Conclusion143
References143
Quantitative Methods in Finance150
Different Approaches to the Reference Yield Curve Construction—And Their Application into Fund Transfer Pricing Mechanism151
1 Introduction151
2 An Impact of a Yield Curve Construction on FTP Process152
2.1 Parsimonious Models153