Fulltextové hledání

The study attempts to assess the effects of lifting short sale restrictions on the Warsaw Stock Exchange in terms of futures pricing efficiency. The approach implemented in the article involves evaluation and comparison of the mispricing series of the WIG20 index futures listed on the WSE, in a one-year time span before and after the regulatory change introduced in 2010. The results show that lifting short sale constraints has increased the efficiency of the Polish futures market. There was a decline both in the number of mispricing occurrences, and in the mean level and dispersion of deviations from the fair values, especially with regard to underpriced contracts series. The study reveals that, in contrast to the pre-event period, after the regulatory change the arbitrage opportunities were virtually absent for investors bearing the highest transaction costs.

By increasing inventories, retailers attempt to raise service levels, and thus increase sale. However, in addition to a positive impact on product availability and sale, higher inventory levels may cause problems in performing in-store activities. As poor backroom-to-shelf replenishment process emerges as one of the most common causes of stock-out situations, this article compares store and on-shelf FMCG product availability at SKU level in different stores of a single retailer. In relation to this, besides direct, we have also investigated the indirect effect of inventory level on sale, by using store and shelf out-of-stocks as mediators. The results of the research showing much higher level of shelf- compared to store stock-out rate confirmed the existence of the problem in the realization of internal product flows within retail stores. However, despite the occurrence of this problem, besides direct positive effect of inventory level on sale, its indirect effect was positive as well. Therefore, these results were analysed in the context of other similar studies. In addition to empirical research, the article also discusses certain implications of more efficient organisation of in-store activities.

This study examines the role of age in the selection and promotion of employees within public and private organizations, with a particular focus on Czech organizations. The research investigates the impact of age on career advancement across various industries and regions, aiming to provide insights into potential age-related biases in the workplace. The study utilizes a mixed-methods approach, combining quantitative analysis of promotion rates with qualitative insights from organizational representatives. Despite the intriguing nature of the topic, the study faces several challenges, including a relatively low number of respondents and limited data availability. Nevertheless, the findings shed light on the complexities of age-related dynamics in the workplace, highlighting the need for further research and potential interventions to promote equity and fairness in career advancement processes.

The study examines the deferred tax in the valuation and acquisition of real estate companies, the behavior of the buyers and sellers in real estate transactions and the impact on the purchase price. We analyze the data from the Czech Republic commercial real estate market in the period of 2018-2019 where taxation provisions for Asset and Share Deal transactions induce a special type of a deferred tax - a latent capital gains tax (LCGT). Based on the data of 25 Share Deal real estate transactions we bring evidence that the LCGT was reflected in the purchase price by 0-50%, median value being 0%. We document that this market-imported percentage can be explained in two complementary ways. Firstly, using the capitalization approach, and secondly, using the behavioral approach by the bargaining power of the seller. Moreover, we show that the LCGT percentage reflected in the purchase price is dependent only on the discount rate and tax amortization period.

When there is bad news hoarding from managers, returns of stocks are no longer efficient. We hypothesize that a proxy for efficient returns predicts stock price bubbles, crashes and crash risk. We find evidence in support of our hypotheses. Lagged price efficiency significantly predicts bubbles, crashes and crash risk in multivariate linear regressions and logit regressions, as predicted by our hypotheses. We also find that the lagged probability of bubbles is only correlated with future returns. In contrast, the lagged probability of crashes is correlated with both future returns and fundamental values of stocks. This result validates our explanation for the formation of bubbles and crashes. Finally, the out-of-sample accuracy ratio of our bubble and the crash prediction model is higher than in previous studies. Our results provide alternative explanations of the mechanics of stock price bubbles and crashes and are helpful for academicians, investors and policymakers.

The aim of the paper is to analyse the association between the use of accrual-based and real earnings management practices before the company goes public and the decision of institutional investors on buying or refraining from buying shares offered in initial public offering (IPO). The sample consists of 258 Polish new stock companies over the period 2005-2020. We find that such companies refrain from massive earnings management in the pre-IPO period: both real and accrual-based. However, we find evidence that the presence of institutional investors in the IPO is related to earnings inflation (selling, general and administrative expenses). Our study contributes to the debate on the role of institutional ownership in the IPO process in Central and Eastern Europe.

The active participation of the central bank in exchange rate management has accelerated the growth of foreign exchange reserve in India. The massive reserve stockpiling has substantially contributed to apprehensions about excess liquidity in the domestic economy. The extent to which these concerns are justified depends on the degree to which the central bank is able to mitigate its effects on monetary aggregates. This study is an attempt to assess the magnitude of the sterilization coefficient by using quarterly data from 1996 to 2019. In order to estimate sterilization and offset coefficients, the study employed the two-stage least squares (2SLS) method under the theoretical framework of simultaneous equation modelling. The findings show that the reserve accumulation through central bank interventions puts pressure on money supply. However, the RBI sterilization policy was effective as the central bank was able to sterilize 93 percent of its interventions, while the offset coefficient was 72 percent during the period of study. The low value of the offset coefficient compared to the sterilization coefficient indicates a high degree of monetary policy independence in neutralizing the central bank's purchase interventions. Based on the findings, it can be recommended that policymakers should consider the sustainability of interventions and sterilization operations as the dual policy objectives of independent exchange rate management and monetary policy cannot be achieved in the presence of a high interest rate in an inflation-targeting regime.

Multinational enterprises apply aggressive tax planning (ATP) to optimize global tax liability usually by combining parameters of different tax systems in both national jurisdictions and double tax treaties. At a macroeconomic level, the implementation of various optimization schemes affects the given values of the balance of payments. By conducting econometric analysis, the present paper examines the extent to which selected optimization schemes can be traced in the Czech Republic's balance of payments. The results show that payments for counselling services and royalties flow mostly to locations with low corporate tax rates, which may suggest an attempt to shift the tax base. Moreover, dividend and interest yields tend to move to countries with high foreign direct investments (FDIs) and balanced ratios between FDIs received and made, indicating that they are only conduit (transit) countries through which profits are transferred to another destination.

Although the use of residential real estate macroprudential tools has become common in recent years, rigorous approaches to their calibration have been relatively scarce. The goal of this paper is to present an approach to (i) evaluating direct risks to financial stability related to residential real estate exposures, and to (ii) calibrating borrower-based macroprudential measures. First we present a macroprudential indicator of potential losses related to the provision of new mortgage loans. Then we show how to determine risky values of the loan-to-value, loan-to-income and loan service-to-income ratios by per-forming stress tests on the individual new mortgage loans. Finally, we demonstrate the applicability of this approach on the case of the Czech Republic. We conclude by show-ing that simultaneous adoption of several macroprudential measures may enhance their efficiency without imposing higher restrictions on the mortgage market.

Equity release contracts allow property owners to receive a financial benefit in exchange for surrendering their real estate to a company. The benefits depend on the life expectancy of owners, the real value of properties, and the rate of interest. These parameters are not the same throughout the years. The aim of the paper is to analyse varying payments of equity release contracts which have already been offered to customers for several years in Poland. A recalculation procedure year by year is proposed applying the actuarial and financial methods. This paper estimates the potential advantages of reverse annuity and reverse mortgage contracts in a changing economic environment. The calculations were made based on actual Polish market data, including the Svensson model of spot interest rate. It is shown that there is considerable scope for increasing retirement income; however, the exact amounts may be unknown. The advantages for customers resulting from changes in parameters and valorization are shown, as well as the risk associated with equity release.

 The aim of this study is to provide an overview of the principles of IFRS 9 implementation and to analyse its impact on the Czech banking sector. Unlike the previous IAS 39 standard, valid until the end of 2017, the new accounting rules require banks to estimate forward-looking expected credit losses (ECL) while considering relevant exposure level information as well as available macroeconomic predictions. Due to the increased complexity of the ECL models and changing macroeconomic expectations, we hypothesize that the new standard leads to increased volatility of loan loss allowances. This hypothesis is empirically tested and more or less confirmed by an analysis of the quarterly flows of allowances for a sample of large Czech banks from the years 2016-2017 under IAS 39 and from 2018-2019 under IFRS 9.

We model the future tobacco consumption, size of smoking population and governmental tax revenues in the Czech Republic. The main model assumption states that smokers determine their future tobacco consumption behaviour as adolescents. Further assumptions make the model applicable to the data from the Czech National Monitoring Centre for Drugs and Drug Addiction. Future teenage smoking rates and average consumption are the inputs to the model; consumption growth coefficients for each age category are estimated using zero-inflated negative binomial regression. Several scenarios are built to model possible developments, including extreme cases. All our scenarios show that all model outcomes are going to grow until 2028 in a very similar pattern. In particular, the projected number of smokers in 2028 is by 4-8% higher than in 2013, the total daily tobacco consumption and tax revenue by 7-26%. This increase is induced by aging of large birth cohorts.

We model the probabilistic structure and cash flows arising from marriage reverse annuity contracts in the case of the joint-life status and the last surviving status. In contrast to the classical approach, we take into consideration that future lifetimes between spouses are dependent. The structure of dependence of the length of spouses' lives is modelled using copulas. The term structure of interest rate is modelled using a time-dependent function. The numerical results are based on actual Polish data covering both the structure of the probabilistic model and the interest rate.

An ageing European population and, therefore, a rising dependency ratio of retirees to the working population, strongly suggests that a pension funding gap will be a key social issue in future. Yet many older people have significant real estate assets that they could access using equity release products. They could sell their assets in exchange for lifelong or temporary monthly payments. Equity release products are relatively new to Poland, but are not yet offered by commercial banks in Czechia and Slovakia. This paper estimates the potential benefits of marriage reverse annuity, and reverse mortgage contracts, using the Svensson model function, and empirical property data from selected Czech, Slovak and Polish cities. The results are also compared to the average pension of inhabitants in the selected cities. It is shown that there is substantial scope for boosting retirement income in all the cases considered, though the precise size of the increase depends on factors such as contract buyers' age and life expectancy, the value of their assets, the payment consequences of a spouse's death, and contract suppliers' pricing policies.

We present a macro stress-testing model for banks' market and funding liquidity risks with a survival period of one year. The model follows the main principles of the Basel standards LCR and NSFR. Besides, the model takes into account the impact of both bank-specific and market-wide scenarios and includes second- round effects of shocks due to banks' feedback reactions. The presented methodology is then applied to a sample of Czech banks. This allows us to monitor the sensitivity of their liquidity position to the combination of shocks under consideration.

This paper establishes a two-stage Hotelling model to identify the implications of the upgrades of durable goods produced by a spatial monopoly. The major findings indicate that, due to the positive effects on profits of the upgrading of products, the monopoly has the motivation to launch upgraded versions with high quality instead of solely producing products with low quality. The monopoly, meanwhile, would not make a commitment to either the high-quality products or the low-quality ones. In addition, the price of the low-quality products decreases as upgraded ones appear on the market in a second stage, since no consumers would store the low-quality products for future consumption.

This study examines the role of firm-specific, macroeconomic, banking and financial environment factors in determining whether they were able to access external finance during the global financial crisis. Heckman's selection approach is used to model the demand and supply of credit in the euro area during and after the financial crisis period. We conclude that since 2011, when the rejection probabilities for external credit applications peaked, the chances of obtaining credit have improved. However, young and small firms are still more likely to have their credit applications rejected. A decrease in government support such as guarantees increases the probability of rejec-tion, as does a reduction in firms' own capital and a worsening credit history. Among the bank-specific factors, an increase in banks' equity capitalization reduces the rejection probability, while an increase in the cost of borrowed funds and a decrease in the competition levels raise the rejection probability. The legal structure to deal with insolvency disputes and the development of the credit information market have a significant bearing on credit availability, as we find that an increase in the time to resolve insolvencies and a reduction in adverse selection problems by credit information sharing increase the credit rejection probabilities.

This paper provides a general equilibrium theoretical model of alcohol taxation and empirically estimates the model. For this purpose, we use a model determined by both externality corrections and fiscal considerations as the tax increase is assumed to immediately change other governmental policies such as labour taxation or medical expenditures. The results of our analysis show that under most parametric scenarios, the current Czech tax rate on beer and wine is below its optimal level and that the fiscal component has a significant impact on the optimal level of tax.

I take a Bayesian approach to estimate and forecast the effects of fiscal stimulus in various versions of the model by Smets and Wouters (2007) for the US economy. Specifically, I proxy various simpler DSGE sub-models by imposing a tight prior on a single parameter or a combination of tight priors on multiple parameters in the Smets-Wouters model. I find that the present-value government spending multipliers obtained are all in a reasonable range. Moreover, I forecast the effect of fiscal stimulus in a scenario similar to the 2008/2009 recession in the US, where the public expects a large and temporary increase in government spending to stimulate a fragile economy. The forecasts, generated individually by a group of representative models, are weighted averaging by means of the posterior model probabilities that are computed on the basis of their corresponding marginal data densities. According to the Diebold-Mariano test, I find that the forecast error of the combination forecast, computed via Bayesian model averaging (BMA), is statistically larger than the individual forecast, obtained only from the one that has the best fit among those DSGE models.

This study investigates whether firm size moderates the relationship between cash conversion cycle and profitability over 8-year period for 285 German non-financial firms. The moderated regression results reveal that the relationship between cash conversion cycle and profitability is moderated by firm size. As the firm size gets smaller and the cash conversion cycle gets longer, the returns on assets decreases. When the firm size gets bigger and the cash conversion cycle gets longer, on the other hand, the returns on assets increases. In this context, reducing the length of cash conversion cycle has a positive impact on profitability for only small and medium-sized firms. Accordingly, this study concludes that small and also medium-sized firms, contrary to big firms, should reduce the length of cash conversion cycle in order to increase profitability.

This paper analyses the monopolist's production and pricing decisions on two vertically diffe-rentiated versions of a product in the presence of network externality. We show that offering only the higher-quality version of the product is the optimal strategy when negative externality exists and the utility from joint purchase is not large. If both versions are provided, the monopolist will charge a monopoly price for each version to induce separate purchases if these two versions are too close substitutes. Moreover, in the equilibrium with joint purchases, with an increase in externality or the utility from a joint purchase, the prices of both versions increase. In addition, with an in-crease in network externality, the equilibrium region for separate purchases first increases and then decreases.

The article shows properties of risk-based portfolios in the German stock market. Those systematic strategies use different approaches to weight stocks in portfolios. We present theoretical and empirical characteristics of five risk-based equity investments: the equal-weighted, minimum variance, maximum diversification and risk parity (equal risk budgeting and equal risk contribution) portfolios. Risk-based portfolios outperformed the market-cap weighted CDAX index with a lower level of risk in the period 2002–2015. Their excess returns relative to the CDAX index can be explained with Scherer’s five-factor model; with Fama-French and low-risk anomaly factors. R2s of different strategies range from 77% to 92%.

This study examines the influence of financial distress on top management turnover in the Republic of Serbia over the period January 2009-June 2015. Using a sample of 86 large and medium-sized privately owned companies that adopted a reorganisation plan in bankruptcy, we found out that top management was changed in 33 companies. A logistic regression provides evidence that probability of top management turnover is significantly correlated with the company's size (positive correlation) and the ownership concentration (negative correlation). The influence of the company's financial performance, applied bankruptcy proceedings and debt monitoring of top management turnover was deemed to be statistically insignificant (at 5% and 10% significance level). Obtained results provide the proof that corporate governance mechanisms in distressed Serbian companies are not efficient.

Using data from European Union Statistics on Income and Living Conditions, the study examines the causes of variation in the unexplained gender pay gap among 25 European countries and considers the effect of the legal environment on these. We employ the Oaxaca-Blinder decomposition to estimate the unexplained part of the gender pay gap. To assess the impact of the rule of law on unexplained gender wage differences, we apply a linear regression model, where the estimated unexplained gender pay gap is used as a dependent variable and selected rule of law indicators (specifically the Worldwide Governance Indicators Rule of Law and the Legal System & Property Rights Index) as explanatory variables. Controlling for other institutions affecting gender wage differences (specifically labour market regulation, work-family reconciliation policy and male wage dispersion), we suggest that differences in the quality of legislation and law enforcement across European countries may partly account for the variation in the unexplained gender pay gap. A very progressive improvement in rule of law indices (from the worst to the best among the 25 European countries examined) leads to a decrease in the unexplained gender pay gap by 4.5-5 percentage points.

The text demonstrates out-of-sample performances of minimum variance portfolios in the German stock market in the period 2002-2015. Because of two huge drawdowns on equity markets in the period 2000-2010, scholars and professionals have tried to find an alternative to the market-cap weighted investing; potentially the minimum variance investing approach. The paper presents the construction of minimum variance portfolios, the description of their compositions and empirical risk-return characteristics under various holding periods. As anticipated, minimum variance portfolios have lower risk vis-à-vis the CDAX index, but they have also higher returns. Finally, minimum variance portfolios have better risk-adjusted performance figures in comparison with equal-weighted alternatives.

The paper analyses the evolution of the retail network of the capital city of Slovakia Bratislava affecting buying behaviour and lifestyle of its consumers. From the marketing point of view, it characterizes the space behaviour of the consumers and presents the behaviour of consumers living in single districts of Bratislava. It shows, on the one hand, how the importance of consumer behaviour rises in the declining economic prosperity during last years, while on the other hand, the concentration in retail declines the chances for success of small independent food retail stores during last recent years. The authors used different methods, e.g. GIS, cluster analysis, for testing they asses the significance of market segments on the sample involving 11,389 respondents interviewed.

This paper attempts to develop a theoretical framework that builds on heterogeneous beliefs to explain the financial anomalies related to IPO stocks. In particular, we develop a dynamic analysis framework to study the valuation of IPO price and the short-term probability of falling below IPO price based on perspectives of investors' heterogeneous priors and gradual information flow. Our study shows that the valuation of IPO price increases as the degree of heterogeneity due to investors' heterogeneous priors increases. Moreover, the short-term probability of falling below IPO price increases as the degree of investors' cognitive biases caused by gradual information flow increases.

I document a new channel that can be used by managers who can take advantage of investors preference for logo colours to influence their perception of the financial reports and thus indirectly affect firm value. Evidence suggests that firms having warm colours as a major logo colour, fewer colours used in the logo, and recognizable elements in the logo are associated with lower earnings management and higher firm value. My findings remain stable across different robustness checks.

The study analyses expenditures of all municipalities of the Czech Republic over the period 2003-2013. It aims to examine whether changes in municipal spending get affected by the electoral cycle. The analysis has proven that expenditures of municipalities of the Czech Republic are influenced by the political cycle. However, the political business cycle has at the level of municipalities (compared to the macroeconomic level) its peculiarities. These arise mainly from limited options of municipal politicians to use economic instruments to win electoral votes in elections. To receive electoral votes, municipal politicians use mainly public investments and projects that are at the level of municipalities so apparent that they may influence voters in their electoral decision-making. Prior to elections, expenditures on investments significantly increase for all municipal size groups. For municipal size groups of over 50,000 residents, however, they are (per capita) higher compared to smaller municipal size groups. This may be explained by the fact that these municipalities have higher disposable resources (higher per capita own budgetary revenues, higher potential to acquire resources to co-finance municipal projects and broader portfolio of debt financing). Expenditures on transfers do not significantly change prior to municipal elections. We interpret this finding in a way that politicians prefer such investment projects that are ""visible"". Transfers are used to pay for certain current expenses for which municipalities may (in accordance with the established rules) apply through grants.