Should We Rely on Forecasts of Prices or Returns? The Short Term Approach

• Autorzy: Ewa Majerowska

Warianty tytułu

Czy można polegać na prognozach cen lub stóp zwrotu? Podejście krótkookresowe

• Języki publikacji: EN

Abstrakty

Inwestorzy podejmują decyzje na podstawie informacji pochodzących z rynku. Głównymi cechami aktywów, branymi przez nich pod uwagę, są ceny i ryzyko inwestycji. W oparciu o ceny obliczane są stopy zwrotu. Przyszłe ruchy cen można przewidywać z pomocą narzędzi analizy technicznej. Do modelowania stóp zwrotu wykorzystuje się głównie modele wyceny aktywów kapitałowych. Celem niniejszej pracy jest ocena zastosowania obu podejść: modelowania ekonometrycznego stóp zwrotu aktywów i analizy cen aktywów oraz sprawdzenie skuteczności obu podejść do prognozowania. Analiza empiryczna obejmuje dzienne notowania akcji dziesięciu spółek sektora spożywczego, notownych na Giełdzie Papierów Wartościowych w Warszawie. Dokonano porównania tradycyjnego podejścia do wyceny aktywów za pomocą modelu CAPM z modelem uwzględniającym zmienność wariancji GARCH(1,1). Narzędziem analizy technicznej do modelowania cen jest trzyokresowa średnia ruchoma. Wyniki wskazują na przewagę modelowania stóp zwrotu w kontekście prognozowania nad narzędziem analizy technicznej. Nie pozwalają jednak na wskazanie przewagi uwzględnienia zmienności wariancji w przypadku prognozowania krótkookresowego(abstrakt oryginalny)

EN

Investors make their decisions on the basis of the information coming from the market. The main features of assets are prices and investment risk. The rates of return are calculated based on the prices. For modelling the returns, capital asset pricing models can be applied; for the prices, methods of technical analysis could be taken into account. The purpose of this paper is to evaluate both approaches. First - financial modelling of the assets' returns, and the second - the analysis of the assets' prices. In order to verify the effectiveness of the forecasting processes, forecasts and ex-post type forecasting errors were calculated. The empirical analysis is based on the stock prices of ten food companies traded on the Warsaw Stock Exchange. The traditional CAPM and the extension of the CAPM by the GARCH(1,1) process are in use. As the technical analysis tool for price modelling, three period moving averages are calculated. The obtained results allow indicating the superiority of modelling the returns, in terms of short-term forecasting. Unfortunately, the hypothesis about the advantage of the application of GARCH for modelling, and then for forecasting, must be rejected(original abstract)

Słowa kluczowe

PL

Kalkulacja stopy zwrotu; Prognozy gospodarcze; Rynek; Analiza techniczna

EN

Rate of return calculation; Economic forecast; Market; Technical analysis

• Czasopismo: Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
• Rocznik: 2017
• Numer: nr 482 Wrocław Conference in Finance: Contemporary Trends and Challenges
• Strony: 187-200

Twórcy

autor

Ewa Majerowska

• University of Gdansk, Poland

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Identyfikatory

DOI

10.15611/pn.2017.482.15