Wyniki wyszukiwania - Biblioteka Nauki

1

Underpricing and long-term market performance of initial public offerings in Indonesia: A quantile regression approach

100%

Sasikirono N. , Sumiati S. , Indrawati N. K.

Business and Economic Horizons

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2018

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tom Volume 14

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nr Issue 1

152-167

EN

This study aims to identify the relationship between underpricing and long-term market performance of IPOs in the Indonesian Stock Exchange (IDX), as well as determinants of IPOs' market performance. We based our paper on the idea that it is more meaningful and relevant to investigate underpricing and long-term market performance determinants at different distribution points. OLS and quantile regression analysis isapplied to 105 samples of IPOs during 2009-2013. The results of OLS and quantile regressions indicate that assets value, age, proceeds, and underwriters’ reputation are determinants of long-term market performance; while assets, age and proceeds also become underpricing determinants. Among these factors, proceeds become the most important determinant of underpricing and long-term market performance.

2

BOOSTING UNDER QUANTILE REGRESSION – CAN WE USE IT FOR MARKET RISK EVALUATION?

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Bień-Barkowska K.

Metody Ilościowe w Badaniach Ekonomicznych

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2014

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tom 15

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nr 1

7-17

XX

We consider boosting, i.e. one of popular statistical machine-learning meta-algorithms, as a possible tool for combining individual volatility estimates under a quantile regression (QR) framework. Short empirical exercise is carried out for the S&P500 daily return series in the period of 2004-2009. Our initial findings show that this novel approach is very promising and the in-sample goodness-of-fit of the QR model is very good. However much further research should be conducted as far as the out-of-sample quality of conditional quantile predictions is concerned.

3

THE APPLICATION OF QUANTILE REGRESSION TO THE ANALYSIS OF THE RELATIONSHIPS BETWEEN THE ENTREPRENEURSHIP INDICATOR AND THE WATER AND SEWERAGE INFRASTRUCTURE IN RURAL AREAS OF COMMUNES IN WIELKOPOLSKIE VOIVODESHIP

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Kurzawa I. , Lira J.

Metody Ilościowe w Badaniach Ekonomicznych

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2015

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tom 16

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nr 2

33-42

EN

The article presents the usefulness of quantile regression for the analysis of diversification in entrepreneurship in rural areas of communes in Wielkopolskie Voivodeship. The dependence between the entrepreneurship indicator value and the density and availability of the water and sewerage infrastructure was determined for individual quantiles of the entrepreneurship indicator distribution. This approach enables estimation of different quantile functions of the conditional cumulative distribution function of the entrepreneurship indicator. This analysis enables atypical observations when the conditional cumulative distribution function is diversified and does not have a standard form.

4

Bayesian Spatial Quantile Regression

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Trzpiot G. , University of Economics in Katowice D. o. D. a. E. S.

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2013

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tom 286

EN

In this paper we present a Bayesian spatial model quantile regression. We develop a spatial quantile regression model that does not assume normality and allows the covariates to affect the entire conditional distribution, rather than just the mean. The conditional distribution is allowed to vary from site-to-site and is smoothed with a spatial prior.

PL

W wielu zastosowaniach, podstawowym problemem jest opis i analiza wpływu wektora skorelowanych zmiennych objaśniających X na zmienna objaśnianą Y. W przypadku, gdy obserwacje badanych zmiennych są dodatkowo rozmieszczone przestrzennie, zadanie jest jeszcze trudniejsze, ponieważ mamy dodatkowe zależności, wynikające ze zmienności przestrzennej. Klasyczne podejście stosowane do takich problemów wykorzystuje założenie o skończonej wartości oczekiwanej zmiennych Y, wówczas przestrzenna funkcja regresji jest dobrze określona i dostarcza informacji o zależności zmiennej Y od zmiennych X. W tej pracy, w miejsce przestrzenna funkcja regresji wykorzystującej średnią, rozpatrzymy przestrzenna regresję kwantylową. Regresja kwantylowa zostanie omówiona w przestrzennym kontekście. Semiparametryczny model bayesowski i jego estymacja jest głównym celem tej pracy. Dodatkowe zasoby informacji o zmienności otrzymujemy badając kwantyle, wychodząc poza tradycyjny opis klasycznej regresji. Estymacja kwantylowa w modelu przestrzennym uwydatnia zależności przestrzenne dla różnych fragmentów rozważanych rozkładów.

5

Properties of Transformation Quantile Regression Model

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Trzpiot G. , University of Economics in Katowice

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2013

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tom 285

EN

We present in this paper a few important direction on research using quantile regression. We start from some motivation for this method of regression. Secondly we present some main areas of application this method. Finally we wanted to point out transformation of the main model. This model, introduced by Powell (1991) and further analyzed by Chamberlain (1994) and Buchinsky (1995), specifies the conditional quantiles of the Box-Cox transformation of the variable under appraisal as a linear function of the covariates. It provides, within a simple set-up, the needed flexibility, as both the transformation parameter and the coefficients of the linear function are allowed to vary freely at each point of the distribution. The Box-Cox quantile regression, which has the linear and log-linear models as particular cases, will provide, therefore, a direct answer to the question of the appropriate transformation to be used.

PL

Przedstawiamy artykuł, w którym omawiamy modele regresji kwantylowej. Omawiamy motywacje dla stosowania klasycznego modelu, jak również główne kierunki zastosowań regresji kwantylowej. Następnie przechodzimy do transformacji podstawowego modelu. Ten model jest wprowadzony przez Powell’a (1991) a kolejno analizowany przez Chamberlain’a (1994) i Buchinsky’ego (1995), wprowadzono specyficzne warunkowe kwantyle znane jako transformacja Box– Cox’a. Omawiamy estymację modeli oraz testy istotności.

6

DECOMPOSITION OF DIFFERENCES BETWEEN PERSONAL INCOMES DISTRIBUTIONS IN POLAND

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Landmesser J. M. , Karpio K. , Łukasiewicz P.

Metody Ilościowe w Badaniach Ekonomicznych

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2015

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tom 16

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nr 2

43-52

EN

In this paper we study differences between personal incomes distributions in Poland in 2002 and 2012. The empirical data have been collected within the Household Budget Survey project. We used the Machado & Mata decomposition, which utilizes quantile regression. This method allowed us to investigate differences between income distributions in the whole range of values, going beyond simple average value decomposition. We evaluated influence of person’s attributes on the differences of incomes distributions in 2002 and 2012. By decomposing the differences into the explained and unexplained components we got information about their causes. The differences described by the explained part are caused by different characteristics of samples. The unexplained part shows differences caused by the changes of attribute importance.

7

Does persistence in idiosyncratic risk proxy return-reversals?

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Nath H. B. , Sarafidis V.

Journal of Banking and Financial Economics

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2017

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nr 2(8)

27-53

EN

Understanding the return-reversal phenomenon observed to generate large abnormal profits under some stock market trading strategies is of considerable interest in finance. There is also much debate over the use of idiosyncratic risk as a predictor in asset pricing models when it is persistent. This paper, using the Australian data, presents new empirical evidence of return-reversals at the firm level and the existence of an equilibrium state based on robust econometric methodology of panel error-correction model. The method exploits the persistence in idiosyncratic risk and builds on its cointegration with the returns series. Our results reveal the tendency of long-run returns to restore equilibrium, reversals in short-run returns, a slower recovery to equilibrium by small stocks, and while the short-run responses of returns to changes in log book-to-market ratios are positive, their reaction to persistence in idiosyncratic volatility causes the reversal process. The pattern in quantile dependent coefficients of short-run idiosyncratic risk-return relationship suggests that (i) the changes in idiosyncratic volatility risk adversely affects the short-run returns of low performing stocks but investments in high performing stocks benefit from such changes; (ii) the increasing trend in the coefficients implies a quadratic relationship in the levels of the two series. The significant marginal effects of changes in idiosyncratic volatility and its one period lagged values on changes in returns at many quantiles support the impact being due to persistence in idiosyncratic risk, and their reversing signs provide an evidence of reversion in short-run returns.

8

Zróżnicowanie wynagrodzeń wzdłuż rozkładu między sektorem publicznym a prywatnym w Polsce

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Strawiński P. , Skierska A.

Ekonomia. Rynek, Gospodarka, Społeczeństwo

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2016

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nr 44

93-119

PL

W artykule poruszono problematykę międzysektorowego zróżnicowania wynagrodzeń w Polsce. W literaturze wnioski odnośnie do kierunku zależności wynagrodzeń od sektora są niespójne. Celem było zbadanie sytuacji w Polsce. Dodatkowo, analizowano, jak kształtuje się luka międzysektorowa wzdłuż rozkładu wynagrodzeń. Użyto regresji kwantylowej i danych z Badania Struktury Wynagrodzeń według Zawodów w październiku 2012 roku. Rezultaty wskazują, że wyższe wynagrodzenia otrzymywali pracownicy sektora prywatnego. Wyniki dekompozycji Oaxaci−Blindera pokazały, że czynnik dotyczący różnic w charakterystykach pracowników odpowiada za przeważającą część międzysektorowej różnicy wynagrodzeń.

EN

In the paper, we examine the issue of public-private wage gap in Poland. The literature, in regards to the correlation of salaries and sector, brings contradictory evidences. The aim of the article is to explore the situation in Poland. Additionally, the gap was analyzed among the wage distribution. The quantile regression and the data from the Survey of Wages and Salaries in October 2012 were used. The results indicate that private sector employees received higher wages. According to Oaxaca–Blinder decomposition, the gap results mostly from the part that is explained by the differences in observed characteristics between workers.